Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

DOI10.1088/1742-5468/aaf108OpenAlexW2908341711MaRDI QIDQ5006871

Gábor Papp, Imre Kondor, Fabio Caccioli

Publication date: 17 August 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.08297

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Sparse causality network retrieval from short time series

Uses Software

• ElemStatLearn

Cites Work

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• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Portfolio optimization under Expected Shortfall: contour maps of estimation error
• Regularizing portfolio optimization
• Theory of Financial Risk and Derivative Pricing
• On the feasibility of portfolio optimization under expected shortfall

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