Portfolios with nonlinear constraints and spin glasses

Adrienn Gábor and Imre Kondor ()

Physica A: Statistical Mechanics and its Applications, 1999, vol. 274, issue 1, 222-228

Abstract: In a recent paper Galluccio, Bouchaud and Potters demonstrated that a certain portfolio problem with a nonlinear constraint maps exactly onto finding the ground states of a long-range spin glass, with the concomitant nonuniqueness and instability of the optimal portfolios. Here we put forward geometric arguments that lead to qualitatively similar conclusions, without recourse to the methods of spin glass theory, and give two more examples of portfolio problems with convex nonlinear constraints.

Date: 1999
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:274:y:1999:i:1:p:222-228

DOI: 10.1016/S0378-4371(99)00387-8

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