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

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

2012-01-03

arxiv.org/abs/1201.0625v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data, and use a regression model in order to remove the market effect due to the common movement of all stocks. These two procedures are then used in order to build portfolios of stocks based on Markovitz's theory, trying to build better predictions of future risk based on past data. This is done for years of both low and high volatility of the Brazilian market, from 2004 to 2010.

Affiliated with

Also associated with

No associations

Rating

Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-183785