dorsal/arxiv
View SchemaOn the Feasibility of Portfolio Optimization under Expected Shortfall
| Authors | Stefano Ciliberti, Imre Kondor, Marc Mezard |
|---|---|
| Categories | |
| ArXiv ID | physics/0606015 |
| URL | https://arxiv.org/abs/physics/0606015 |
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 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.
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"abstract": "We address the problem of portfolio optimization under the simplest coherent\nrisk measure, i.e. the expected shortfall. As it is well known, one can map\nthis problem into a linear programming setting. For some values of the external\nparameters, when the available time series is too short, the portfolio\noptimization is ill posed because it leads to unbounded positions, infinitely\nshort on some assets and infinitely long on some others. As first observed by\nKondor and coworkers, this phenomenon is actually a phase transition. We\ninvestigate the nature of this transition by means of a replica approach.",
"arxiv_id": "physics/0606015",
"authors": [
"Stefano Ciliberti",
"Imre Kondor",
"Marc Mezard"
],
"categories": [
"physics.soc-ph",
"cond-mat.dis-nn",
"q-fin.PM"
],
"title": "On the Feasibility of Portfolio Optimization under Expected Shortfall",
"url": "https://arxiv.org/abs/physics/0606015"
},
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