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1

Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

Szilárd Pafka, Imre Kondor

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2001

Language:

english

File:

PDF, 72 KB

english, 2001

2

Noise sensitivity of portfolio selection under various risk measures

Imre Kondor, Szilárd Pafka, Gábor Nagy

Journal:

Journal of Banking & Finance

Year:

2007

Language:

english

File:

PDF, 367 KB

english, 2007

3

Noisy covariance matrices and portfolio optimization II

Szilárd Pafka, Imre Kondor

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2003

Language:

english

File:

PDF, 106 KB

english, 2003

4

Estimated correlation matrices and portfolio optimization

Szilárd Pafka, Imre Kondor

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2004

Language:

english

File:

PDF, 222 KB

english, 2004

5

Contour Map of Estimation Error for Expected Shortfall

Kondor, Imre, Caccioli, Fabio, Papp, Gabor, Marsili, Matteo

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 342 KB

english, 2015

6

Modeling bursts and heavy tails in human dynamics

Vázquez, Alexei, Oliveira, João, Dezsö, Zoltán, Goh, Kwang-Il, Kondor, Imre, Barabási, Albert-László

Journal:

Physical Review E

Year:

2006

Language:

english

File:

PDF, 874 KB

english, 2006

7

Portfolio optimization under Expected Shortfall: contour maps of estimation error

Caccioli, Fabio, Kondor, Imre, Papp, Gábor

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 1.09 MB

english, 2017

8

Strong random correlations in networks of heterogeneous agents

Kondor, Imre, Csabai, István, Papp, Gábor, Mones, Enys, Czimbalmos, Gábor, Sándor, Máté Cs.

Journal:

Journal of Economic Interaction and Coordination

Year:

2014

Language:

english

File:

PDF, 1.75 MB

english, 2014

9

On the feasibility of portfolio optimization under expected shortfall

Ciliberti, Stefano, Kondor, Imre, Mézard, Marc

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

PDF, 227 KB

english, 2007

10

The role of MRI in the indication of the neoadjuvant chemo-radiotherapy for rectal cancer

Kondor, A.E., Baracs, J., Imre, M., Faluhelyi, N., Bogner, B., Hegedűs, I., Fincsur, A., Vereczkei, A.

Journal:

European Journal of Surgical Oncology (EJSO)

Year:

2019

File:

PDF, 52 KB

2019

11

Lp Regularized Portfolio Optimization

Caccioli, Fabio, Kondor, Imre, Marsili, Matteo, Still, Susanne

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 451 KB

english, 2014

12

Optimal liquidation strategies regularize portfolio selection

Caccioli, Fabio, Still, Susanne, Marsili, Matteo, Kondor, Imre

Journal:

European Journal of Finance

Year:

2013

Language:

english

File:

PDF, 235 KB

english, 2013

13

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Optimized monte carlo methods

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 1.38 MB

english, 1998

14

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Frustrated systems: Ground state properties via combinatorial optimization

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 1.97 MB

english, 1998

15

Analytic solution to variance optimization with no short positions

Kondor, Imre, Papp, Gábor, Caccioli, Fabio

Journal:

Journal of Statistical Mechanics Theory and Experiment

Year:

2017

Language:

english

File:

PDF, 1.10 MB

english, 2017

16

LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION

CACCIOLI, FABIO, KONDOR, IMRE, MARSILI, MATTEO, STILL, SUSANNE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2016

Language:

english

File:

PDF, 492 KB

english, 2016

17

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Stochastic differential equations

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 783 KB

english, 1998

18

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Introduction to Monte Carlo algorithms

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 1.78 MB

english, 1998

19

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Molecular dynamics

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 340 KB

english, 1998

20

Replica approach to mean-variance portfolio optimization

Varga-Haszonits, Istvan, Caccioli, Fabio, Kondor, Imre

Journal:

Journal of Statistical Mechanics Theory and Experiment

Year:

2016

Language:

english

File:

PDF, 800 KB

english, 2016

21

INSTABILITY OF PORTFOLIO OPTIMIZATION UNDER COHERENT RISK MEASURES

KONDOR, IMRE, VARGA-HASZONITS, ISTVÁN

Journal:

Advances in Complex Systems

Year:

2010

Language:

english

File:

PDF, 184 KB

english, 2010

22

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Cluster algorithms

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 686 KB

english, 1998

23

Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

Papp, Gábor, Caccioli, Fabio, Kondor, Imre

Journal:

Journal of Statistical Mechanics Theory and Experiment

Year:

2019

File:

PDF, 1.24 MB

2019

24

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Error estimates on averages of correlated data

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 697 KB

english, 1998

25

Statistical analysis of 5 s index data of the Budapest Stock Exchange

Imre M Jánosi, Balázs Janecskó, Imre Kondor

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

1999

Language:

english

File:

PDF, 285 KB

english, 1999

26

Analytic Solution to Variance Optimization with No Short-Selling

Kondor, Imre, Papp, Gabor, Caccioli, Fabio

Journal:

SSRN Electronic Journal

Year:

2017

File:

PDF, 450 KB

2017

27

[Lecture Notes in Physics] Advances in Computer Simulation Volume 501 || Monte Carlo on parallel and vector computers

Kertész, János, Kondor, Imre

Year:

1998

Language:

english

File:

PDF, 261 KB

english, 1998

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