Noisy covariance matrices and portfolio optimization II
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- Szilard Pafka & Imre Kondor, 2002. "Noisy Covariance Matrices and Portfolio Optimization II," Papers cond-mat/0205119, arXiv.org, revised May 2002.
References listed on IDEAS
- Zmievski, Vladimir B. & Karlin, Iliya V. & Deville, Michel, 2000. "The universal limit in dynamics of dilute polymeric solutions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 275(1), pages 152-177.
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KeywordsNoisy covariance matrices; Random matrix theory; Portfolio optimization; Risk management;
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