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Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization

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References

1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
1982Modern Portfolio Theory and Investment Analysis.3,012 cited
2003Theory of Financial Risk and Derivative Pricing879 cited
1960Portfolio Selection: Efficient Diversification of Investments.582 cited

Cited by

2020Stock price prediction using principal components50 cited
2008Random matrix theory filters in portfolio optimisation: A stability and risk assessment40 cited

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