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%T On the feasibility of portfolio optimization under expected shortfall
%A Ciliberti, Stefano
%A Kondor, Imre
%A Mézard, Marc
%J Quantitative Finance
%N 4
%P 389-396
%V 7
%D 2007
%K Statistical physics; Finance; Portfolio optimization; Quantitative finance; Correlation modelling; Critical phenomena; Risk measures
%= 2011-03-15T13:13:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221061
%X 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.
%C GBR
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info