29 citations · 157 across the 16 of their papers we have counts for
Showing 2006 · physics.soc-phShow all
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physics.soc-ph2006★ 29 cited
Risk Minimization through Portfolio Replication
Stefano Ciliberti, Marc Mezard
We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase…
physics.soc-ph2006
On the Feasibility of Portfolio Optimization under Expected Shortfall
Stefano Ciliberti, Imre Kondor, Marc Mezard
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear…