A network approach to risk theory and portfolio selection

Book chapter


Cerqueti, R. and Lupi, C. (2017). A network approach to risk theory and portfolio selection. in: Corazza, M, Legros, F, Perna, C and Sibillo, M (ed.) Mathematical and Statistical Methods for Actuarial Sciences and Finance Springer Verlag.
AuthorsCerqueti, R. and Lupi, C.
EditorsCorazza, M, Legros, F, Perna, C and Sibillo, M
Abstract

In the context of portfolio theory, the evaluation of risk is of paramount relevance. In this respect, the connections among the risky assets of the portfolio should be carefully explored. This paper elaborates on this topic. We define a
portfolio through a network, whose nodes are the assets composing it. The weights on the nodes and the arcs represent the share of capital invested on the assets and the dependence among them, respectively. The risk profile of the portfolio will be given through a suitably defined risk measure on the portfolio-network. The standard Markowitz theory will be rewritten in this particular setting. Surprisingly, we will note that the resulting decision problem is not consistent with an adapted version of the axiomatization of the standard expected utility theory.

Year2017
Book titleMathematical and Statistical Methods for Actuarial Sciences and Finance
PublisherSpringer Verlag
ISBN978-3-319-50234-2
Publication dates
Online30 Dec 2017
Publication process dates
Accepted07 Aug 2017
Deposited09 Mar 2020
Digital Object Identifier (DOI)doi:10.1007/978-3-319-50234-2_6
Web address (URL)https://link.springer.com/chapter/10.1007/978-3-319-50234-2_6
Accepted author manuscript
License
CC BY 4.0
File Access Level
Open
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