High-Dimensionality Effects in the Markowitz Problem and other Quadratic Programs with Linear Equality Constraints: Risk Underestimation

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Event details

Date 24.11.2009
Hour 14:15
Speaker Prof. Noureddine El Karoui, University of California, Berkeley
Location
Room MA A1 10 - Building MA - 1st Floor
Category Conferences - Seminars

Practical information

  • General public
  • Free

Contact

  • Maroussia Schaffner

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