Download This PaperPortfolio Risk and the Quantum Majorization of Correlation Matrices
22 Pages Posted: 12 Jan 2019 Last revised: 10 Feb 2020
Date Written: January 3, 2019
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.
Keywords: quantum majorization, portfolio risk, risk measures, order
JEL Classification: B23, C46, D3, G32
Suggested Citation: Suggested Citation
Fontanari, Andrea and Eliazar, Iddo and Cirillo, Pasquale and Oosterlee, Cornelis W., Portfolio Risk and the Quantum Majorization of Correlation Matrices (January 3, 2019). Available at SSRN: https://ssrn.com/abstract=3309585 or http://dx.doi.org/10.2139/ssrn.3309585
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