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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…
physics.soc-ph2005
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…