Journal of Shanghai University(Natural Science Edition) ›› 2013, Vol. 19 ›› Issue (3): 293-297.doi: 10.3969/j.issn.1007-2861.2013.03.014

• Mathematics.Physics and Chemistry • Previous Articles     Next Articles

Markowitz Portfolio Model Based on Random Matrix Theory

TANG Xiao-qing1, BAI Yan-qin1, LIU Nian-zu2, LIU Ying3   

  1. 1. College of Sciences, Shanghai University, Shanghai 200444, China; 2. School of Mathematics and information, Shanghai Lixin University of Commerce, Shanghai 201620, China; 3. Science Department, Shaoyang University, Shaoyang 422000, Hunan, China
  • Received:2012-09-21 Online:2013-06-30 Published:2013-06-30

Abstract: Markowitz’s mean-variances model in this paper is improved, and the random matrix theory is used that can identify extreme sampling data and relevance data to get rid of those data such that more accurate estimate of mean and variance can be gotten. Then Bootstrap method to solve the problem of insufficient
sample is used.

Key words: andom matrix theory (RMT), Bootstrap method, Markowitz portfolio model;

CLC Number: