Physics – Condensed Matter – Statistical Mechanics
Scientist
Physics
Condensed Matter
Statistical Mechanics
Scientist
Estimated Correlation Matrices and Portfolio Optimization
Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
Noise sensitivity of portfolio selection under various risk measures
Noisy Covariance Matrices and Portfolio Optimization
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