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20022009
most citedNovel type of phase transition in a system of self-driven particles

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physics.soc-ph2006★ 1 cited

Noise sensitivity of portfolio selection under various risk measures

Imre Kondor, Szilard Pafka, Gabor Nagy

We study the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We in…