On the Realized Risk of High-Dimensional Markowitz Portfolios.
Noureddine El KarouiPublished in: SIAM J. Financial Math. (2013)
Keyphrases
- portfolio optimization
- high dimensional
- portfolio selection
- portfolio management
- risk management
- risk measures
- problems involving
- low dimensional
- factor analysis
- bi objective
- investment decisions
- multi dimensional
- robust optimization
- stock market
- stock price
- optimization methods
- high dimensionality
- dimensionality reduction
- multi modal
- optimal portfolio
- similarity search
- high dimensional spaces
- high dimensional problems
- high dimensional data
- parameter space
- risk analysis
- sparse data
- feature space
- sparse coding
- high risk
- discrete data
- risk averse