Paper Info
Title
Instability of Portfolio Optimization under Coherent Risk Measures
Abstract
It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other in a given sample (which happens with finite probability even for large samples), then there is no optimal portfolio under any coherent measure on that sample, and the risk measure diverges to minus infinity. This instability was first discovered in the special example of Expected Shortfall which is used here both as an illustration and as a springboard for generalization.
Year
DOI
Venue
2010
10.1142/S0219525910002591
ADVANCES IN COMPLEX SYSTEMS
Keywords
DocType
Volume
Coherent risk measures,portfolio optimization,expected shortfall,financial risk,estimation
Journal
13
Issue
ISSN
Citations 
SP3
0219-5259
0
PageRank 
References 
Authors
0.34
0
2
Name
Order
Citations
PageRank
Imre Kondor16812.60
István Varga-Haszonits200.34