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Details about Imre Kondor

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Workplace:Befektetések és Vállalati Pénzügy Tanszék (Department of Finance), Gazdálkodástudományi Kar (Faculty of Business Administration), Budapesti Corvinus Egyetem (Corvinus University of Budapest), (more information at EDIRC)

Access statistics for papers by Imre Kondor.

Last updated 2019-01-05. Update your information in the RePEc Author Service.

Short-id: pko687


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Working Papers

2018

  1. Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization
    Papers, arXiv.org Downloads

2016

  1. Replica approach to mean-variance portfolio optimization
    Papers, arXiv.org Downloads View citations (5)

2015

  1. Contour map of estimation error for Expected Shortfall
    Papers, arXiv.org Downloads
  2. Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
    Papers, arXiv.org Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (5)

2014

  1. $L_p$ regularized portfolio optimization
    Papers, arXiv.org Downloads
  2. Estimation Error of Expected Shortfall
    Papers, arXiv.org Downloads View citations (2)
  3. Strong random correlations in networks of heterogeneous agents
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Economic Interaction and Coordination (2014)
  4. The Interrupted Power Law and The Size of Shadow Banking
    Papers, arXiv.org Downloads View citations (7)
    Also in Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy (2013) Downloads View citations (4)

2011

  1. Optimal Liquidation Strategies Regularize Portfolio Selection
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2013)

2009

  1. Regularizing Portfolio Optimization
    Papers, arXiv.org Downloads View citations (5)

2008

  1. Feasibility of Portfolio Optimization under Coherent Risk Measures
    Papers, arXiv.org Downloads View citations (1)
  2. The instability of downside risk measures
    Papers, arXiv.org Downloads View citations (7)

2007

  1. Divergent estimation error in portfolio optimization and in linear regression
    Papers, arXiv.org Downloads
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2008)

2006

  1. Noise sensitivity of portfolio selection under various risk measures
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2007)
  2. On the Feasibility of Portfolio Optimization under Expected Shortfall
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2007)

2005

  1. Random Matrix Filtering in Portfolio Optimization
    Papers, arXiv.org Downloads View citations (13)

2004

  1. Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (6)
    Also in Papers, arXiv.org (2004) Downloads View citations (6)

2003

  1. Concave risk measures in international capital regulation
    Papers, arXiv.org Downloads View citations (1)
  2. Estimated Correlation Matrices and Portfolio Optimization
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)

2002

  1. Noisy Covariance Matrices and Portfolio Optimization II
    Papers, arXiv.org Downloads View citations (17)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)

2001

  1. Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
    Papers, arXiv.org Downloads View citations (11)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2001)
  2. Noisy Covariance Matrices and Portfolio Optimization
    Papers, arXiv.org Downloads View citations (2)

Journal Articles

2014

  1. Strong random correlations in networks of heterogeneous agents
    Journal of Economic Interaction and Coordination, 2014, 9, (2), 203-232 Downloads View citations (1)
    See also Working Paper (2014)

2013

  1. Optimal liquidation strategies regularize portfolio selection
    The European Journal of Finance, 2013, 19, (6), 554-571 Downloads View citations (13)
    See also Working Paper (2011)

2008

  1. Divergent estimation error in portfolio optimization and in linear regression
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 64, (3), 601-605 Downloads View citations (2)
    See also Working Paper (2007)

2007

  1. Noise sensitivity of portfolio selection in constant conditional correlation GARCH models
    Physica A: Statistical Mechanics and its Applications, 2007, 385, (1), 307-318 Downloads View citations (9)
  2. Noise sensitivity of portfolio selection under various risk measures
    Journal of Banking & Finance, 2007, 31, (5), 1545-1573 Downloads View citations (33)
    See also Working Paper (2006)
  3. On the feasibility of portfolio optimization under expected shortfall
    Quantitative Finance, 2007, 7, (4), 389-396 Downloads View citations (18)
    See also Working Paper (2006)

2004

  1. Estimated correlation matrices and portfolio optimization
    Physica A: Statistical Mechanics and its Applications, 2004, 343, (C), 623-634 Downloads View citations (20)
    See also Working Paper (2003)

2003

  1. Noisy covariance matrices and portfolio optimization II
    Physica A: Statistical Mechanics and its Applications, 2003, 319, (C), 487-494 Downloads View citations (25)
    See also Working Paper (2002)

2001

  1. Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 305-310 Downloads View citations (10)
    See also Working Paper (2001)

1999

  1. Portfolios with nonlinear constraints and spin glasses
    Physica A: Statistical Mechanics and its Applications, 1999, 274, (1), 222-228 Downloads View citations (2)
  2. Scaling and infrared divergences in the replica field theory of the Ising spin glass
    The European Physical Journal B: Condensed Matter and Complex Systems, 1999, 11, (4), 629-634 Downloads
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 1999, 11, (4), 629-634 (1999) Downloads
  3. Statistical analysis of 5 s index data of the Budapest Stock Exchange
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 111-124 Downloads View citations (4)

1992

  1. Short range corrections to the order parameter and to the excitation spectrum of the Ising spin glass
    Physica A: Statistical Mechanics and its Applications, 1992, 185, (1), 295-304 Downloads
 
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