A new method for better portfolio investment: A case of the Korean stock market
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DOI: 10.1016/j.pacfin.2018.05.002
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Cited by:
- Dai, Yun-Shi & Huynh, Ngoc Quang Anh & Zheng, Qing-Huan & Zhou, Wei-Xing, 2022.
"Correlation structure analysis of the global agricultural futures market,"
Research in International Business and Finance, Elsevier, vol. 61(C).
- Yun-Shi Dai & Ngoc Quang Anh Huynh & Qing-Huan Zheng & Wei-Xing Zhou, 2023. "Correlation structure analysis of the global agricultural futures market," Papers 2310.16849, arXiv.org.
- Eom, Cheoljun & Park, Jong Won, 2021. "Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market," Research in International Business and Finance, Elsevier, vol. 57(C).
- Eom, Cheoljun & Kaizoji, Taisei & Livan, Giacomo & Scalas, Enrico, 2021. "Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
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More about this item
Keywords
Mean-variance portfolio optimization; Correlation matrix; Random matrix theory; Non-market correlation matrix; Sensitivity test; Simulation experiment;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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