Items where Author is "Kondor, Imre"

Item Type No Grouping

Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization. Papp, Gábor; Caccioli, Fabio; Kondor, Imre picture_as_pdf

Optimizing expected shortfall under an ℓ1 constraint—an analytic approach. Papp, Gábor; Kondor, Imre; Caccioli, Fabio picture_as_pdf

Portfolio optimization under expected shortfall:contour maps of estimation error. Caccioli, Fabio; Kondor, Imre; Papp, Gábor picture_as_pdf

Replica approach to mean-variance portfolio optimization. Varga-Haszonits, Istvan; Caccioli, Fabio; Kondor, Imre