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Financial Applications of Random Matrix Theory: a short review

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  • J. P. Bouchaud
  • M. Potters

Abstract

We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to guide the reader through various theoretical results (the Marcenko-Pastur spectrum and its various generalisations, random SVD, free matrices, largest eigenvalue statistics, etc.) as well as some concrete applications to portfolio optimisation and out-of-sample risk estimation.

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File URL: http://arxiv.org/pdf/0910.1205
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 0910.1205.

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Date of creation: Oct 2009
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Handle: RePEc:arx:papers:0910.1205

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Web page: http://arxiv.org/

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Cited by:
  1. Dalibor Eterovic, 2012. "Separating the Wheat from the Chaff: Understanding Portfolio Returns in an Emerging Market," Working Papers wp_025, Adolfo Ibáñez University, School of Government.

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