Maximizing and minimizing investment concentration with constraints of budget and investment risk

DOI10.1016/j.physa.2017.08.088OpenAlexW2963216339MaRDI QIDQ2150048

Takashi Shinzato

Publication date: 27 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.04522

zbMATH Keywords

portfolio optimizationinvestment riskinvestment concentrationreplica analysis

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Macroscopic relationship in primal-dual portfolio optimization problem

Cites Work

• Risk minimization through portfolio replication
• Replica approach to mean-variance portfolio optimization
• Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints
• Information, Physics, and Computation
• Statistical Physics of Spin Glasses and Information Processing
• On the feasibility of portfolio optimization under expected shortfall

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