File(s) not publicly available

On understanding the structure of variance-covariance matrix for dealing with fuzziness of financial markets

chapter
posted on 06.12.2017, 00:00 by Galina Korotkikh
An approach to deal with fuzziness in financial markets by using random matrix theory is proposed. Recent results provide evidence of their importance in understanding the structure of variance-covariance matrix. Formulations that might go beyond the mean-variance model in financial optimization are suggested.

Funding

Category 1 - Australian Competitive Grants (this includes ARC, NHMRC)

History

Editor

Dimitrov V; Korotkich V

Parent Title

Fuzzy logic : a framework for the new millennium

Start Page

215

End Page

224

Number of Pages

10

ISBN-10

3790814253

Publisher

Physica-Verlag

Place of Publication

Heidelberg, Germany.

Open Access

No

External Author Affiliations

Faculty of Informatics and Communication;

Era Eligible

No

Number of Chapters

27

Exports

CQUniversity

Categories

Exports