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

Kód výsledku v IS VaVaI
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Výsledek na webu
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DOI - Digital Object Identifier
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Jazyk výsledku
angličtina
Název v původním jazyce
The Principles of Random Matrix Theory and Their Application to the Portfolio Choice
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
The Principles of Random Matrix Theory and Their Application to the Portfolio Choice
Popis výsledku anglicky
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.

Projekt
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Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění
2017
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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