Next week's seminar

[CM ICTP - Trieste]

JOINT ICTP/SISSA STATISTICAL PHYSICS SEMINAR



Tuesday, 17 June    -  11:00 hrs.



Seminar Room- ICTP Leonardo Building-1st floor



I. KONDOR   ( Eotvos University & Collegium Budapest )


" The instability of coherent risk measures "


Abstract

It is shown that the axioms for coherent risk measures imply that 
whenever a dominant portfolio can be formed on a given sample (which 
happens with finite probability even for large samples), then portfolio 
optimization cannot be performed under any coherent measure on that 
sample, and the risk measure diverges to minus infinity.  This 
instability was first discovered on the special example of Expected 
Shortfall which is used here both as an illustration and as a 
springboard for generalization.