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Analysis of relations between covariance weights and corresponding maximum Eigen values

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dc.contributor.author Ranasinghe, L.P
dc.contributor.author Perera, S.S.N
dc.contributor.author Wijerathna, J.K
dc.contributor.author Nicolas, P
dc.date.accessioned 2016-03-18T05:14:24Z
dc.date.available 2016-03-18T05:14:24Z
dc.date.issued 2014-08-02
dc.identifier.citation Proceedings of 4th International Symposium 2015 on " Emerging Trends and Challenges on Sustainable Development”, p. 76
dc.identifier.isbn 978-955-627-053-2
dc.identifier.uri http://ir.lib.seu.ac.lk/handle/123456789/1459
dc.description.abstract This paper studies on how to get an idea through maximum eigen values, when allocating weights to covariance matrix. The eigen density distribution with respect to the largest eigen value is analysed. This study will help to determine the fluctuation of the eigen distribution with respect to allocated weight of the covariance matrix. This can be used to develop the classic portfolio asset allocation model by adding investors‘ ideas as parameters or weights. The maximum eigen value is 2.24 and the corresponding weight is 1.6, the minimum eigen value is 0.24 and the corresponding weight is 0.9. There are two peaks of the eigen values at 0.62 and 2.24 respectively 0.5 and 1.6 of weights. Two minimum points identified with corresponding eigen values are 0.43 and 0.24 respectively 0.2 and 0.9 of weights. For comparison the density function is plotted with Q = 3.22 and variance 0.85: this theoretical value was obtained assuming that the matrix is purely random except for its highest eigen value. The fact that the lower edge of the density is strictly positive (Except for the Q = 1); then there are no eigen values between 0 and the minimum eigen value. en_US
dc.language.iso en_US en_US
dc.publisher South Eastern University of Sri Lanka, University Park, Oluvil #32360, Sri Lanka en_US
dc.subject Eigen values en_US
dc.subject Maximum eigen values en_US
dc.subject Eigen density en_US
dc.subject Covariance en_US
dc.subject Weights en_US
dc.title Analysis of relations between covariance weights and corresponding maximum Eigen values en_US
dc.type Article en_US


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