Portfolio risk in multiple frequencies

Mustafa U. Torun; Ali N. Akansu; Marco Avellaneda

doi:10.1109/MSP.2011.941552

Portfolio risk in multiple frequencies

Mustafa U. Torun, Ali N. Akansu, Marco Avellaneda

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

Portfolio 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.

Original language	English (US)
Article number	5999595
Pages (from-to)	61-71
Number of pages	11
Journal	IEEE Signal Processing Magazine
Volume	28
Issue number	5
DOIs	https://doi.org/10.1109/MSP.2011.941552
State	Published - Sep 2011

ASJC Scopus subject areas

Signal Processing
Electrical and Electronic Engineering
Applied Mathematics

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10.1109/MSP.2011.941552

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Portfolio risk in multiple frequencies

Abstract

ASJC Scopus subject areas

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