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On the feasibility of portfolio optimization under expected shortfall

Citations

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Cited by:

  1. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
  2. Papp, Gábor & Caccioli, Fabio & Kondor, Imre, 2019. "Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization," LSE Research Online Documents on Economics 100294, London School of Economics and Political Science, LSE Library.
  3. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
  4. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
  5. Anastasis Kratsios, 2019. "Partial Uncertainty and Applications to Risk-Averse Valuation," Papers 1909.13610, arXiv.org, revised Oct 2019.
  6. Papp, Gábor & Kondor, Imre & Caccioli, Fabio, 2021. "Optimizing expected shortfall under an ℓ1 constraint—an analytic approach," LSE Research Online Documents on Economics 111051, London School of Economics and Political Science, LSE Library.
  7. Shinzato, Takashi, 2018. "Maximizing and minimizing investment concentration with constraints of budget and investment risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 986-993.
  8. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
  9. Leonardo Baggiani & Martin Herdegen & Nazem Khan, 2025. "The Interplay between Utility and Risk in Portfolio Selection," Papers 2509.10351, arXiv.org.
  10. Jean-Philippe Bouchaud & Matteo Marsili & Jean-Pierre Nadal, 2023. "Application of spin glass ideas in social sciences, economics and finance," Papers 2306.16165, arXiv.org.
  11. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
  12. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.
  13. G'abor Papp & Imre Kondor & Fabio Caccioli, 2021. "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers 2103.04375, arXiv.org.
  14. G'abor Papp & Fabio Caccioli & Imre Kondor, 2016. "Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization," Papers 1602.08297, arXiv.org, revised Jul 2018.
  15. Imre Kondor & G'abor Papp & Fabio Caccioli, 2016. "Analytic solution to variance optimization with no short-selling," Papers 1612.07067, arXiv.org, revised Jan 2017.
  16. Thapar, Rishi & Minsky, Bernard & Obradovic, M & Tang, Qi, 2009. "Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation," MPRA Paper 17099, University Library of Munich, Germany.
  17. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
  18. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
  19. Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
  20. Joel Bun & Jean-Philippe Bouchaud & Marc Potters, 2016. "Cleaning large correlation matrices: tools from random matrix theory," Papers 1610.08104, arXiv.org.
  21. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
  22. Imre Kondor & Fabio Caccioli & G'abor Papp & Matteo Marsili, 2015. "Contour map of estimation error for Expected Shortfall," Papers 1502.06217, arXiv.org.
  23. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
  24. Kristoffer Andersson & Cornelis W. Oosterlee, 2023. "D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options," Papers 2308.10556, arXiv.org, revised Sep 2023.
  25. Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
  26. Axel Pruser & Imre Kondor & Andreas Engel, 2021. "Aspects of a phase transition in high-dimensional random geometry," Papers 2105.04395, arXiv.org, revised Jun 2021.
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