Spectral measures - PowerPoint PPT Presentation

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

Portfolio Optimization with Spectral Measures of Risk Carlo Acerbi and Prospero Simonetti. Torino – January 30, 2003. Outline of the talk. What is a Spectral Measure of Risk ? Coherency and Convexity Minimization of Expected Shortfall (ES) Minimization of Spectral Measures

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518 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 α -ES efficient frontier via parametric method

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388 views • 24 slides

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.

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202 views • 8 slides

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