LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION

DOI10.1142/S0219024916500357zbMath1396.91678MaRDI QIDQ2816955

Susanne Still, Imre Kondor, Fabio Caccioli, Matteo Marsili

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationexpected shortfallestimation error

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (6)

Portfolio optimization under Expected Shortfall: contour maps of estimation error ⋮ Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint ⋮ Replica approach to mean-variance portfolio optimization ⋮ Analytic solution to variance optimization with no short positions ⋮ Theq-dependent detrended cross-correlation analysis of stock market ⋮ Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

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• Information, Physics, and Computation
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Regularization and Variable Selection Via the Elastic Net

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