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- W3124870036 abstract "We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may be misleading. In this paper we investigate a recently introduced filtering procedure, and demonstrate the applicability of this method in a controlled, simulation environment." @default.
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- W3124870036 date "2005-09-01" @default.
- W3124870036 modified "2023-09-23" @default.
- W3124870036 title "Random Matrix Filtering in Portfolio Optimization" @default.
- W3124870036 hasPublicationYear "2005" @default.
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