High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558)
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| English | High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation |
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High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (English)
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19 January 2011
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covariance matrices
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convex optimization
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quadratic programs
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multivariate statistical analysis
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high-dimensional inference
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concentration of measure
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random matrix theory
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Markowitz problem
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Wishart matrices
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elliptical distributions
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0.8631886839866638
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0.7633013725280762
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0.7593952417373657
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0.7537909150123596
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0.7537149786949158
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