Seminar 217, Risk Management: "Some remarks on the high-dimensional Markowitz problem"

Seminar 217, Risk Management: "Some remarks on the high-dimensional Markowitz problem"

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Mar 17, 2015, 10:00 AM - 11:30 AM | 597 Evans Hall | Happening As Scheduled
Noureddine El Karoui, UC Berkeley (Speaker - Featured)
Abstract: Over the last few years, there has been some interest in the statistics community for questions involving large dimensional random matrices. The paradigm considered there can be used to ask questions about the behavior of classical problems of applied mathematics, such as the Markowitz problem in Finance, in the high-dimensional setting where we have many assets and many...