通过产品组合复制实现风险最小化
Risk Minimization through Portfolio Replication
摘要：
我们使用复制的方法来处理投资组合优化问题。使用资产价值相关性的经验估计来最小化给定的风险度量。我们研究的相变时发生的时间序列是太短的投资组合的大小。我们还研究了噪声敏感性的投资组合配置时，这一转变的做法。我们考虑明确的情况下，绝对偏差和条件的风险值被选为风险度量。我们展示了如何复制的方法可以研究范围广泛的风险措施，并处理各种类型的时间序列相关性，包括现实的波动率聚类。
英文摘要：
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 transition which happens when the time series is too short with respect to the size of the portfolio. We also study the noise sensitivity of portfolio allocation when this transition is approached. We consider explicitely the cases where the absolute deviation and the conditional value-at-risk are chosen as a risk measure. We show how the replica method can study a wide range of risk measures, and deal with various types of time series correlations, including realistic ones with volatility clustering.
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