搜索结果: 1-3 共查到“经济学 Random Matrix Theory”相关记录3条 . 查询时间(0.171 秒)
Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Random Matrix Theory and Fund of Funds Portfolio Optimisation
Random Matrix Theory Hedge Funds Fund of Funds Correlation
2010/10/20
The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge Funds portfolio re...
Financial Applications of Random Matrix Theory: a short review
Financial Applications Random Matrix Theory short review
2010/11/2
The Marˇcenko-Pastur 1967 paper [1] on the spectrum of empirical correlation matrices is both remarkable and precocious. It turned out to be useful in many, very different contexts (neural networks, i...