Noisy Covariance Matrices and Portfolio Optimization II
暂无分享,去创建一个
[1] D. Wilcox,et al. On the analysis of cross-correlations in South African market data , 2004 .
[2] J. Bouchaud,et al. RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS , 2000 .
[3] V. Plerou,et al. Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series , 1999, cond-mat/9902283.
[4] J. Bouchaud,et al. Noise Dressing of Financial Correlation Matrices , 1998, cond-mat/9810255.
[5] J. Bouchaud,et al. Rational Decisions, Random Matrices and Spin Glasses , 1998, cond-mat/9801209.
[6] Sompolinsky,et al. Dynamics of spin systems with randomly asymmetric bonds: Langevin dynamics and a spherical model. , 1987, Physical review. A, General physics.
[7] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .