On the Realized Risk of High-Dimensional Markowitz Portfolios

DOI10.1137/090774926zbMath1358.91092OpenAlexW1970686657MaRDI QIDQ2873148

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

elliptical distributionsrandom matrix theoryconcentration of measuremultivariate statistical analysishigh-dimensional inferencecovariance matricesMarkowitz problemquadratic programs

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (15)

Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling ⋮ Solving some stochastic partial differential equations driven by Lévy noise using two SDEs* ⋮ Ramsey rule with forward/backward utility for long-term yield curves modeling ⋮ A combinatorial optimization approach to scenario filtering in portfolio selection ⋮ Network models to improve robot advisory portfolios ⋮ The Dispersion Bias ⋮ Robustifying Markowitz ⋮ Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem ⋮ Noise fit, estimation error and a Sharpe information criterion ⋮ Random matrix theory in statistics: a review ⋮ On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Can we trust the bootstrap in high-dimension? ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Random matrix models for datasets with fixed time horizons

This page was built for publication: On the Realized Risk of High-Dimensional Markowitz Portfolios