{"id":640,"date":"2014-11-04T13:00:44","date_gmt":"2014-11-04T12:00:44","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/?p=640"},"modified":"2015-07-17T13:49:09","modified_gmt":"2015-07-17T12:49:09","slug":"fabio-caccioli-instabilities-in-portfolio-optimization-and-regularization","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/fabio-caccioli-instabilities-in-portfolio-optimization-and-regularization\/","title":{"rendered":"Fabio Caccioli, \u201cInstabilities in portfolio optimization and regularization\u201d"},"content":{"rendered":"<p style=\"text-align: center;\"><span lang=\"IT\">Tuesday\u00a0November\u00a04<span style=\"font-size: 12px; line-height: 0px;\">\u00a0<\/span>\u00a02014<\/span><br \/>\n13.00<br \/>\nScuola Normale Superiore<br \/>\nAula\u00a0Bianchi<\/p>\n<p style=\"text-align: center;\"><strong>Fabio Caccioli<br \/>\n<\/strong>University College London<\/p>\n<p style=\"text-align: center;\" align=\"center\"><strong><span lang=\"EN-GB\">Abstract<br \/>\n<\/span><\/strong><\/p>\n<p style=\"text-align: center;\">We consider the problem of portfolio selection in presence of market impact, and we show that including a term which accounts for finite liquidity in portfolio optimization naturally mitigates the instabilities that arise in the estimation of coherent risk measures. This is because taking into account the impact of trading in the market is mathematically equivalent to introducing a regularization on the risk measure. We show that the impact function determines which regularizer is to be used, and we characterize the typical behavior of the optimal portfolio in the limit of large portfolio sizes for the case of Expected Shortfall.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tuesday\u00a0November\u00a04\u00a0\u00a02014 13.00 Scuola Normale Superiore Aula\u00a0Bianchi Fabio Caccioli University College London Abstract We consider the problem of portfolio selection in presence of market impact, and we show that including a term which accounts for finite liquidity in portfolio optimization naturally mitigates the instabilities that arise in the estimation of coherent risk measures. This is because [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/640"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=640"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/640\/revisions"}],"predecessor-version":[{"id":654,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/640\/revisions\/654"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=640"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=640"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=640"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}