Portfolio risk in multiple frequencies

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

Research output: Contribution to journalArticlepeer-review

29 Scopus citations

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
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Signal Processing
  • Electrical and Electronic Engineering
  • Applied Mathematics

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