Portfolio Risk and the Quantum Majorization of Correlation Matrices

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

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Year of publication:	2020
Authors:	Fontanari, Andrea
Other Persons:	Eliazar, Iddo (contributor) ; Cirillo, Pasquale (contributor) ; Oosterlee, Cornelis Willebrordus (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Korrelation \| Correlation \| Theorie \| Theory \| Risiko \| Risk

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 3, 2019 erstellt
Other identifiers:	10.2139/ssrn.3309585 [DOI]
Classification:	B23 - Econometrics; Quantitative Studies ; c46 ; D3 - Distribution ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012850508