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Portfolio Risk in Multiple Frequencies

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dc.contributor.authorTorun, Mustafa U.
dc.contributor.authorAkansu, Ali N.
dc.contributor.authorAvellaneda, Marco
dc.date.accessioned2026-01-26T02:14:52Z
dc.date.issued2011-09-01
dc.description.abstractPortfolio risk, introduced by Markowitz in 1952 and defined as the standard deviation of the portfolio return, is an important metric in the modern portfolio theory (MPT). A popular method for portfolio selection is to manage the risk and return of a portfolio according to the cross-correlations of returns for various financial assets. In a real-world scenario, estimated empirical financial correlation matrix contains significant level of intrinsic noise that needs to be filtered prior to risk calculations.
dc.description.urihttps://doi.org/10.1109/msp.2011.941552
dc.description.urihttp://web.njit.edu/~akansu/PAPERS/TorunAkansuAvellanedaIEEE-SPMagSept2011.pdf
dc.description.urihttps://doi.org/10.1109/MSP.2011.941552
dc.description.urihttps://dx.doi.org/10.1109/msp.2011.941552
dc.description.urihttps://avesis.deu.edu.tr/publication/details/e647dce3-9b80-43ec-8f05-6c421a83a8ff/oai
dc.identifier.doi10.1109/msp.2011.941552
dc.identifier.endpage71
dc.identifier.issn1053-5888
dc.identifier.openairedoi_dedup___::c39715dd54cda97d46703fd7e00dca82
dc.identifier.startpage61
dc.identifier.urihttps://hdl.handle.net/11527/57147
dc.identifier.volume28
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE)
dc.relation.ispartofIEEE Signal Processing Magazine
dc.rightsOPEN
dc.titlePortfolio Risk in Multiple Frequencies
dc.typeArticle
dspace.entity.typePublication

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