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.

中文翻译：

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投资组合风险和相关矩阵的量子主化

摘要

我们提出量子主化作为比较和排序相关矩阵的一种方法，目的是在一个统一的框架中评估投资组合风险。量子主化是相关矩阵空间中的一个部分阶，它们通过它们的光谱进行评估。我们讨论了量子主化与一类重要的风险功能之间的联系，并定义了两种能够捕捉投资组合风险有趣特征的新风险度量。