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Journal of Shanghai University >

2013 , Vol. 19 >Issue 3: 293 - 297

DOI: https://doi.org/10.3969/j.issn.1007-2861.2013.03.014

Mathematics.Physics and Chemistry

Markowitz Portfolio Model Based on Random Matrix Theory

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  • 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 date: 2012-09-21

  Online published: 2013-06-30

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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;

Cite this article

TANG Xiao-qing1, BAI Yan-qin1, LIU Nian-zu2, LIU Ying3 . Markowitz Portfolio Model Based on Random Matrix Theory[J]. Journal of Shanghai University, 2013 , 19(3) : 293 -297 . DOI: 10.3969/j.issn.1007-2861.2013.03.014

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