Oh, G.; Eom, C.; Wang, F.; Jung, W.-S.; Stanley, H. E.; … - In: The European Physical Journal B - Condensed Matter and … 79 (2011) 1, pp. 55-60
We investigate the statistical properties of the cross-correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the...