Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Portfolio Optimization under Expected Shortfall: Contour Maps of
  Estimation Error   The contour maps of the error of historical resp. parametric estimates for
large random portfolios optimized under the risk measure Expected Shortfall
(ES) are constructed. Similar maps for the sensitivity of the portfolio weights
to small changes in the returns as well as the VaR of the ES-optimized
portfolio are also presented, along with results for the distribution of
portfolio weights over the random samples and for the out-of-sample and
in-the-sample estimates for ES. The contour maps allow one to quantitatively
determine the sample size (the length of the time series) required by the
optimization for a given number of different assets in the portfolio, at a
given confidence level and a given level of relative estimation error. The
necessary sample sizes invariably turn out to be unrealistically large for any
reasonable choice of the number of assets and the confidence level. These
results are obtained via analytical calculations based on methods borrowed from
the statistical physics of random systems, supported by numerical simulations.

29
The categories of this paper are: funct-an
8
The categories of this paper are: hep-ex
21
The categories of this paper are: adap-org
14
The categories of this paper are: math-ph
37
The categories of this paper are: supr-con
7
The categories of this paper are: hep-th
15
The categories of this paper are: nucl-ex
13
The categories of this paper are: quant-ph
24
The categories of this paper are: dg-ga
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The categories of this paper are: solv-int
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The categories of this paper are: comp-gas
16
The categories of this paper are: stat
11
The categories of this paper are: hep-lat
35
The categories of this paper are: mtrl-th
33
The categories of this paper are: plasm-ph
28
The categories of this paper are: alg-geom