1 citations · 1 across the 1 of their papers we have counts for
Showing cond-mat.stat-mechShow all
2 papers · 1 filter
cond-mat.stat-mech2004
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
Szilard Pafka, Marc Potters, Imre Kondor
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces…
cond-mat.stat-mech2003
Estimated Correlation Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description…