Summary

A brief introduction to random matrix theory will be given from its origins in statistical physics to its more modern formulation using elements of free probability.

Description

From this perspective, the family of rotationally invariant estimators will be described, and applications within Markowitz portfolio theory will be discussed. Throughout, use will be made of tools from data science and Python simulations to develop intuition for the theory."

Data of the activity

Sponsors:

International Doctoral School (EIDUAL)

Teaches:

Andrés García Medina (Researcher Catedras CONACyT, CIMAT-Monterrey)

Date:

June 21 & 22, 2022, from 10:00 am to 1:00 pm.

Directed to:

D. students in Economics and Mathematics.

No. of hours:

6 hours

Place:

Room 01, Departmental Building A - Education

No. of places:

25

Certificate:

Issued by the organization of the event (jetrini@ual.es).
Registration