Estimated correlation matrices and portfolio optimization

Citations

Cited by:

1. 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.
2. Plachel, Lukas, 2019. "A unified model for regularized and robust portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
3. Li, Yan & Jiang, Xiong-Fei & Tian, Yue & Li, Sai-Ping & Zheng, Bo, 2019. "Portfolio optimization based on network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 671-681.
4. 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.
5. 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.
6. 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.
7. 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.
8. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
9. Fabio Vanni & Asmerilda Hitaj & Elisa Mastrogiacomo, 2024. "Enhancing Portfolio Allocation: A Random Matrix Theory Perspective," Mathematics, MDPI, vol. 12(9), pages 1-16, May.
10. 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.
11. Dai, Zhifeng & Wang, Fei, 2019. "Sparse and robust mean–variance portfolio optimization problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1371-1378.
12. 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.
13. 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.
14. Andreas Mühlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Risks, MDPI, vol. 6(2), pages 1-25, April.
15. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
16. Marwane El Alaoui & Elie Bouri & Nehme Azoury, 2020. "The Determinants of the U.S. Consumer Sentiment: Linear and Nonlinear Models," IJFS, MDPI, vol. 8(3), pages 1-13, July.
17. 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.
18. 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.
19. Muhammad Husnain & Arshad Hassan & Eric Lamarque, 2016. "Shrinking the Variance-Covariance Matrix: Simpler is Better," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(1), pages 1-21, Jan-June.
20. 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.
21. M.C. M�nnix & R. Sch�fer & O. Grothe, 2014. "Estimating correlation and covariance matrices by weighting of market similarity," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 931-939, May.
22. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
23. Andreas Muhlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers 1803.00261, arXiv.org.
24. Thomas Guhr & Andreas Schell, 2020. "Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations," Papers 2011.07570, arXiv.org.
25. Diane Wilcox & Tim Gebbie, 2004. "An analysis of Cross-correlations in South African Market data," Papers cond-mat/0402389, arXiv.org, revised Sep 2006.
26. Chen, Wei & Zhang, Wei-Guo, 2010. "The admissible portfolio selection problem with transaction costs and an improved PSO algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2070-2076.
27. 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.
28. 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.
29. Bohdan Yu. Kyshakevych & Anatoliy K. Prykarpatsky & Denis Blackmore & Ivan P. Tverdokhlib, 2010. "Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function," Papers 1005.2661, arXiv.org.
30. 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.