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Portfolio Management Using the Complex Wishart Distribution

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  • Bahadursingh, Roman

Abstract

This paper presents a novel approach to portfolio management by leveraging the properties of the Complex Wishart Distribution. This distribution, unlike its real counterpart, is adept at modeling the covariance of complex-valued data, making it particularly suitable for financial returns that can exhibit complex dependencies. The methodology proposed herein provides a more robust framework for estimating and managing risk in diversified portfolios. This work is entirely self-contained and introduces the necessary background, theoretical framework, and practical applica- tions of this novel approach.

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  • Bahadursingh, Roman, 2024. "Portfolio Management Using the Complex Wishart Distribution," Thesis Commons ma2hx_v1, Center for Open Science.
    • Handle: RePEc:osf:thesis:ma2hx_v1
    DOI: 10.31219/osf.io/ma2hx_v1
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