Category: List of Bases 2008 Throughout the year RESEARCH IN CONDENSED MATTER PHYSICS

Title:

Joint ICTP/SISSA Statistical physics seminar: "The instability of coherent risk measures"

Start Time:

11:00

Location:

ICTP (Leonardo da Vinci Building Seminar Room)

Contact:

M. Poropat

Speaker(s):

I. KONDOR (Eotvos University & Collegium Budapest)

Description:

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.