摘要翻译：
我们研究了在非平稳行为存在的情况下，使用标准皮尔逊估计量来度量金融股票之间的相关系数可能存在的缺陷，并针对使用较长的价格时间序列提供更好、更准确的相关估计这一公认的常识提供了经验证据。然后，我们研究了经验相关系数测量的不稳定性对最优投资组合选择的可能后果。我们依赖于以前发表的著作，这些著作提供了一个框架，允许考虑由于投资组合权重的非最优性而可能出现的风险低估，以便将这种非最优效应与真正由于非平稳性而出现的风险低估区分开来。我们用投资组合相关矩阵的某些谱性质的不稳定性来解释这些结果。
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英文标题：
《On the non-stationarity of financial time series: impact on optimal
  portfolio selection》
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作者：
Giacomo Livan, Jun-ichi Inoue, Enrico Scalas
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the well-established common knowledge that using longer price time series provides better, more accurate, correlation estimates. Then, we investigate the possible consequences of instabilities in empirical correlation coefficient measurements on optimal portfolio selection. We rely on previously published works which provide a framework allowing to take into account possible risk underestimations due to the non-optimality of the portfolio weights being used in order to distinguish such non-optimality effects from risk underestimations genuinely due to non-stationarities. We interpret such results in terms of instabilities in some spectral properties of portfolio correlation matrices.
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PDF链接：
https://arxiv.org/pdf/1205.0877