Tag Info

Hot answers tagged

3

The problem lies in the definition of risk. It seems that in the cited paper, the authors treat risk as a concept connected with the uncertainty of the out-of-sample performance of the portfolio. In that way portfolios constructed using the proposed robust estimators would be what they call minimum-risk portfolios. Contrasted with minimum-variance ...


3

Risk is a broader concept than variance. That paper is specifically focused on robust estimators (i.e., estimators that are less sensitive to outliers) of dispersion. A robust estimator of dispersion is not the same thing as variance (which may be a dispersion parameter for some classes of distributions). Nevertheless, these robust estimators could be used ...


2

For academic references, you will likely have to look in the very early optimization literature. Uniqueness of the MV portfolio follows immediately from the lemma that a strictly convex function on a convex set has no local minima. The standard textbook reference is Convex Optimization by Boyd and Vandenberghe. See section 4.2.2 in particular. A free ...


1

Only certain aspects of the risks that you bear in power markets given exposure to variable quantity swaps can be hedged. To your point, you have to have some expectation of what the load will look like. Even if you immediately go out and buy power against this expected qty you are subject to the risk that the load will deviate from said qty. There is no ...


1

Answering "No" to the title question, I'll mention that variance is a rather poor measure of risk, even if convinient and nicely behaving. Variance is not even a risk measure, with the standard deviation eventully being a deviation risk measure, while not necessarily for downside risk (see David Nawrocki-"A Brief History of Downside Risk Measures" for ...


1

This article by Eric Falkenstein is exactly what you are looking for: Early Low Vol Literature Now Everywhere EDIT Falkenstein has a new post out on the academic origins of the approach: Here



Only top voted, non community-wiki answers of a minimum length are eligible