On the realized risk of high-dimensional Markowitz portfolios
DOI10.1137/090774926zbMATH Open1358.91092OpenAlexW1970686657MaRDI QIDQ2873148FDOQ2873148
Authors: Noureddine El Karoui 
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/516194844b78887ab0a2ff7c6172ded48b805de5
Recommendations
high-dimensional inferencerandom matrix theoryelliptical distributionscovariance matricesconcentration of measureMarkowitz problemquadratic programsmultivariate statistical analysis
Multivariate distribution of statistics (62H10) Quadratic programming (90C20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cited In (22)
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Robustifying Markowitz
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Can we trust the bootstrap in high-dimensions? The case of linear models
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- The effect of estimation in high-dimensional portfolios
- Estimation of high dimensional portfolio risk
- Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
- Random matrix models for datasets with fixed time horizons
- Robust inference of risks of large portfolios
- Noise fit, estimation error and a Sharpe information criterion
- Random matrix theory in statistics: a review
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- Network models to improve robot advisory portfolios
- On the Combination of Naive and Mean-Variance Portfolio Strategies
- Large portfolio allocation under elliptical distribution with a latent factor structure
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
- A combinatorial optimization approach to scenario filtering in portfolio selection
- Cleaning large correlation matrices: tools from random matrix theory
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- The dispersion bias
- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
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