Download full text
(708.5Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221061
Exports for your reference manager
On the feasibility of portfolio optimization under expected shortfall
[journal article]
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... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Financial Planning, Accountancy
Free Keywords
Statistical physics; Finance; Portfolio optimization; Quantitative finance; Correlation modelling; Critical phenomena; Risk measures
Document language
English
Publication Year
2007
Page/Pages
p. 389-396
Journal
Quantitative Finance, 7 (2007) 4
DOI
https://doi.org/10.1080/14697680701422089
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)