On the feasibility of portfolio optimization under expected shortfall

DOI10.1080/14697680701422089zbMath1190.91116arXivphysics/0606015OpenAlexW2083072373MaRDI QIDQ5423191

Imre Kondor, Stefano Ciliberti, Marc Mézard

Publication date: 22 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0606015

zbMATH Keywords

critical phenomenaportfolio optimizationfinancerisk measuresStatistical physicsquantitative financecorrelation modelling

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Time-dependent statistical mechanics (dynamic and nonequilibrium) (82C99) Portfolio theory (91G10)

Related Items (13)

Maximizing and minimizing investment concentration with constraints of budget and investment risk ⋮ Portfolio optimization under Expected Shortfall: contour maps of estimation error ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ Fuzzy portfolio selection problem with different borrowing and lending rates ⋮ Regularizing portfolio optimization ⋮ Replica approach to mean-variance portfolio optimization ⋮ Analytic solution to variance optimization with no short positions ⋮ Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Asset allocation strategies based on penalized quantile regression ⋮ Macroscopic relationship in primal-dual portfolio optimization problem ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

Cites Work

• The high temperature region of the Viana-Bray diluted spin glass model
• Coherent Measures of Risk

This page was built for publication: On the feasibility of portfolio optimization under expected shortfall