Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 319 (2003) C, pp. 487-494
covariance matrices determined from empirical financial time series appear to contain such a high amount of noise that their … covariance matrices in finance, which constitute the pillars of modern investment theory and have also gained industry … measurement context: if covariance matrices are used simply for measuring the risk of portfolios with a fixed composition rather …