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Portfolio optimization and the random magnet problem
8 references·0 citing·30 second hop
Portfolio optimization and the random magnet problem (2002)Portfolio optimization and the random mag…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Quantifying and interpreting collective behavior in financial markets (2001)Quantifying and interpreting …Model for correlations in stock markets (2000)Model for correlations in sto…Dynamics of competition between collectivity and noise in the stock market (2000)Dynamics of competition betwe…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Rational decisions, random matrices and spin glasses (1998)Rational decisions, random ma…Global Portfolio Optimization (1992)Global Portfolio OptimizationScaling behaviour in the dynamics of an economic index (1995)Hierarchical structure in financial markets (1999)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)A new method to estimate the noise in financial correlation matrices (2003)Cross-correlation dynamics in financial time series (2008)Applications of Statistical Physics in Finance and Economics (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Statistical tests for power-law cross-correlated processes (2011)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Modern Portfolio Theory and Investment Analysis. (1982)Correlations, risk and crisis: From physiology to finance (2010)The cross-correlations of stock markets based on DCCA and time-delay DCCA (2011)Systemic risk and spatiotemporal dynamics of the US housing market (2014)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Systematic analysis of group identification in stock markets (2005)Collective behavior of stock price movements in an emerging market (2007)Correlation and network analysis of global financial indices (2012)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Econophysics: can physicists contribute to the science of economics? (1999)An analysis of cross-correlations in an emerging market (2006)
this work references cited by second hop

References

  • 1992Global Portfolio Optimization1,846 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2001Quantifying and interpreting collective behavior in financial markets175 cited
  • 2000Dynamics of competition between collectivity and noise in the stock market116 cited
  • 1998Rational decisions, random matrices and spin glasses110 cited
  • 2000Model for correlations in stock markets96 cited

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