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

DOI10.1088/1742-5468/AAF108OpenAlexW2908341711MaRDI QIDQ5006871FDOQ5006871

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)

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

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Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Title not available (Why is that?)
• Sparse and stable Markowitz portfolios
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Theory of Financial Risk and Derivative Pricing
• On the feasibility of portfolio optimization under expected shortfall
• Liquidity risk and instabilities in portfolio optimization
• Regularizing portfolio optimization
• Risk minimization through portfolio replication
• Instability of portfolio optimization under coherent risk measures
• Portfolio optimization under expected shortfall: contour maps of estimation error

Cited In (1)

• Sparse causality network retrieval from short time series

Uses Software

• ElemStatLearn

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