'Spectral measures' diaporamas de présentation

Portfolio Optimization with Spectral Measures of Risk Carlo Acerbi and Prospero Simonetti

495 views • 37 slides

UBI Pramerica SGR

UBI Pramerica SGR. Implementation of portfolio optimization with spectral measures of risk Roberto Strepparava. January 2009. Summary. Introduction and motivation Optimization of Spectral Measures of risk ? -ES efficient frontier via parametric method

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S +

5 . Scattering Approach (alternative secular equation). S -. S +. d=(j,i). t(d)=j. o(d)=i. Compare with :. 3. Spectral ? function. Note : 1. 2 . The poles of det (I 2B - U( ? )) coincide with the poles of detU.

178 views • 8 slides