Essays about: "Random Matrix Theory"

Showing result 6 - 10 of 17 essays containing the words Random Matrix Theory.

  1. 6. A Review of Gaussian Random Matrices

    University essay from Linköpings universitet/Matematisk statistik; Linköpings universitet/Tekniska fakulteten

    Author : Kasper Andersson; [2020]
    Keywords : Random Matrix Theory; Gaussian Ensembles; Covariance; Wishart Ensembles; PCA; Neural Networks; Slumpmatristeori; Gaussian Ensembles; Kovarians; Wishart Ensembles; PCA; Neuronnät;

    Abstract : While many university students get introduced to the concept of statistics early in their education, random matrix theory (RMT) usually first arises (if at all) in graduate level classes. This thesis serves as a friendly introduction to RMT, which is the study of matrices with entries following some probability distribution. READ MORE

  3. 7. Enhancing ESG-Risk Modelling - A study of the dependence structure of sustainable investing

    University essay from KTH/Matematisk statistik

    Author : Edvin Berg; Karl Wilhelm Lange; [2020]
    Keywords : ESG; Sustainable Investing; Dependency Structure; Correlation; Risk; Random Matrix Theory; Eigenvalue; Eigenvalue Decomposition; Minimum Variance Portfolio; ESG; Hållbar Investering; Beroendestruktur; Korrelation; Stokastisk Matristeori; Egenvärden; Egenvärdes Dekomposition; Minimal Variansportfölj;

    Abstract : The interest in sustainable investing has increased significantly during recent years. Asset managers and institutional investors are urged to invest more sustainable from their stakeholders, reducing their investment universe. READ MORE

  4. 8. Limiting Behavior of the Largest Eigenvalues of Random Toeplitz Matrices

    University essay from KTH/Matematik (Inst.)

    Author : Samuel Modée; [2019]
    Keywords : Random matrix; Toeplitz matrix; largest eigenvalues; eigenvectors; slumpmatriser; Toeplitz matrices; största egenvärde; egenvektorer;

    Abstract : We consider random symmetric Toeplitz matrices of size n. Assuming that the entries on the diagonals are independent centered random variables with finite γ-th moment (γ>2), a law of large numbers is established for the largest eigenvalue. READ MORE

  5. 9. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

    University essay from KTH/Industriell Marknadsföring och Entreprenörskap

    Author : ZAKARIA MARAKBI; [2016]
    Keywords : portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics;

    Abstract : Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. READ MORE

  6. 10. Matrix Integrals : Calculating Matrix Integrals Using Feynman Diagrams

    University essay from Uppsala universitet/Teoretisk fysik

    Author : Adam Friberg; [2014]
    Keywords : fat graph; feynman diagram; matrix integral; perturbative expansion; wick s theorem;

    Abstract : In this project, we examine how integration over matrices is performed. We investigate and develop a method for calculating matrix integrals over the set of real square matrices. READ MORE