@article{istheempiricaloutofsamplevariancean,
  title = {Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?},
  author = {Taras Bodnar and Nestor Parolya and Erik Thorsén},
  year = {2021},
  eprint = {2111.12532},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2111.12532v1},
}