684 citations · 1.2k across the 32 of their papers we have counts for
3 papers · 1 filter
The missing assets and the size of Shadow Banking: an update
Davide Fiaschi, Imre Kondor, Matteo Marsili +1
In a recent paper, using data from Forbes Global 2000, we have observed that the upper tail of the firm size distribution (by assets) falls off much faster than a Pareto distributi…
Replica approach to mean-variance portfolio optimization
Istvan Varga-Haszonits, Fabio Caccioli, Imre Kondor
We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with th…
Bias-variance trade-off in portfolio optimization under Expected Shortfall with regularization
Gábor Papp, Fabio Caccioli, Imre Kondor
The optimization of a large random portfolio under the Expected Shortfall risk measure with an regularizer is carried out by analytical calculation. The regularizer reins…