Global risk minimization in financial markets

Details Global risk minimization in financial markets Global risk minimization in financial markets

2009-08-05

arxiv.org/abs/0908.0682v1

Economy

Quantitative Finance

Portfolio Management

8 pages; 1 figure

Scientific paper

Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes rational decisions that would absolutely minimize the risk. Here we show that, for any given expected return, investors can overcome this complexity and globally minimize their financial risk in portfolio selection models, which is mathematically equivalent to computing the ground state of spin glass models in physics, provided the margin requirement remains below a critical, empirically measurable value. For markets with centrally regulated margin requirements, this result suggests a potentially stabilizing intervention strategy.

Affiliated with

Also associated with

No associations

Rating

Global risk minimization in financial markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Global risk minimization in financial markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Global risk minimization in financial markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-254969