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Free random variables and financial correlations

Maciej A. Nowak 

Jagiellonian University, Institute of Physics (IF UJ), Reymonta 4, Kraków 30-059, Poland

Abstract

We apply free random variables to derive statistical properties of empirical covariance matrices, which play a central role in the problem of portfolio selection.

 

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Presentation: Oral at 2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", Plenary session, by Maciej A. Nowak
See On-line Journal of 2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2006-03-11 11:55
Revised:   2009-06-07 00:44