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Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory

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  • Sandoval, Leonidas Junior
  • Bruscato, Adriana
  • Venezuela, Maria Kelly

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  • Sandoval, Leonidas Junior & Bruscato, Adriana & Venezuela, Maria Kelly, 2012. "Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory," Insper Working Papers wpe_270, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    • Handle: RePEc:ibm:ibmecp:wpe_270
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    File URL: http://www.insper.edu.br/wp-content/uploads/2012/07/2012_wpe270.pdf
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    References listed on IDEAS

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    1. J. P. Bouchaud & M. Potters, 2009. "Financial Applications of Random Matrix Theory: a short review," Papers 0910.1205, arXiv.org.
    2. Frankfurter, George M. & Phillips, Herbert E. & Seagle, John P., 1971. "Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1251-1262, December.
    3. Sharifi, S. & Crane, M. & Shamaie, A. & Ruskin, H., 2004. "Random matrix theory for portfolio optimization: a stability approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 335(3), pages 629-643.
    4. Victor DeMiguel & Lorenzo Garlappi & Francisco J. Nogales & Raman Uppal, 2009. "A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms," Management Science, INFORMS, vol. 55(5), pages 798-812, May.
    5. Pafka, Szilárd & Kondor, Imre, 2003. "Noisy covariance matrices and portfolio optimization II," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 487-494.
    6. Conlon, T. & Ruskin, H.J. & Crane, M., 2007. "Random matrix theory and fund of funds portfolio optimisation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(2), pages 565-576.
    7. Dickinson, J. P., 1974. "The Reliability of Estimation Procedures in Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(3), pages 447-462, June.
    8. Tola, Vincenzo & Lillo, Fabrizio & Gallegati, Mauro & Mantegna, Rosario N., 2008. "Cluster analysis for portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 235-258, January.
    9. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
    10. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    11. Frankfurter, George M. & Phillips, Herbert E. & Seagle, John P., 1972. "Estimation Risk in the Portfolio Selection Model: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(1), pages 1423-1424, January.
    12. Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario Mantegna, 2011. "When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1067-1080.
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