Random Matrix Filtering in Portfolio Optimization
  We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may be misleading. In this paper we investigate a recently introduced filtering procedure, and demonstrate the applicability of this method in a controlled, simulation environment. 
Gabor Papp, Szilard Pafka, Maciej A. Nowak and Imre Kondor