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4 papers
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…
Random Matrix Filtering in Portfolio Optimization
Gabor Papp, Szilard Pafka, Maciej A. Nowak +1
We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in…
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
Szilard Pafka, Marc Potters, Imre Kondor
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces…
Estimated Correlation Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description…