Bias-variance trade-off in portfolio optimization under expected shortfall with \newcommand{\e}{{\rm e}} {\ell₂} regularization

DOI10.1088/1742-5468/AAF108MaRDI QIDQ5006871zbMATH OpenOpenAlexFDO

Authors Gábor Papp, Imre Kondor, Fabio Caccioli

Publication date 17 August 2021

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://arxiv.org/abs/1602.08297

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 1273988 (Why is no real title available?)
• A well-conditioned estimator for large-dimensional covariance matrices
• Instability of portfolio optimization under coherent risk measures
• Liquidity risk and instabilities in portfolio optimization
• On the feasibility of portfolio optimization under expected shortfall
• Portfolio optimization under expected shortfall: contour maps of estimation error
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Regularizing portfolio optimization
• Risk minimization through portfolio replication
• Sparse and stable Markowitz portfolios
• Theory of Financial Risk and Derivative Pricing

Cited in

(1)

• Sparse causality network retrieval from short time series

Describes a project that uses

Uses Software

• ElemStatLearn

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