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Look at randommatrixportfolios.com


This is a very good question. In part, you can find a comparison by going to randommatrixportfolios.com and looking at the wealth charts for e.g. the Dow 30 portfolios, say, the 2-year data. You will note that portfolios based regressing the log-returns of price on the "signal" PCs (principal components) based on the Marcenko-Pastur noise cutoff and using ...

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