The Principles of Random Matrix Theory and Their Application to the Portfolio Choice

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F17%3A43933050" target="_blank" >RIV/49777513:23520/17:43933050 - isvavai.cz</a>
Result on the web
<a href="https://www.scopus.com/record/display.uri?origin=recordpage&eid=2-s2.0-85035317887&citeCnt=0&noHighlight=false&sort=plf-f&src=s&sid=3aa67330a930e11e62786ab33329b00f&sot=autdocs&sdt=autdocs&sl=18&s=AU-ID%2856120952800%29&relpos=0" target="_blank" >https://www.scopus.com/record/display.uri?origin=recordpage&eid=2-s2.0-85035317887&citeCnt=0&noHighlight=false&sort=plf-f&src=s&sid=3aa67330a930e11e62786ab33329b00f&sot=autdocs&sdt=autdocs&sl=18&s=AU-ID%2856120952800%29&relpos=0</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
The Principles of Random Matrix Theory and Their Application to the Portfolio Choice
Original language description
In this paper, we use random matrix theory to analyse eigenvalues and see if there is a presence of pertinent information by using Marčenko–Pastur distribution. Thus, we analyse cross correlations between price fluctuations of different stocks using methods of random matrix theory. Moreover, we try to clean correlation matrix from noisy elements to see if the gap between predicted risk and realized risk would be reduced. The cleaned correlation matrix was used in portfolio optimization problem. This analysis is a way to understand the correlation structure.
Czech name
—
Czech description
—

Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)