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.
Long-only equal risk contribution portfolios for cvar under discrete distributions.Quantitative Finance, 18(11):1927–1945
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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.