Kondor, Imre; Papp, Gábor; Caccioli, Fabio Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint. (English) Zbl 1515.90090 Eur. Phys. J. B, Condens. Matter Complex Syst. 92, No. 1, Paper No. 8, 16 p. (2019). MSC: 90C20 90C90 91G10 PDFBibTeX XMLCite \textit{I. Kondor} et al., Eur. Phys. J. B, Condens. Matter Complex Syst. 92, No. 1, Paper No. 8, 16 p. (2019; Zbl 1515.90090) Full Text: DOI arXiv
Papp, Gábor; Caccioli, Fabio; Kondor, Imre Bias-variance trade-off in portfolio optimization under expected shortfall with \(\ell_2\) regularization. (English) Zbl 07382747 J. Stat. Mech. Theory Exp. 2019, No. 1, Article ID 013402, 14 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{G. Papp} et al., J. Stat. Mech. Theory Exp. 2019, No. 1, Article ID 013402, 14 p. (2019; Zbl 07382747) Full Text: DOI arXiv
Caccioli, Fabio; Kondor, Imre; Papp, Gábor Portfolio optimization under expected shortfall: contour maps of estimation error. (English) Zbl 1400.91531 Quant. Finance 18, No. 8, 1295-1313 (2018). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{F. Caccioli} et al., Quant. Finance 18, No. 8, 1295--1313 (2018; Zbl 1400.91531) Full Text: DOI arXiv Link
Kondor, Imre; Papp, Gábor; Caccioli, Fabio Analytic solution to variance optimization with no short positions. (English) Zbl 1456.91116 J. Stat. Mech. Theory Exp. 2017, No. 12, Article ID 123402, 29 p. (2017). MSC: 91G10 90C90 PDFBibTeX XMLCite \textit{I. Kondor} et al., J. Stat. Mech. Theory Exp. 2017, No. 12, Article ID 123402, 29 p. (2017; Zbl 1456.91116) Full Text: DOI arXiv
Varga-Haszonits, Istvan; Caccioli, Fabio; Kondor, Imre Replica approach to mean-variance portfolio optimization. (English) Zbl 1456.91118 J. Stat. Mech. Theory Exp. 2016, No. 12, Article ID 123404, 24 p. (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{I. Varga-Haszonits} et al., J. Stat. Mech. Theory Exp. 2016, No. 12, Article ID 123404, 24 p. (2016; Zbl 1456.91118) Full Text: DOI arXiv Link
Caccioli, Fabio; Kondor, Imre; Marsili, Matteo; Still, Susanne Liquidity risk and instabilities in portfolio optimization. (English) Zbl 1396.91678 Int. J. Theor. Appl. Finance 19, No. 5, Article ID 1650035, 28 p. (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{F. Caccioli} et al., Int. J. Theor. Appl. Finance 19, No. 5, Article ID 1650035, 28 p. (2016; Zbl 1396.91678) Full Text: DOI
Still, Susanne; Kondor, Imre Regularizing portfolio optimization. (English) Zbl 1445.91059 New J. Phys. 12, No. 7, Article ID 075034, 15 p. (2010). MSC: 91G10 PDFBibTeX XMLCite \textit{S. Still} and \textit{I. Kondor}, New J. Phys. 12, No. 7, Article ID 075034, 15 p. (2010; Zbl 1445.91059) Full Text: DOI arXiv
Kondor, Imre; Varga-Haszonits, István Instability of portfolio optimization under coherent risk measures. (English) Zbl 1193.91139 Adv. Complex Syst. 13, No. 3, 425-437 (2010). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{I. Kondor} and \textit{I. Varga-Haszonits}, Adv. Complex Syst. 13, No. 3, 425--437 (2010; Zbl 1193.91139) Full Text: DOI arXiv
Ciliberti, Stefano; Kondor, Imre; Mézard, Marc On the feasibility of portfolio optimization under expected shortfall. (English) Zbl 1180.91255 Dempster, M. A. H. (ed.) et al., Quantitative fund management. Boca Raton, FL: CRC Press (ISBN 978-1-4200-8191-6/hbk). Chapman & Hall/CRC Financial Mathematics Series, 299-313 (2009). MSC: 91G10 PDFBibTeX XMLCite \textit{S. Ciliberti} et al., in: Quantitative fund management. Boca Raton, FL: CRC Press. 299--313 (2009; Zbl 1180.91255)
Kondor, I.; Varga-Haszonits, I. Divergent estimation error in portfolio optimization and in linear regression. (English) Zbl 1189.91194 Eur. Phys. J. B, Condens. Matter Complex Syst. 64, No. 3-4, 601-605 (2008). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{I. Kondor} and \textit{I. Varga-Haszonits}, Eur. Phys. J. B, Condens. Matter Complex Syst. 64, No. 3--4, 601--605 (2008; Zbl 1189.91194) Full Text: DOI arXiv
Ciliberti, Stefano; Kondor, Imre; Mézard, Marc On the feasibility of portfolio optimization under expected shortfall. (English) Zbl 1190.91116 Quant. Finance 7, No. 4, 389-396 (2007). MSC: 91B80 91G10 82C99 91B84 PDFBibTeX XMLCite \textit{S. Ciliberti} et al., Quant. Finance 7, No. 4, 389--396 (2007; Zbl 1190.91116) Full Text: DOI arXiv
Papp, G.; Pafka, Sz.; Nowak, M. A.; Kondor, I. Random matrix filtering in portfolio optimization. (English) Zbl 1372.91096 Acta Phys. Pol. B 36, No. 9, 2757-2765 (2005). MSC: 91G10 62J10 62P05 15B52 91G70 PDFBibTeX XMLCite \textit{G. Papp} et al., Acta Phys. Pol. B 36, No. 9, 2757--2765 (2005; Zbl 1372.91096) Full Text: arXiv Link
Pafka, Szilárd; Kondor, Imre Noisy covariance matrices and portfolio optimization. II. (English) Zbl 1008.91039 Physica A 319, No. 1-4, 487-494 (2003). MSC: 91G10 15B52 91B84 PDFBibTeX XMLCite \textit{S. Pafka} and \textit{I. Kondor}, Physica A 319, No. 1--4, 487--494 (2003; Zbl 1008.91039) Full Text: DOI arXiv
Pafka, Szilárd; Kondor, Imre Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets. (English) Zbl 0974.91031 Physica A 299, No. 1-2, 305-310 (2001). MSC: 91B30 PDFBibTeX XMLCite \textit{S. Pafka} and \textit{I. Kondor}, Physica A 299, No. 1--2, 305--310 (2001; Zbl 0974.91031) Full Text: DOI arXiv
Kondor, I. Spin glasses in the trading book. (English) Zbl 0973.91041 Int. J. Theor. Appl. Finance 3, No. 3, 537-540 (2000). MSC: 91B28 82D30 PDFBibTeX XMLCite \textit{I. Kondor}, Int. J. Theor. Appl. Finance 3, No. 3, 537--540 (2000; Zbl 0973.91041) Full Text: DOI
Kertész, János (ed.); Kondor, Imre (ed.) Advances in computer simulation. Lectures, Eötvös Summer School in Budapest, Hungary, July 16-20, 1996. (English) Zbl 0884.00047 Lecture Notes in Physics. 501. Berlin: Springer. viii, 166 p. (1998). MSC: 00B25 65-06 82-08 PDFBibTeX XMLCite \textit{J. Kertész} (ed.) and \textit{I. Kondor} (ed.), Advances in computer simulation. Lectures, Eötvös Summer School in Budapest, Hungary, July 16-20, 1996. Berlin: Springer (1998; Zbl 0884.00047)
Temesvári, T.; De Dominicis, C.; Kondor, I. Block diagonalizing ultrametric matrices. (English) Zbl 0842.15010 J. Phys. A, Math. Gen. 27, No. 23, 7569-7595 (1994). MSC: 15A21 15A90 82D30 PDFBibTeX XMLCite \textit{T. Temesvári} et al., J. Phys. A, Math. Gen. 27, No. 23, 7569--7595 (1994; Zbl 0842.15010) Full Text: DOI arXiv
Györgyi, Géza (ed.); Kondor, I. (ed.); Sasvári, L. (ed.); Tél, T. (ed.) From phase transitions to chaos. Topics in modern statistical physics. (English) Zbl 0875.82005 Singapore: World Scientific. xiv, 585 p. (1992). MSC: 82-06 00B15 PDFBibTeX XMLCite \textit{G. Györgyi} (ed.) et al., From phase transitions to chaos. Topics in modern statistical physics. Singapore: World Scientific (1992; Zbl 0875.82005)