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Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
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2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Random Matrix Theory and Fund of Funds Portfolio Optimisation
Random Matrix Theory Hedge Funds Fund of Funds Correlation
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2010/10/20
The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge Funds portfolio re...