On the realized risk of high-dimensional Markowitz portfolios

DOI10.1137/090774926MaRDI QIDQ2873148zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

high-dimensional inferencerandom matrix theoryelliptical distributionscovariance matricesconcentration of measureMarkowitz problemquadratic programsmultivariate statistical analysis

Mathematics Subject Classification ID

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)

Recommendations

• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Robust portfolio optimization
• Robust portfolio optimization
• Estimation of the global minimum variance portfolio in high dimensions
• Risks of large portfolios

Cited in

(23)

• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
• Robustifying Markowitz
• 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
• Risks of large portfolios
• The dispersion bias

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