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Diversification of an investment into independently fluctuating
assets reduces its risk. In reality, movements of assets are
mutually correlated and therefore knowledge of cross-correlations
among asset price movements are of great importance. Our results
support the possibility that the problem of finding an investment
in stocks which exposes invested funds to a minimum level of risk
is analogous to the problem of finding the magnetization of a
random magnet. The interactions for this “random magnet
problem” are given by the cross-correlation matrix
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