4 citations · 5 across the 3 of their papers we have counts for
3 papers
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…
physics.soc-ph2006★ 1 cited
Noise sensitivity of portfolio selection under various risk measures
Imre Kondor, Szilard Pafka, Gabor Nagy
We study the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We in…