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Noisy covariance matrices and portfolio optimization II

Citations

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Cited by:

  1. Juszczuk, Przemysław & Kaliszewski, Ignacy & Miroforidis, Janusz & Podkopaev, Dmitry, 2022. "Mean--variance portfolio selection problem: Asset reduction via nondominated sorting," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 263-272.
  2. Martins, André C.R., 2007. "Non-stationary correlation matrices and noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 552-558.
  3. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
  4. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
  5. Leonidas Sandoval Junior & Adriana Bruscato & Maria Kelly Venezuela, 2012. "Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory," Papers 1201.0625, arXiv.org, revised Mar 2013.
  6. Bhattacharjee, Biplab & Kumar, Rajiv & Senthilkumar, Arunachalam, 2022. "Unidirectional and bidirectional LSTM models for edge weight predictions in dynamic cross-market equity networks," International Review of Financial Analysis, Elsevier, vol. 84(C).
  7. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
  8. Sharkasi, Adel & Crane, Martin & Ruskin, Heather J. & Matos, Jose A., 2006. "The reaction of stock markets to crashes and events: A comparison study between emerging and mature markets using wavelet transforms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 511-521.
  9. Yoonsik Hong & Yanghoon Kim & Jeonghun Kim & Yongmin Choi, 2022. "Index Tracking via Learning to Predict Market Sensitivities," Papers 2209.00780, arXiv.org, revised Dec 2022.
  10. Beno^it Collins & David McDonald & Nadia Saad, 2013. "Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation," Papers 1306.5510, arXiv.org.
  11. Joel Bun & Jean-Philippe Bouchaud & Marc Potters, 2016. "Cleaning large correlation matrices: tools from random matrix theory," Papers 1610.08104, arXiv.org.
  12. Shinzato, Takashi, 2018. "Maximizing and minimizing investment concentration with constraints of budget and investment risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 986-993.
  13. Sandoval, Leonidas Junior & Bruscato, Adriana & Venezuela, Maria Kelly, 2012. "Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory," Insper Working Papers wpe_270, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  14. Rosenow, Bernd, 2008. "Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 279-302, January.
  15. Burda, Zdzisław & Jurkiewicz, Jerzy, 2004. "Signal and noise in financial correlation matrices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 67-72.
  16. Lisewski, Andreas Martin & Lichtarge, Olivier, 2010. "Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3250-3253.
  17. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
  18. Takashi Shinzato, 2015. "Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-24, July.
  19. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Post-Print hal-03378915, HAL.
  20. Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
  21. Liusha Yang & Matthew R. Mckay & Romain Couillet, 2018. "High-Dimensional MVDR Beamforming: Optimized Solutions Based on Spiked Random Matrix Models," Post-Print hal-01957672, HAL.
  22. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
  23. Takashi Shinzato, 2014. "Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model," Papers 1404.5222, arXiv.org, revised Apr 2014.
  24. Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Smooth monotone covariance for elliptical distributions and applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1555-1571, September.
  25. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  26. Cong, Rong-Gang & Hedlund, Katarina & Andersson, Hans & Brady, Mark, 2014. "Managing soil natural capital: An effective strategy for mitigating future agricultural risks," MPRA Paper 112155, University Library of Munich, Germany.
  27. Rudi Schafer & Nils Fredrik Nilsson & Thomas Guhr, 2010. "Power mapping with dynamical adjustment for improved portfolio optimization," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 107-119.
  28. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  29. Wilcox, Diane & Gebbie, Tim, 2007. "An analysis of cross-correlations in an emerging market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 584-598.
  30. Monika Bours & Ansgar Steland, 2021. "Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 610-654, June.
  31. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Papers 2104.00668, arXiv.org, revised Oct 2021.
  32. Varga-Haszonits, I. & Kondor, I., 2007. "Noise sensitivity of portfolio selection in constant conditional correlation GARCH models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 307-318.
  33. Jushan Bai & Shuzhong Shi, 2011. "Estimating High Dimensional Covariance Matrices and its Applications," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 199-215, November.
  34. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
  35. Frahm, Gabriel & Wiechers, Christof, 2011. "On the diversification of portfolios of risky assets," Discussion Papers in Econometrics and Statistics 2/11, University of Cologne, Institute of Econometrics and Statistics.
  36. El Alaoui, Marwane, 2015. "Random matrix theory and portfolio optimization in Moroccan stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 92-99.
  37. Lu, Ya-Nan & Li, Sai-Ping & Zhong, Li-Xin & Jiang, Xiong-Fei & Ren, Fei, 2018. "A clustering-based portfolio strategy incorporating momentum effect and market trend prediction," Chaos, Solitons & Fractals, Elsevier, vol. 117(C), pages 1-15.
  38. Giacomo Livan & Jun-ichi Inoue & Enrico Scalas, 2012. "On the non-stationarity of financial time series: impact on optimal portfolio selection," Papers 1205.0877, arXiv.org, revised Jul 2012.
  39. Schäfer, Rudi & Guhr, Thomas, 2010. "Local normalization: Uncovering correlations in non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3856-3865.
  40. Nicol'o Musmeci & Tomaso Aste & Tiziana Di Matteo, 2016. "What does past correlation structure tell us about the future? An answer from network filtering," Papers 1605.08908, arXiv.org.
  41. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  42. Diane Wilcox & Tim Gebbie, 2004. "An analysis of Cross-correlations in South African Market data," Papers cond-mat/0402389, arXiv.org, revised Sep 2006.
  43. Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
  44. Axel Pruser & Imre Kondor & Andreas Engel, 2021. "Aspects of a phase transition in high-dimensional random geometry," Papers 2105.04395, arXiv.org, revised Jun 2021.
  45. Justo Puerto & Federica Ricca & Mois'es Rodr'iguez-Madrena & Andrea Scozzari, 2021. "A combinatorial optimization approach to scenario filtering in portfolio selection," Papers 2103.01123, arXiv.org.
  46. Thilo A. Schmitt & Rudi Schäfer & Dominik Wied & Thomas Guhr, 2016. "Spatial dependence in stock returns: local normalization and VaR forecasts," Empirical Economics, Springer, vol. 50(3), pages 1091-1109, May.
  47. Lan Liu & Hao Lin, 2010. "Covariance estimation: do new methods outperform old ones?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 187-195, April.
  48. Jiang, Jie & Peng, Shen, 2024. "Mathematical programs with distributionally robust chance constraints: Statistical robustness, discretization and reformulation," European Journal of Operational Research, Elsevier, vol. 313(2), pages 616-627.
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