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q-fin.ST2026
Lower spectrum of financial correlation matrices: a new perspective on market synchronization
Rosanna Grassi, Caterina Pastorino, Pierpaolo Uberti
In this paper we investigate the information content of the lower part of the spectrum of financial correlation matrices, as a source of information on market synchronization. In a…
q-fin.RM2026
Measuring the risk or reducing it, that is the question: is risk measurement necessary for risk reduction?
Pierpaolo Uberti
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents…
q-fin.PM2026
Some general results on risk budgeting portfolios
Claudia Fassino, Pierpaolo Uberti
Given a reference risk measure, the risk budgeting is the portfolio where each asset contributes a predetermined amount to the total risk. We propose a novel approach, alternative…