684 citations · 1.2k across the 32 of their papers we have counts for
8 papers · 1 filter
Aspects of a phase transition in high-dimensional random geometry
Axel Prüser, Imre Kondor, Andreas Engel
A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represent…
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
Szilard Pafka, Marc Potters, Imre Kondor
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces…
Concave risk measures in international capital regulation
Imre Kondor, Andras Szepessy, Tunde Ujvarosi
We show that some specific market risk measures implied by current international capital regulation (the Basel Accords and the Capital Adequacy Directive of the European Union) vio…
Estimated Correlation Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description…
Noisy Covariance Matrices and Portfolio Optimization II
Szilard Pafka, Imre Kondor
Recent studies inspired by results from random matrix theory [1,2,3] found that covariance matrices determined from empirical financial time series appear to contain such a high am…
Noisy Covariance Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
According to recent findings [1,2], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues…
Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
Szilard Pafka, Imre Kondor
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model compl…
Beyond the Sherrington-Kirkpatrick Model
C. De Dominicis, I. Kondor, T. Temesvari
The state of art in spin glass field theory is reviewed.