Random Matrix Theory with Applications in Statistics and Finance

Random Matrix Theory with Applications in Statistics and Finance

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This thesis investigates a technique to estimate the risk of the mean-variance (MV) portfolio optimization problem. We call this technique the Scaling technique. It provides a better estimator of the risk of the MV optimal portfolio. We obtain this result for a general estimator of the covariance ma...

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Bibliographic Details
Main Author: Saad, Nadia Abdel Samie Basyouni Kotb
Other Authors: Collins, Benoît
Language:en
Published: Université d'Ottawa / University of Ottawa 2013
Subjects:
random matrices
Markowitz optimization problem
unitary (orthogonally) invariance
optimal portfolio
risk underestimation
inverse of compound Wishart matrices
Weingarten Calculus
Online Access:http://hdl.handle.net/10393/23698
http://dx.doi.org/10.20381/ruor-6416

Internet

http://hdl.handle.net/10393/23698
http://dx.doi.org/10.20381/ruor-6416

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