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

13 November 2012

Papers citing "High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation"

3 / 3 papers shown

Title
LoCoV: low dimension covariance voting algorithm for portfolio optimization Juntao Duan Ionel Popescu 14 0 0 01 Apr 2022
Asymptotics For High Dimensional Regression M-Estimates: Fixed Design Results Lihua Lei Peter J. Bickel N. Karoui 11 39 0 19 Dec 2016
Can we trust the bootstrap in high-dimension? N. Karoui E. Purdom 25 23 0 02 Aug 2016