684 citations · 1.2k across the 32 of their papers we have counts for
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q-fin.RM2008
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…
q-fin.RM2008★ 4 cited
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…