๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Random matrix theory and fund of funds portfolio optimisation

โœ Scribed by T. Conlon; H.J. Ruskin; M. Crane

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
219 KB
Volume
382
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Random matrix theory filters in portfoli
Random matrix theory filters in portfolio optimisation: A stability and risk assessment
โœ J. Daly; M. Crane; H.J. Ruskin ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 620 KB

Random matrix theory (RMT) filters, applied to covariance matrices of financial returns, have recently been shown to offer improvements to the optimisation of stock portfolios. This paper studies the effect of three RMT filters on the realised portfolio risk, and on the stability of the filtered cov

Efficiency of mutual funds and portfolio
Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
โœ B.P.S. Murthi; Yoon K. Choi; Preyas Desai ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 859 KB

In finance, portfolio performance assessment is an important area of research. The two popular indices of performance are the Jensen's alpha and the Sharpe index. However there are a number of shortcomings of the above measures that have been highlighted in the literature. We propose a new measure o