Random matrix theory for portfolio optimization: a stability approach

Random matrix theory filters in portfoli

Random matrix theory filters in portfolio optimisation: A stability and risk assessment

✍ J. Daly; M. Crane; H.J. Ruskin 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 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

A portfolio approach to optimal hedging

A portfolio approach to optimal hedging for a commercial cattle feedlot

✍ Raymond M. Leuthold; Paul E. Peterson 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 911 KB

he cattle feeding industry in the United States has been characterized in recent T years by wide swings in the prices of the major inputs-feeder cattle and feed grains-and the final product-fed cattle. Hedging with futures contracts is one technique that cattle feeders can use to stabilize prices an

A portfolio approach to optimal hedging

A portfolio approach to optimal hedging for a commercial cattle feedlot

✍ Paul E. Peterson; Raymond M. Leuthold 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 911 KB

he cattle feeding industry in the United States has been characterized in recent T years by wide swings in the prices of the major inputs-feeder cattle and feed grains-and the final product-fed cattle. Hedging with futures contracts is one technique that cattle feeders can use to stabilize prices an

A perturbation method for optimizing mat

A perturbation method for optimizing matrix stability

✍ Nian Li; Joseph M. Steiner 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 156 KB

Control charts: a cost-optimization appr

Control charts: a cost-optimization approach for processes with random shifts

✍ András Zempléni; Miklós Véber; Belmiro Duarte; Pedro Saraiva 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 160 KB 👁 2 views

## Abstract In this paper we describe an approach for establishing control limits and sampling times which derives from economic performance criteria and a model for random shifts. The total cost related to both production and control is calculated, based on cost estimates for false alarms, for not

Generalized stochastic approach for cons

Generalized stochastic approach for constitutive equation in linear elasticity: a random matrix model

✍ J. Guilleminot; C. Soize 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 783 KB