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Random matrix filtering in portfolio optimization

2005
journal article
conference proceedings
Journal
Acta Physica Polonica. B
Author
Papp G.

Pafka Sz.

Nowak Maciej

Kondor I.
Volume
36
Issue
9
Pages
2757-2765
ISSN
0587-4254
eISSN
1509-5770
URL
https://www.actaphys.uj.edu.pl/R/36/9/2757/pdf
Access date
2022-08-30
Language
English
Container language
English
Abstract in English

We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may be misleading. In this paper we investigate a recently introduced filtering procedure, and demonstrate the applicability of this method in a controlled, simulation environment.

Conference
Conference on Applications of Random Matrices to Economy and Other Complex Systems
Conference start date
2005-05-25
End date conference
2005-05-28
Conference city
Kraków
Conference country
Polska
Conference type
international
Affiliation
Wydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki Teoretycznej
dc.abstract.enWe study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may be misleading. In this paper we investigate a recently introduced filtering procedure, and demonstrate the applicability of this method in a controlled, simulation environment.pl
dc.affiliationWydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki Teoretycznejpl
dc.conferenceConference on Applications of Random Matrices to Economy and Other Complex Systemspl
dc.conference.cityKraków
dc.conference.countryPolska
dc.conference.datefinish2005-05-28
dc.conference.datestart2005-05-25
dc.conference.indexscopustrue
dc.conference.indexwostrue
dc.contributor.authorPapp, G.pl
dc.contributor.authorPafka, Sz.pl
dc.contributor.authorNowak, Maciej - 131031 pl
dc.contributor.authorKondor, I.pl
dc.date.accession2022-08-30pl
dc.date.accessioned2022-08-30T13:13:23Z
dc.date.available2022-08-30T13:13:23Z
dc.date.issued2005pl
dc.date.openaccess0
dc.description.accesstimew momencie opublikowania
dc.description.conftypeinternationalpl
dc.description.number9pl
dc.description.physical2757-2765pl
dc.description.versionostateczna wersja wydawcy
dc.description.volume36pl
dc.identifier.eissn1509-5770pl
dc.identifier.issn0587-4254pl
dc.identifier.urihttps://ruj.uj.edu.pl/xmlui/handle/item/298569
dc.identifier.weblinkhttps://www.actaphys.uj.edu.pl/R/36/9/2757/pdfpl
dc.languageengpl
dc.language.containerengpl
dc.rightsUdzielam licencji. Uznanie autorstwa 4.0 Międzynarodowa*
dc.rights.licenceCC-BY
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/legalcode.pl*
dc.share.typeotwarte czasopismo
dc.subtypeConferenceProceedingspl
dc.titleRandom matrix filtering in portfolio optimizationpl
dc.title.journalActa Physica Polonica. Bpl
dc.typeJournalArticlepl
dspace.entity.typePublication
Affiliations
No affiliation
Papp, G.
Pafka, Sz.
Nowak, Maciej
Kondor, I.

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