Random matrix theory and portfolio optimization in Moroccan stock exchange

Marwane El Alaoui

Physica A: Statistical Mechanics and its Applications, 2015, vol. 433, issue C, 92-99

Abstract: In this work, we use random matrix theory to analyze eigenvalues and see if there is a presence of pertinent information by using Marčenko–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.

Keywords: Random matrix theory; Correlation matrix; Inverse participation ratio (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:433:y:2015:i:c:p:92-99

DOI: 10.1016/j.physa.2015.03.081

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