Journal article | Zeitschriftenartikel
On the feasibility of portfolio optimization under expected shortfall
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.
- Extent
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Seite(n): 389-396
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Quantitative Finance, 7(4)
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
- Event
-
Geistige Schöpfung
- (who)
-
Ciliberti, Stefano
Kondor, Imre
Mézard, Marc
- Event
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Veröffentlichung
- (where)
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Vereinigtes Königreich
- (when)
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2007
- DOI
- URN
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urn:nbn:de:0168-ssoar-221061
- Rights
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:26 PM CEST
Data provider
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Ciliberti, Stefano
- Kondor, Imre
- Mézard, Marc
Time of origin
- 2007
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