684 citations · 1.2k across the 32 of their papers we have counts for
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Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
Fabio Caccioli, Imre Kondor, Gábor Papp
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar…
Contour map of estimation error for Expected Shortfall
Imre Kondor, Fabio Caccioli, Gábor Papp +1
The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by…
Estimation Error of Expected Shortfall
Imre Kondor
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
The instability of downside risk measures
Istvan Varga-Haszonits, Imre Kondor
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estim…
Feasibility of Portfolio Optimization under Coherent Risk Measures
Imre Kondor, Istvan Varga-Haszonits
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite p…