684 citations · 1.2k across the 32 of their papers we have counts for
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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…
physics.soc-ph2006
On the Feasibility of Portfolio Optimization under Expected Shortfall
Stefano Ciliberti, Imre Kondor, Marc Mezard
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear…