Portfolios with nonlinear constraints and spin glasses

Adrienn Gábor, I. Kondor

Research output: Contribution to journalConference article

18 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)222-228
Number of pages7
JournalPhysica A: Statistical Mechanics and its Applications
Volume274
Issue number1
DOIs
Publication statusPublished - Dec 1 1999
EventProceedings of the 1999 NATO Advanced Research Workshop 'Applications of Statistical Physics' - Budapest, Hung
Duration: May 19 1999May 22 1999

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ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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