Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market

Masashi Egi, Takashi Matsushita, Seiji Futatsugi and Keizaburo Murakami
Additional contact information
Masashi Egi: Hitachi, Ltd.
Takashi Matsushita: Hitachi, Ltd.
Seiji Futatsugi: Hitachi, Ltd.
Keizaburo Murakami: QUICK Corp.

A chapter in Practical Fruits of Econophysics, 2006, pp 286-290 from Springer

Abstract: Summary We examined the effectiveness of random matrix theory applied to portfolio optimization using Japanese stock market data. We carried out 48 back tests for different historical periods and confirmed that it was possible to drastically improve the accuracy of portfolio risk evaluation using random matrix theory.

Keywords: random matrix theory; portfolio optimization; cross-correlation (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_52

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DOI: 10.1007/4-431-28915-1_52

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