Berlin 2015 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 8: Poster

SOE 8.13: Poster

Monday, March 16, 2015, 18:00–20:00, Poster E

Extending the efficient frontier of the mean variance model and value at risk model by utilizing groundstate behavior of portfolios — •Jan Jurczyk — University of Regensburg, Regensburg, Germany

The cornerstone of portfolio investments is the analysis of the efficient frontier and its development in time. We extend this approach by investigating the behavior of the connected optimal portfolios and its physical observables, connected to the mean variance model and value at risk model. For finding the optimal solutions for a certain time frame, we use an algorithm based on simulated annealing. This approach leads to a measure, which is able to represent the overall market behavior.