20 citations · 27 across the 4 of their papers we have counts for
4 papers
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…
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…
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…
Divergent estimation error in portfolio optimization and in linear regression
Imre Kondor, Istvan Varga-Haszonits
The problem of estimation error in portfolio optimization is discussed, in the limit where the portfolio size N and the sample size T go to infinity such that their ratio is fixed.…