450 citations · 5.9k across the 79 of their papers we have counts for
4 papers · 1 filter
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…
Asymmetric quantum error correcting codes
Lev Ioffe, Marc Mezard
The noise in physical qubits is fundamentally asymmetric: in most devices, phase errors are much more probable than bit flips. We propose a quantum error correcting code which take…
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…
The number of matchings in random graphs
Lenka Zdeborová, Marc Mézard
We study matchings on sparse random graphs by means of the cavity method. We first show how the method reproduces several known results about maximum and perfect matchings in regul…