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Random Matrix Filtering in Portfolio Optimization
1 references·3 citing·13 second hop
Random Matrix Filtering in Portfolio Optimization (2005)Random Matrix Filtering in Portfolio Opti…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Trading book and credit risk: How fundamental is the Basel review? (2016)Trading book and credit risk:…How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices (2008)How much structure is best? A…Cross-correlation dynamics in financial time series (2008)Cross-correlation dynamics in…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Common risk factors in the returns on stocks and bonds (1993)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Multifactor risk models and heterotic CAPM (2016)The Relation Between Price Changes and Trading Volume: A Survey (1987)Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Cross-sample entropy of foreign exchange time series (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determining the Number of Factors in Approximate Factor Models (2002)Dynamic Conditional Correlation (2002)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
this work references cited by second hop

References

  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited

Cited by

  • 2008Cross-correlation dynamics in financial time series79 cited
  • 2008How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices38 cited
  • 2016Trading book and credit risk: How fundamental is the Basel review?30 cited

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