Portfolio risk in multiple frequencies

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

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Article number5999595
Pages (from-to)61-71
Number of pages11
JournalIEEE Signal Processing Magazine
Volume28
Issue number5
DOIs
StatePublished - Sep 2011

ASJC Scopus subject areas

  • Signal Processing
  • Electrical and Electronic Engineering
  • Applied Mathematics

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