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摘要翻译：
研究表明，相干风险测度的公理意味着，当一个投资组合中有一个资产在给定样本中占主导地位时（即使在大样本中也是有限概率发生的），那么这个投资组合在该样本上的任何相干测度下都不能被优化，并且风险测度发散到负无穷大。这种不稳定性最早是在期望短缺的特殊例子上发现的，这里用它来说明和推广。
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英文标题：
《Feasibility of Portfolio Optimization under Coherent Risk Measures》
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作者：
Imre Kondor and Istvan Varga-Haszonits
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio cannot be optimized under any coherent measure on that sample, and the risk measure diverges to minus infinity. This instability was first discovered on the special example of Expected Shortfall which is used here both as an illustration and as a prompt for generalization.
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PDF链接：
https://arxiv.org/pdf/0803.2283
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