Random Matrix Approach for Portfolio Optimization Problem

• Published in: Journal of Japan Industrial Management Association Vol. 65; no. 1; pp. 17 - 28
• Main Authors: Wakai, Ryosuke, Shinzato, Takashi, Shimazaki, Yoshiaki
• Format: Journal Article
• Language: Japanese
• Published: Japan Industrial Management Association 2014
• Subjects: asymptotic distribution; mean-variance model; portfolio diversification investment; Portfolio optimization; random matrix theory

This paper analyzes typical performance of the optimal portfolio of the meanvariance model using a random matrix approach, one of the most potent methods in the econophysics literature. In the analysis, indicators representing the risk and the concentrated investment level (or the inverse dispersion...