Regensburg 2016 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 19: Financial Markets and Risk Management II

SOE 19.2: Vortrag

Mittwoch, 9. März 2016, 17:00–17:15, H36

Comparing systemic risk measures to portfolio optimization models — •Jan Jurczyk and Alexander Eckrot — Universtätsstraße 31, 93053 Regensburg

In this talk we compare systemic risk measures based on the covariance matrix and its eigenvectors to to the ground-state energies of three portfolio distribution models. Namely the mean variance model with constraints, the value at risk model with constraints and the index tracking model. We present the algorithms used in order to generate the optimal portfolios for each model and show a connection between changes in ground-state energies and the systemic risk measure.