An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios

DOI10.1080/14697688.2022.2149420MaRDI QIDQ6158418zbMATH OpenOpenAlexFDO

Authors

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2022.2149420

zbMATH Keywords

covariance matrixminimum variance portfolioMarchenko-Pasturmodern portfolio theorystability measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Asymptotic Statistics
• Asymptotic Theory for Principal Component Analysis
• Cleaning large correlation matrices: tools from random matrix theory
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Minimum variance quadratic unbiased estimation of variance components
• Portfolio selection with robust estimation
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

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