An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios

DOI10.1080/14697688.2022.2149420zbMath1518.91250OpenAlexW4310546912MaRDI QIDQ6158418

Unnamed Author, Unnamed Author

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2149420

zbMATH Keywords

covariance matrixMarchenko-Pasturmodern portfolio theoryminimum variance portfoliostability measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Cleaning large correlation matrices: tools from random matrix theory
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Minimum variance quadratic unbiased estimation of variance components
• Portfolio Selection with Robust Estimation
• Asymptotic Statistics
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Asymptotic Theory for Principal Component Analysis