Risk minimization through portfolio replication

DOI10.1140/EPJB/E2007-00130-7zbMath1189.91191arXivphysics/0608035OpenAlexW3102988950MaRDI QIDQ978811

J. Martínez

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0608035

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Time-dependent statistical mechanics (dynamic and nonequilibrium) (82C99) Portfolio theory (91G10)

Related Items (13)

Analysis of overfitting in the regularized Cox model ⋮ Maximizing and minimizing investment concentration with constraints of budget and investment risk ⋮ Portfolio optimization under Expected Shortfall: contour maps of estimation error ⋮ A generalized error distribution copula-based method for portfolios risk assessment ⋮ 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 ⋮ A new spin on optimal portfolios and ecological equilibria ⋮ Divergent estimation error in portfolio optimization and in linear regression ⋮ Macroscopic relationship in primal-dual portfolio optimization problem ⋮ Validation of the replica trick for simple models ⋮ Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

Cites Work

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• Noisy covariance matrices and portfolio optimization. II
• Coherent Measures of Risk
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier

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