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• W3100017821 abstract "Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross--correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an investment in stocks which exposes invested funds to a minimum level of risk is analogous to the problem of finding the magnetization of a random magnet. The interactions for this ``random magnet problem'' are given by the cross-correlation matrix {bf sf C} of stock returns. We find that random matrix theory allows us to make an estimate for {bf sf C} which outperforms the standard estimate in terms of constructing an investment which carries a minimum level of risk." @default.
• W3100017821 created "2020-11-23" @default.
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• W3100017821 date "2002-08-01" @default.
• W3100017821 modified "2023-10-03" @default.
• W3100017821 title "Portfolio optimization and the random magnet problem" @default.
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• W3100017821 doi "https://doi.org/10.1209/epl/i2002-00135-4" @default.
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