Items where Author is "Kondor, Imre"

Number of items: 4.
Article
  • 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
  • Replica approach to mean-variance portfolio optimization. Varga-Haszonits, Istvan; Caccioli, Fabio; Kondor, Imre
    • Working paper
  • Portfolio optimization under expected shortfall:contour maps of estimation error. Caccioli, Fabio; Kondor, Imre; Papp, Gábor picture_as_pdf