INSTABILITY OF PORTFOLIO OPTIMIZATION UNDER COHERENT RISK MEASURES

DOI10.1142/S0219525910002591zbMath1193.91139arXiv0803.2283MaRDI QIDQ3585128

Imre Kondor, I. Varga-Haszonits

Publication date: 19 August 2010

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.2283

zbMATH Keywords

estimationportfolio optimizationcoherent risk measuresfinancial riskexpected shortfall

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Portfolio optimization under Expected Shortfall: contour maps of estimation error ⋮ Replica approach to mean-variance portfolio optimization ⋮ Analytic solution to variance optimization with no short positions ⋮ LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION ⋮ Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

Cites Work

• A quantitative clustering approach to ultrametricity in spin glasses
• Axiomatic characterization of insurance prices
• Coherent Measures of Risk
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Information, Physics, and Computation
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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