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most citedNoise sensitivity of portfolio selection under various risk measures

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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…