684 citations · 1.2k across the 32 of their papers we have counts for
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q-fin.PM2017
Analytic approach to variance optimization under an constraint
Imre Kondor, Gábor Papp, Fabio Caccioli
The optimization of the variance supplemented by a budget constraint and an asymmetric regularizer is carried out analytically by the replica method borrowed from the theo…
q-fin.PM2017★ 18 cited
Analytic solution to variance optimization with no short-selling
Imre Kondor, Gábor Papp, Fabio Caccioli
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric …