High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation
Markowitz 问题及线性约束二次规划的高维效应:风险低估
We first study the properties of solutions of quadratic programs with linear equality constraints whose parameters are estimated from data in the high-dimensional setting where p, the number of variables in the problem, is of the same order of magnitude as n, the number of observations used to estimate the parameters. The Markowitz problem in Finance is a subcase of our study. Assuming normality and independence of the observations we relate the efficient frontier computed…