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Noisy covariance matrices and portfolio optimization. II - MaRDI portal

Noisy covariance matrices and portfolio optimization. II (Q1855541)

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Noisy covariance matrices and portfolio optimization. II
scientific article

    Statements

    title
    Noisy covariance matrices and portfolio optimization. II (English)
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    author
    Szilárd Pafka
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    Imre Kondor
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    published in
    Physica A
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    publication date
    5 February 2003
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    zbMATH Keywords
    random matrix theory
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    time series
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    risk
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    15B52
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    91B84
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    zbMATH DE Number
    1864910
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    arXiv ID
    cond-mat/0205119
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