On the non-stationarity of financial time series: impact on optimal portfolio selection

DOI10.1088/1742-5468/2012/07/P07025zbMath1459.91113arXiv1205.0877MaRDI QIDQ3301374

Jun-ichi Inoue, Giacomo Livan, Enrico Scalas

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.0877

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (2)

Topological recognition of critical transitions in time series of cryptocurrencies ⋮ Bridging stylized facts in finance and data non-stationarities

Cites Work

• Noisy covariance matrices and portfolio optimization. II
• Dynamic instability in generic model of multi-assets markets
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Dynamic instability in a phenomenological model of correlated assets
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