#### Filter Results:

#### Publication Year

2015

2016

#### Publication Type

#### Co-author

#### Key Phrase

#### Publication Venue

Learn More

- Takashi Shinzato, Alejandro Raul Hernandez Montoya
- PloS one
- 2015

In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy that minimizes the expected investment risk, but this strategy does not always result in the best rate of return on… (More)

We discuss replica analytic continuation using several simple models in order to prove mathematically the validity of replica analysis, which is used in a wide range of fields related to large scale complex systems. While replica analysis consists of two analytical techniques, the replica trick (or replica analytic continuation) and the thermodynamical… (More)

The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007)]; however, they have not yet developed an approximate derivation method for finding the optimal portfolio with respect to a… (More)

- ‹
- 1
- ›