Fuzzy Logic pp 215-224 | Cite as

On Understanding the Structure of Variance-Covariance Matrix for Dealing with Fuzziness in Financial Markets

  • Galina Korotkikh
Conference paper
Part of the Studies in Fuzziness and Soft Computing book series (STUDFUZZ, volume 81)


An approach to deal with fuzziness in financial markets by using random matrix theory is proposed. Recent results provide evidence of their importance in understanding the structure of variance-covariance matrix. Formulations that might go beyond the mean-variance model in financial optimization are suggested.


Random Matrix Portfolio Optimization Portfolio Selection Random Matrix Theory Eigenvalue Density 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Galina Korotkikh
    • 1
  1. 1.Central Queensland UniversityMackayAustralia

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