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On the feasibility of portfolio optimization under expected shortfall

[Zeitschriftenartikel]

Ciliberti, Stefano; Kondor, Imre; Mézard, Marc

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221061

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Abstract We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external parameters, when the available time series is too short, the portfolio optimization is ill posed because it leads to unbounded positions, infinitely short on some assets and infinitely long on some others. As first observed by Kondor and coworkers, this phenomenon is actually a phase transition. We investigate the nature of this transition by means of a replica approach.
Klassifikation Finanzwirtschaft, Rechnungswesen; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Statistical physics; Finance; Portfolio optimization; Quantitative finance; Correlation modelling; Critical phenomena; Risk measures
Sprache Dokument Englisch
Publikationsjahr 2007
Seitenangabe S. 389-396
Zeitschriftentitel Quantitative Finance, 7 (2007) 4
DOI http://dx.doi.org/10.1080/14697680701422089
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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