Random matrix filtering in portfolio optimization
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- On the use of conditional expectation in portfolio selection problems
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- On the impact of semidefinite positive correlation measures in portfolio theory
- On the non-stationarity of financial time series: impact on optimal portfolio selection
- Optimal trading strategies -- a time series approach
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- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Random matrix application to correlations amongst the volatility of assets
- scientific article; zbMATH DE number 6263675 (Why is no real title available?)
- Filtering time-dependent covariance matrices using time-independent eigenvalues
- Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
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