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

DOI10.1214/10-AOS795MaRDI QIDQ620558zbMATH OpenOpenAlexFDO

Authors Noureddine El Karoui

Publication date 19 January 2011

Published in Lua error in package.lua at line 80: module 'SPARQL' not found. (Search for Journal in Brave)

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

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