On the Realized Risk of High-Dimensional Markowitz Portfolios (Q2873148): Difference between revisions
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Latest revision as of 02:45, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Realized Risk of High-Dimensional Markowitz Portfolios |
scientific article |
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On the Realized Risk of High-Dimensional Markowitz Portfolios (English)
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23 January 2014
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covariance matrices
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quadratic programs
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multivariate statistical analysis
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high-dimensional inference
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random matrix theory
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concentration of measure
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Markowitz problem
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elliptical distributions
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