Mean-Variance Model In Portfolio Theory And Application Of Random Matrices Theory

The mean-variance model is widely regarded as one of the major theories in financial economics, and it can be used to calculate the optimal portfolio return based on the historical data. With the popularity of computer technology, the operation and analysis of large dimensional data have become feasible, which makes financial analysis more and more accurate. However, the classical multivariate statistical analysis often no longer applies to the large-dimensional scene, so a lot of problems appear in the mean-variance model. Fortunately, large dimensional random matrix theory has potential advantages to improving the model. This paper is devoted to the introduction of the mean-variance model and the enhancement by large dimensional random matrices together with bootstrap.