Portfolio risk and the quantum majorization of correlation matrices-Reference-Cited by-同舟云学术

Portfolio risk and the quantum majorization of correlation matrices

Published:2020-06-02 Issue:3 Volume:32 Page:257-282
ISSN:1471-678X
Container-title:IMA Journal of Management Mathematics
language:en
Short-container-title:

Author:

Fontanari Andrea¹,Eliazar Iddo²,Cirillo Pasquale¹,Oosterlee Cornelis W³

Affiliation:

1. Applied Probability Group, EEMCS Faculty, Delft University of Technology, Building 28, Van Mourik Broekmanweg 6, 2628 XE Delft, The Netherlands

2. Independent Researcher, Tel Aviv, Israel

3. Scientific Computing Group, Centrum Wiskunde & Informatica (CWI), Science Park 123 1098 XG Amsterdam, The Netherlands

Abstract

Abstract We propose quantum majorization as a way of comparing and ranking correlation matrices, with the aim of assessing portfolio risk in a unified framework. Quantum majorization is a partial order in the space of correlation matrices, which are evaluated through their spectra. We discuss the connections between quantum majorization and an important class of risk functionals, and we define two new risk measures able to capture interesting characteristics of portfolio risk.

Funder

H2020 Marie Skłodowska-Curie Actions

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Management Science and Operations Research,Strategy and Management,General Economics, Econometrics and Finance,Modelling and Simulation,Management Information Systems

Link

http://academic.oup.com/imaman/article-pdf/32/3/257/37174810/dpaa011.pdf

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