Imre Kondor

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Analytic approach to variance optimization under an $\mathcal{l}_1$ constraint The European Physical Journal B. Condensed Matter and Complex Systems	2023-07-26	Paper
Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization Journal of Statistical Mechanics: Theory and Experiment	2021-08-17	Paper
Regularizing portfolio optimization New Journal of Physics	2020-11-07	Paper
Replica approach to mean-variance portfolio optimization Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Replica approach to mean-variance portfolio optimization Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Analytic solution to variance optimization with no short positions Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Portfolio optimization under expected shortfall: contour maps of estimation error Quantitative Finance	2018-11-14	Paper
Portfolio optimization under expected shortfall: contour maps of estimation error Quantitative Finance	2018-11-14	Paper
Random matrix filtering in portfolio optimization	2017-09-27	Paper
Random matrix filtering in portfolio optimization (available as arXiv preprint)	2017-09-27	Paper
Liquidity risk and instabilities in portfolio optimization International Journal of Theoretical and Applied Finance	2016-08-26	Paper
Instability of portfolio optimization under coherent risk measures Advances in Complex Systems	2010-08-19	Paper
Divergent estimation error in portfolio optimization and in linear regression The European Physical Journal B. Condensed Matter and Complex Systems	2010-06-25	Paper
scientific article; zbMATH DE number 5589689 (Why is no real title available?)	2009-08-03	Paper
On the feasibility of portfolio optimization under expected shortfall Quantitative Finance	2007-10-22	Paper
Noisy covariance matrices and portfolio optimization. II Physica A	2003-02-05	Paper
Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets Physica A	2001-10-23	Paper
SPIN GLASSES IN THE TRADING BOOK International Journal of Theoretical and Applied Finance	2001-07-05	Paper

Research outcomes over time

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