IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v274y1999i1p222-228.html
   My bibliography  Save this article

Portfolios with nonlinear constraints and spin glasses

Author

Listed:
  • Gábor, Adrienn
  • Kondor, I

Abstract

In a recent paper Galluccio, Bouchaud and Potters demonstrated that a certain portfolio problem with a nonlinear constraint maps exactly onto finding the ground states of a long-range spin glass, with the concomitant nonuniqueness and instability of the optimal portfolios. Here we put forward geometric arguments that lead to qualitatively similar conclusions, without recourse to the methods of spin glass theory, and give two more examples of portfolio problems with convex nonlinear constraints.

Suggested Citation

  • Gábor, Adrienn & Kondor, I, 1999. "Portfolios with nonlinear constraints and spin glasses," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 222-228.
  • Handle: RePEc:eee:phsmap:v:274:y:1999:i:1:p:222-228
    DOI: 10.1016/S0378-4371(99)00387-8
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437199003878
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/S0378-4371(99)00387-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Imre Kondor & István Csabai & Gábor Papp & Enys Mones & Gábor Czimbalmos & Máté Sándor, 2014. "Strong random correlations in networks of heterogeneous agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 9(2), pages 203-232, October.
    2. Papp, Gábor & Caccioli, Fabio & Kondor, Imre, 2019. "Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization," LSE Research Online Documents on Economics 100294, London School of Economics and Political Science, LSE Library.
    3. Lisewski, Andreas Martin & Lichtarge, Olivier, 2010. "Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3250-3253.
    4. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
    5. Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
    6. M. Andrecut, 2013. "Spin Glasses and Nonlinear Constraints in Portfolio Optimization," Papers 1311.2511, arXiv.org.
    7. G'abor Papp & Fabio Caccioli & Imre Kondor, 2016. "Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization," Papers 1602.08297, arXiv.org, revised Jul 2018.
    8. Imre Kondor & G'abor Papp & Fabio Caccioli, 2016. "Analytic solution to variance optimization with no short-selling," Papers 1612.07067, arXiv.org, revised Jan 2017.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:274:y:1999:i:1:p:222-228. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.