Items where Author is "Papp, Gábor"

Number of items: 3.
Article
  • Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization. Papp, Gábor and Caccioli, Fabio and Kondor, Imre picture_as_pdf
  • Optimizing expected shortfall under an ℓ1 constraint—an analytic approach. Papp, Gábor and Kondor, Imre and Caccioli, Fabio picture_as_pdf
    • Working paper
  • Portfolio optimization under expected shortfall:contour maps of estimation error. Caccioli, Fabio and Kondor, Imre and Papp, Gábor picture_as_pdf