Imre Kondor

Parmenides Foundation

Kirchplatz 1

Pullach

Munchen, 82049

Germany

London Mathematical Laboratory

Prof.

14 Buckingham St

London, WC2N 6DF

United Kingdom

  • Parmenides Foundation

  • London Mathematical Laboratory

SCHOLARLY PAPERS

6

DOWNLOADS

1,026

TOTAL CITATIONS

7

Scholarly Papers (6)

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1.

Analytic Solution to Variance Optimization with No Short-Selling

Number of pages: 27 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Imre Kondor, Gabor Papp and Fabio Caccioli
Parmenides Foundation, Eötvös Loránd University and University College London
Downloads 304 (203,640)

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Portfolio Optimization, Variance, No Short Selling

2.

Lp Regularized Portfolio Optimization

Number of pages: 27 Posted: 16 Apr 2014
Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still
University College London, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and University of Hawaii
Downloads 190 (322,677)
Citation 4

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3.

Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with ℓ2 Regularization

Number of pages: 16 Posted: 17 Jan 2017
Gabor Papp, Fabio Caccioli and Imre Kondor
Eötvös Loránd University, University College London and Parmenides Foundation
Downloads 160 (375,217)
Citation 1

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Portfolio Optimization, Bias-Variance Trade-Off, Expected Shortfall

4.

Contour Map of Estimation Error for Expected Shortfall

Number of pages: 5 Posted: 23 Feb 2015
Imre Kondor, Fabio Caccioli, Gabor Papp and Matteo Marsili
Parmenides Foundation, University College London, Eötvös Loránd University and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 160 (375,217)
Citation 1

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Expected Shortfall, optimization, estimation error

5.

Estimation Error of Expected Shortfall

Number of pages: 7 Posted: 25 Feb 2014
Imre Kondor
Parmenides Foundation
Downloads 116 (484,320)
Citation 1

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quantitative finance, portfolio management, risk measures

6.

Strong Random Correlations In Networks of Heterogeneous Agents

Journal of Economic Interaction and Coordination (accepted on Jan 16, 2014)
Number of pages: 23 Posted: 07 Mar 2014
Imre Kondor, Istvan Csabai, Gabor Papp, Enys Mones, Gabor Czimbalmos and Máté Csaba Sándor
Parmenides Foundation, Eötvös Loránd University - Department of Physics of Complex Systems, Eötvös Loránd University, Eötvös Loránd University, Eötvös Loránd University and Corvinus University of Budapest
Downloads 96 (554,104)

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