Risk reduction in portfolios is achievable without risk measurement by ordering scenarios via a full-spectrum generalization of matrix condition number and reducing exposure to the riskiest ones, as supported by real-data experiments.
David Allen, Colin Lizieri, and Stephen Satchell
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Measuring the risk or reducing it, that is the question: is risk measurement necessary for risk reduction?
Risk reduction in portfolios is achievable without risk measurement by ordering scenarios via a full-spectrum generalization of matrix condition number and reducing exposure to the riskiest ones, as supported by real-data experiments.