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Random matrix theory and fund of funds portfolio optimisation
Physica A: Statistical Mechanics and its Applications, no. 2 (2010): 565-576
EI
摘要
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 requires a correlation matrix which often has to be estimated using a relatively small sample of monthly returns data which induces noise. In t...更多
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