Items where Author is "Kondor, Imre"

Papp, Gábor, Kondor, Imre and Caccioli, Fabio (2021) Optimizing expected shortfall under an ℓ1 constraint—an analytic approach. Entropy, 23 (5). ISSN 1099-4300

Papp, Gábor, Caccioli, Fabio and Kondor, Imre (2019) Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization. Journal of Statistical Mechanics: Theory and Experiment, 2019 (1). ISSN 1742-5468

Varga-Haszonits, Istvan, Caccioli, Fabio and Kondor, Imre (2016) Replica approach to mean-variance portfolio optimization. Journal of Statistical Mechanics: Theory and Experiment, 2016 (Dec.). ISSN 1742-5468

Caccioli, Fabio, Kondor, Imre and Papp, Gábor (2015) Portfolio optimization under expected shortfall: contour maps of estimation error. Systemic Risk Centre Discussion Papers (49). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.