283 citations
- University College LondonGB54 papers
- London School of Economics and Political ScienceGB48 papers
- London Mathematical LaboratoryGB13 papers
- King's College LondonGB10 papers
- London Institute for Mathematical SciencesGB7 papers
- University of ZurichCH5 papers
- Eötvös Loránd UniversityHU4 papers
- IMT School for Advanced Studies LuccaIT4 papers
- Institute for Complex SystemsIT4 papers
- Parmenides FoundationDE4 papers
- Complexity Science HubAT3 papers
- Department of Science and TechnologyIN3 papers
4 papers · 1 filter
Optimizing Expected Shortfall under an constraint -- an analytic approach
Gábor Papp, Imre Kondor, Fabio Caccioli
Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable agains…
Analytic solution to variance optimization with no short-selling
Imre Kondor, Gábor Papp, Fabio Caccioli
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric …
Replica approach to mean-variance portfolio optimization
Istvan Varga-Haszonits, Fabio Caccioli, Imre Kondor
We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with th…
Optimal growth trajectories with finite carrying capacity
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli +1
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is s…