On Understanding the Structure of Variance-Covariance Matrix for Dealing with Fuzziness in Financial Markets
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.
KeywordsRandom Matrix Portfolio Optimization Portfolio Selection Random Matrix Theory Eigenvalue Density
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