High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation

DOI10.1214/10-AOS795zbMath1274.62365arXiv1211.2917OpenAlexW2144809865MaRDI QIDQ620558

Noureddine El Karoui

Publication date: 19 January 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.2917

zbMATH Keywords

convex optimizationelliptical distributionsrandom matrix theoryconcentration of measuremultivariate statistical analysishigh-dimensional inferencecovariance matricesMarkowitz problemWishart matricesquadratic programs

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Random matrices (probabilistic aspects) (60B20) Quadratic programming (90C20) Portfolio theory (91G10)

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Uses Software

• QRM

Cites Work

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