684 citations · 1.2k across the 32 of their papers we have counts for
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q-fin.RM2015★ 1 cited
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…
q-fin.RM2015
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…