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On the feasibility of portfolio optimization under expected shortfall
[Zeitschriftenartikel]
Abstract We address the problem of portfolio optimization under the simplest coherent
risk measure, i.e. the expected shortfall. As it is well known, one can map
this problem into a linear programming setting. For some values of the
external parameters, when the available time series is too short, the
portfo... mehr
We address the problem of portfolio optimization under the simplest coherent
risk measure, i.e. the expected shortfall. As it is well known, one can map
this problem into a linear programming setting. For some values of the
external parameters, when the available time series is too short, the
portfolio optimization is ill posed because it leads to unbounded positions,
infinitely short on some assets and infinitely long on some others. As first
observed by Kondor and coworkers, this phenomenon is actually a phase transition.
We investigate the nature of this transition by means of a replica approach.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Freie Schlagwörter
Statistical physics; Finance; Portfolio optimization; Quantitative finance; Correlation modelling; Critical phenomena; Risk measures
Sprache Dokument
Englisch
Publikationsjahr
2007
Seitenangabe
S. 389-396
Zeitschriftentitel
Quantitative Finance, 7 (2007) 4
DOI
https://doi.org/10.1080/14697680701422089
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)