684 citations · 1.2k across the 32 of their papers we have counts for
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q-fin.PM2014★ 1 cited
regularized portfolio optimization
Fabio Caccioli, Imre Kondor, Matteo Marsili +1
Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their…
q-fin.RM2014
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.