Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises

DOI10.1016/J.COMGEO.2022.101916MaRDI QIDQ2096364zbMATH OpenOpenAlexWikidataFDO

Authors Ludovic Calès, Apostolos Chalkis, Ioannis Z. Emiris, Vissarion Fisikopoulos

Publication date 16 November 2022

Published in Computational Geometry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.comgeo.2022.101916

zbMATH Keywords

samplingsimplexconvex bodyempirical financepolytope volume

Mathematics Subject Classification ID

Portfolio theory (91G10) (n)-dimensional polytopes (52B11) Approximation by convex sets (52A27)

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Cites work

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• Dynamic risk exposures in hedge funds
• Geodesic walks in polytopes
• Hit-and-run mixes fast
• On the Complexity of Computing the Volume of a Polyhedron
• Polytope Volume Computation
• Practical polytope volume approximation
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Cited in

(4)

• Computing the volume of n-dimensional copulas
• Linear programming with infinite, finite, and infinitesimal values in the right-hand side
• Computing the volume of a high-dimensional semi-unsupervised hierarchical copula
• scientific article; zbMATH DE number 7236423 (Why is no real title available?)

Describes a project that uses

Uses Software

• PyPortfolioOpt
• ECOS
• Boost
• Eigen
• Boost C++ Libraries

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