Portfolio risk and the quantum majorization of correlation matrices

Andrea Fontanari*, Iddo Eliazar, Pasquale Cirillo, C.W. Oosterlee

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We propose quantum majorization as a way of comparing and ranking correlation matrices, with the aim of assessing portfolio risk in a unified framework. Quantum majorization is a partial order in the space of correlation matrices, which are evaluated through their spectra. We discuss the connections between quantum majorization and an important class of risk functionals, and we define two new risk measures able to capture interesting characteristics of portfolio risk.
Original languageEnglish
Pages (from-to)257–282
JournalIMA Journal of Management Mathematics
Volume32
Issue number3
DOIs
Publication statusPublished - 2021

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