Portfolio Management Using the Complex Wishart Distribution

This paper presents a novel approach to portfolio management by leveraging the properties of the Complex Wishart Distribution. This distribution, unlike its real counterpart, is adept at modeling the covariance of complex-valued data, making it particularly suitable for financial returns that can exhibit complex dependencies. The methodology proposed herein provides a more robust framework for estimating and managing risk in diversified portfolios. This work is entirely self-contained and introduces the necessary background, theoretical framework, and practical applica- tions of this novel approach.