Minimizing volatility increases large risks

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dc.creatorSornette, D.
dc.creatorAndersen, J. V.
dc.creatorSimonetti, P.
dc.date1998-11-19
dc.date.accessioned2026-07-07T12:07:09Z
dc.date.available2026-07-07T12:07:09Z
dc.descriptionWe introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonous as the Gaussian framework. Using calculation techniques of functional integration and Feynman diagrams borrowed from particle physics, we characterize precisely, through its cumulants of high order, the distribution of wealth variations of a portfolio composed of an arbitrary mixture of assets. The portfolio which minimizes the variance, i.e. the relatively small risks, often increases larger risks as measured by higher normalized cumulants and by the Value-at-risk.
dc.description13 pages, 6 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/9811292
dc.identifierhttp://arxiv.org/abs/cond-mat/9811292
dc.identifierInternational Journal of Theoretical and Applied Finance 3 (3), 523-535 (2000)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208870
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleMinimizing volatility increases large risks
dc.typetext

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