Imre Kondor

Available identifiers

Publication	Date of Publication	Type
Analytic approach to variance optimization under an $\mathcal{l}_1$ constraint	2023-07-26	Paper
Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization	2021-08-17	Paper
Regularizing portfolio optimization	2020-11-07	Paper
Replica approach to mean-variance portfolio optimization	2020-08-11	Paper
Analytic solution to variance optimization with no short positions	2020-08-11	Paper
Portfolio optimization under expected shortfall: contour maps of estimation error	2018-11-14	Paper
Random matrix filtering in portfolio optimization	2017-09-27	Paper
Liquidity risk and instabilities in portfolio optimization	2016-08-26	Paper
Instability of portfolio optimization under coherent risk measures	2010-08-19	Paper
Divergent estimation error in portfolio optimization and in linear regression	2010-06-25	Paper
https://portal.mardi4nfdi.de/entity/Q5324633	2009-08-03	Paper
On the feasibility of portfolio optimization under expected shortfall	2007-10-22	Paper
Noisy covariance matrices and portfolio optimization. II	2003-02-05	Paper
Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets	2001-10-23	Paper
SPIN GLASSES IN THE TRADING BOOK	2001-07-05	Paper

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