This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...

This paper examines the impact of estimation errors on the financial portfolios optimization processes and investigates the controversy problem of the international and domestic optimal diversification strategies choice from an American investor’s point of view. We introduce the concept of...