IEEE Signal Processing Magazine, vol.28, no.5, pp.61-71, 2011 (SCI-Expanded)
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. © 2011 IEEE.