Actually it is Exercise 2.5.1 in High Dimensional Probability by Vershynin.
I got stuck at showing that for $p \geq 1$, $$\left[\Gamma\left(\frac{p+1}{2}\right)\right]^{1/p}=O(\sqrt{p}) \ \ \ \text{as }p\rightarrow\infty$$ I can show it if $p\in \mathbb{N}$ but I have no idea for real $p\geq 1$.
Any kinds of help is appreciated, thank you!

Using Stirling's formula, we have $$ \Gamma\left(\frac{p+1}{2}\right)=\sqrt{\pi p}\left(\frac{p+1}{2e}\right)^{\frac{p+1}{2}}(1+o(1)) $$ Thus $$ \Gamma\left(\frac{p+1}{2}\right)^{\frac{1}{p}}=\left(\frac{p+1}{2e}\right)^{\frac{p+1}{2p}}(\pi p+o(p))^{\frac{1}{2p}} $$ because $\pi p(1+o(1))^2=\pi p+o(p)$. $$ \begin{aligned}\left(\frac{p+1}{2e}\right)^{\frac{p+1}{2p}}&=\exp\left(\frac{p+1}{2p}\ln\left(\frac{p+1}{2e}\right)\right) \\ &=\exp\left(\frac{p+1}{2p}\ln(p+1)-\frac{p+1}{2p}\ln(2e)\right) \\ &=\exp\left(\frac{\ln p}{2}-\frac{\ln 2+1}{2}+o(1)\right) \\ &=\sqrt{\frac{p}{2}}e^{-\frac{1}{2}+o(1)} \end{aligned} $$ and $$ (\pi p+o(p))^{\frac{1}{2p}}=\exp\left(\frac{1}{2p}\ln(\pi p+o(p))\right)=e^{o(1)} $$ Thus $$ \Gamma\left(\frac{p+1}{2}\right)^{\frac{1}{p}}\underset{p\rightarrow +\infty}{\sim}\sqrt{\frac{p}{2e}} $$