Power mapping with dynamical adjustment for improved portfolio optimization

DOI10.1080/14697680902748498zbMath1198.91195OpenAlexW1966215098MaRDI QIDQ5189719

Thomas Guhr, Nils Fredrik Nilsson, Rudi Schäfer

Publication date: 11 March 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902748498

zbMATH Keywords

Monte Carlo methodsnumerical simulationportfolio optimizationfinancial marketseconophysicsdynamic modelscorrelation structures

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Portfolio theory (91G10)

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Cites Work

• Algorithms of maximum likelihood data clustering with applications
• Noisy covariance matrices and portfolio optimization. II
• Hierarchically nested factor model from multivariate data
• A new method to estimate the noise in financial correlation matrices
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS