Random matrix theory and portfolio optimization in Moroccan stock exchange

被引：11
|
作者：
El Alaoui, Marwane [1 ]
机构：
[1] Mohammed V Univ, Fac Legal Econ & Social Sci, Dept Management, Rabat, Morocco
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2015年 / 433卷
关键词：
Random matrix theory; Correlation matrix; Inverse participation ratio; INVERSE PARTICIPATION RATIO; CROSS-CORRELATIONS; MARKET; LAW;
D O I：
10.1016/j.physa.2015.03.081
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this work, we use random matrix theory to analyze eigenvalues and see if there is a presence of pertinent information by using Mattenko-Pastur distribution. Thus, we study cross-correlation among stocks of Casablanca Stock Exchange. Moreover, we clean correlation matrix from noisy elements to see if the gap between predicted risk and realized risk would be reduced. We also analyze eigenvectors components distributions and their degree of deviations by computing the inverse participation ratio. This analysis is a way to understand the correlation structure among stocks of Casablanca Stock Exchange portfolio. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：92 / 99
页数：8
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