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

• Legal notice:
  

  Copyright (c) Pielaszek Research, all rights reserved.
  The above materials, including auxiliary resources, are subject to Publisher's copyright and the Author(s) intellectual rights. Without limiting Author(s) rights under respective Copyright Transfer Agreement, no part of the above documents may be reproduced without the express written permission of Pielaszek Research, the Publisher. Express permission from the Author(s) is required to use the above materials for academic purposes, such as lectures or scientific presentations.
  In every case, proper references including Author(s) name(s) and URL of this webpage: https://science24.com/paper/6974 must be provided.