Open AccessPortfolio Research Based on Mean-Realized Variance-CVaR and Random Matrix Theory under High-Frequency Data
Author(s) -
Yajie Yang,
Yipin Zhu,
Xiaoyan Zhao
Publication year - 2020
Publication title -
journal of financial risk management
Language(s) - English
Resource type - Journals
eISSN - 2167-9541
pISSN - 2167-9533
DOI - 10.4236/jfrm.2020.94026
Subject(s) - cvar , covariance matrix , portfolio , selection (genetic algorithm) , modern portfolio theory , portfolio optimization , random matrix , variance (accounting) , matrix (chemical analysis) , sample mean and sample covariance , mathematics , econometrics , computer science , statistics , mathematical optimization , expected shortfall , economics , artificial intelligence , finance , eigenvalues and eigenvectors , accounting , materials science , quantum mechanics , estimator , composite material , physics