On the realized risk of high-dimensional Markowitz portfolios (Q2873148)
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scientific article; zbMATH DE number 6249479
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| English | On the realized risk of high-dimensional Markowitz portfolios |
scientific article; zbMATH DE number 6249479 |
Statements
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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On the realized risk of high-dimensional Markowitz portfolios (English)
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0.8631886839866638
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0.7929540276527405
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0.79116290807724
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0.7897804379463196
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0.7738772630691528
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