Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 344, Issue 1-2, Pages 67-72Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2004.06.089
Keywords
Random matrix theory; correlation matrix; eigenvalue spectrum
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Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial series and to show that contrary to earlier claims, correlations can be measured also in the random part of the spectrum. Implications for the portfolio optimization are briefly discussed. (C) 2004 Elsevier B.V. All rights reserved.
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