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Bodnar, Taras (author), Parolya, N. (author), Thorsén, Erik (author)The main contribution of this paper is the derivation of the asymptotic behavior of the out-of-sample variance, the out-of-sample relative loss, and of their empirical counterparts in the high-dimensional setting, i.e., when both ratios p/n and p/m tend to some positive constants as m→∞ and n→∞, where p is the portfolio dimension, while n and...journal article 2023