A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represents the extremal case of a class of financial risk measures, among them the current regulatory market risk measure Expected Shortfall. Others include portfolio optimization with a ban on short selling, the storage capacity of the perceptron, the solvability of a set of linear equations with random coefficients, and competition for resources in an ecological system. These examples shed light on various aspects of the underlying geometric phase transition, create links between problems belonging to seemingly distant fields and offer the possibility for further ramifications.
- Pub Date:
- June 2021
- Condensed Matter - Statistical Mechanics;
- Condensed Matter - Disordered Systems and Neural Networks;
- Quantitative Finance - Portfolio Management;
- Quantitative Finance - Risk Management
- Entropy 2021, 23(7), 805