基于随机矩阵理论的Markowitz组合投资模型
Journal of Shanghai University(Natural Science Edition)（2013）
Abstract
通过随机矩阵方法识别、消除极端或非无关抽样样本,提高Markowitz模型的参数估计精度,改进应用Markowitz模型的效果;同时,针对抽样不足的情况,使用Bootstrap方法较好地解决了该问题.
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Key words
Markowitz portfolio model,Bootstrap method,random matrix theory(RMT)
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