Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Risk Minimization through Portfolio Replication   We use a replica approach to deal with portfolio optimization problems. A
given risk measure is minimized using empirical estimates of asset values
correlations. We study the phase transition which happens when the time series
is too short with respect to the size of the portfolio. We also study the noise
sensitivity of portfolio allocation when this transition is approached. We
consider explicitely the cases where the absolute deviation and the conditional
value-at-risk are chosen as a risk measure. We show how the replica method can
study a wide range of risk measures, and deal with various types of time series
correlations, including realistic ones with volatility clustering.

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The categories of this paper are: comp-gas
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The categories of this paper are: nucl-th
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The categories of this paper are: patt-sol
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The categories of this paper are: acc-phys
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The categories of this paper are: hep-th
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The categories of this paper are: q-alg
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The categories of this paper are: mtrl-th
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The categories of this paper are: stat
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The categories of this paper are: quant-ph
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The categories of this paper are: econ
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The categories of this paper are: plasm-ph
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The categories of this paper are: nlin
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The categories of this paper are: alg-geom
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The categories of this paper are: math-ph
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The categories of this paper are: solv-int
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The categories of this paper are: hep-lat