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

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Fuzzy Logic

Part of the book series: Studies in Fuzziness and Soft Computing ((STUDFUZZ,volume 81))

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Abstract

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.

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Author information

Authors and Affiliations

  1. Central Queensland University, Mackay, Queensland, 4740, Australia

    Galina Korotkikh

Authors
  1. Galina Korotkikh
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Editor information

Editors and Affiliations

  1. School of Social Ecology and Lifelong Learning College of Arts, Education and Social Sciences, University of Western Sydney, Hawkesburg Campus, Locked Bag 1797, 1797, South Penrith DC, NSW, Australia

    Vladimir Dimitrov

  2. School of Mathematical and Decision Sciences Faculty of Informatics and Communication, Central Queensland University, Mackay Campus, PO BOX 5606, 4741, Mackay Mail Centre, QLD, Australia

    Victor Korotkich

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© 2002 Springer-Verlag Berlin Heidelberg

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Korotkikh, G. (2002). On Understanding the Structure of Variance-Covariance Matrix for Dealing with Fuzziness in Financial Markets. In: Dimitrov, V., Korotkich, V. (eds) Fuzzy Logic. Studies in Fuzziness and Soft Computing, vol 81. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-1806-2_15

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  • DOI: https://doi.org/10.1007/978-3-7908-1806-2_15

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-2496-4

  • Online ISBN: 978-3-7908-1806-2

  • eBook Packages: Springer Book Archive

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