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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Optimal portfolio selection under Expected Shortfall optimisation with Random Matrix Theory denoising
 Šíla, Jan ; Šopov, Boril (advisor) ; Baruník, Jozef (referee)
This thesis challenges several concepts in finance. Firstly, it is the Markowitz's solution to the portfolio problem. It introduces a new method which de- noises the covariance matrix - the cornerstone of the portfolio management. Random Matrix Theory originates in particle physics and was recently intro- duced to finance as the intersection between economics and natural sciences has widened over the past couple of years. Often discussed Efficient Market Hypothesis is opposed by adopting the assumption, that financial returns are driven by Paretian distributions, in- stead of Gaussian ones, as conjured by Mandelbrot some 50 years ago. The portfolio selection is set in a framework, where Expected Shortfall replaces the standard deviation as the risk measure. Therefore, direct optimi- sation of the portfolio is implemented to be compared with the performance of the classical solution and its denoised counterpart. The results are evalu- ated in a controlled environment of Monte Carlo simulation as well as using empirical data from S&P 500 constituents. 1
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