Details about Imre Kondor

Access statistics for papers by Imre Kondor.

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

Short-id: pko687

Working Papers

2018

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

2016

2. Replica approach to mean-variance portfolio optimization
   Papers, arXiv.org View citations (10)

2015

3. Contour map of estimation error for Expected Shortfall
   Papers, arXiv.org View citations (5)
4. Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
   Papers, arXiv.org View citations (5)

2014

5. $L_p$ regularized portfolio optimization
   Papers, arXiv.org View citations (5)
6. Estimation Error of Expected Shortfall
   Papers, arXiv.org View citations (5)
7. Strong random correlations in networks of heterogeneous agents
   Papers, arXiv.org View citations (3)
   See also Journal Article Strong random correlations in networks of heterogeneous agents, Journal of Economic Interaction and Coordination, Springer (2014) View citations (3) (2014)
8. The Interrupted Power Law and The Size of Shadow Banking
   Papers, arXiv.org View citations (8)
   Also in Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy (2013) View citations (7)

2011

9. Optimal Liquidation Strategies Regularize Portfolio Selection
   Papers, arXiv.org View citations (3)
   See also Journal Article Optimal liquidation strategies regularize portfolio selection, The European Journal of Finance, Taylor & Francis Journals (2013) View citations (20) (2013)

2009

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

2008

11. Feasibility of Portfolio Optimization under Coherent Risk Measures
    Papers, arXiv.org View citations (4)
12. The instability of downside risk measures
    Papers, arXiv.org View citations (12)

2007

13. Divergent estimation error in portfolio optimization and in linear regression
    Papers, arXiv.org
    See also Journal Article Divergent estimation error in portfolio optimization and in linear regression, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2008) View citations (2) (2008)

2006

14. Noise sensitivity of portfolio selection under various risk measures
    Papers, arXiv.org View citations (4)
    See also Journal Article Noise sensitivity of portfolio selection under various risk measures, Journal of Banking & Finance, Elsevier (2007) View citations (59) (2007)
15. On the Feasibility of Portfolio Optimization under Expected Shortfall
    Papers, arXiv.org
    See also Journal Article On the feasibility of portfolio optimization under expected shortfall, Quantitative Finance, Taylor & Francis Journals (2007) View citations (29) (2007)

2005

16. Random Matrix Filtering in Portfolio Optimization
    Papers, arXiv.org View citations (18)

2004

17. Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
    Papers, arXiv.org View citations (11)
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2004) View citations (11)

2003

18. Concave risk measures in international capital regulation
    Papers, arXiv.org View citations (1)
19. Estimated Correlation Matrices and Portfolio Optimization
    Papers, arXiv.org View citations (1)
    See also Journal Article Estimated correlation matrices and portfolio optimization, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (30) (2004)

2002

20. Noisy Covariance Matrices and Portfolio Optimization II
    Papers, arXiv.org View citations (25)
    See also Journal Article Noisy covariance matrices and portfolio optimization II, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (39) (2003)

2001

21. Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
    Papers, arXiv.org View citations (18)
    See also Journal Article Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (18) (2001)
22. Noisy Covariance Matrices and Portfolio Optimization
    Papers, arXiv.org View citations (3)

Journal Articles

2014

1. Strong random correlations in networks of heterogeneous agents
   Journal of Economic Interaction and Coordination, 2014, 9, (2), 203-232 View citations (3)
   See also Working Paper Strong random correlations in networks of heterogeneous agents, Papers (2014) View citations (3) (2014)

2013

2. Optimal liquidation strategies regularize portfolio selection
   The European Journal of Finance, 2013, 19, (6), 554-571 View citations (20)
   See also Working Paper Optimal Liquidation Strategies Regularize Portfolio Selection, Papers (2011) View citations (3) (2011)

2008

3. 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 View citations (2)
   See also Working Paper Divergent estimation error in portfolio optimization and in linear regression, Papers (2007) (2007)

2007

4. Noise sensitivity of portfolio selection in constant conditional correlation GARCH models
   Physica A: Statistical Mechanics and its Applications, 2007, 385, (1), 307-318 View citations (19)
5. Noise sensitivity of portfolio selection under various risk measures
   Journal of Banking & Finance, 2007, 31, (5), 1545-1573 View citations (59)
   See also Working Paper Noise sensitivity of portfolio selection under various risk measures, Papers (2006) View citations (4) (2006)
6. On the feasibility of portfolio optimization under expected shortfall
   Quantitative Finance, 2007, 7, (4), 389-396 View citations (29)
   See also Working Paper On the Feasibility of Portfolio Optimization under Expected Shortfall, Papers (2006) (2006)

2004

7. Estimated correlation matrices and portfolio optimization
   Physica A: Statistical Mechanics and its Applications, 2004, 343, (C), 623-634 View citations (30)
   See also Working Paper Estimated Correlation Matrices and Portfolio Optimization, Papers (2003) View citations (1) (2003)

2003

8. Noisy covariance matrices and portfolio optimization II
   Physica A: Statistical Mechanics and its Applications, 2003, 319, (C), 487-494 View citations (39)
   See also Working Paper Noisy Covariance Matrices and Portfolio Optimization II, Papers (2002) View citations (25) (2002)

2001

9. 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 View citations (18)
   See also Working Paper Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets, Papers (2001) View citations (18) (2001)

1999

10. Portfolios with nonlinear constraints and spin glasses
    Physica A: Statistical Mechanics and its Applications, 1999, 274, (1), 222-228 View citations (8)
11. 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
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 1999, 11, (4), 629-634 (1999)
12. Statistical analysis of 5 s index data of the Budapest Stock Exchange
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 111-124 View citations (5)

1992

13. 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