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Imre Kondor

Personal Details

First Name:Imre
Middle Name:
Last Name:Kondor
Suffix:
RePEc Short-ID:pko687

Affiliation

Befektetések és Vállalati Pénzügy Tanszék
Gazdálkodástudományi Kar
Budapesti Corvinus Egyetem

Budapest, Hungary
http://finance.uni-corvinus.hu/
RePEc:edi:dfcorhu (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
  2. G'abor Papp & Fabio Caccioli & Imre Kondor, 2016. "Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization," Papers 1602.08297, arXiv.org, revised Jul 2018.
  3. Imre Kondor & Fabio Caccioli & G'abor Papp & Matteo Marsili, 2015. "Contour map of estimation error for Expected Shortfall," Papers 1502.06217, arXiv.org.
  4. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
  5. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
  6. Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
  7. Davide Fiaschi & Imre Kondor & Matteo Marsili & Valerio Volpati, 2013. "The Interrupted Power Law and The Size of Shadow Banking," Papers 1309.2130, arXiv.org, revised Apr 2014.
  8. Imre Kondor & Istv'an Csabai & G'abor Papp & Enys Mones & G'abor Czimbalmos & M'at'e Csaba S'andor, 2012. "Strong random correlations in networks of heterogeneous agents," Papers 1210.3324, arXiv.org, revised Feb 2014.
  9. Fabio Caccioli & Susanne Still & Matteo Marsili & Imre Kondor, 2010. "Optimal Liquidation Strategies Regularize Portfolio Selection," Papers 1004.4169, arXiv.org, revised Feb 2011.
  10. Susanne Still & Imre Kondor, 2009. "Regularizing Portfolio Optimization," Papers 0911.1694, arXiv.org.
  11. Istvan Varga-Haszonits & Imre Kondor, 2008. "The instability of downside risk measures," Papers 0811.0800, arXiv.org, revised Nov 2008.
  12. Imre Kondor & Istvan Varga-Haszonits, 2008. "Feasibility of Portfolio Optimization under Coherent Risk Measures," Papers 0803.2283, arXiv.org, revised Apr 2008.
  13. Imre Kondor & Istvan Varga-Haszonits, 2007. "Divergent estimation error in portfolio optimization and in linear regression," Papers 0710.1855, arXiv.org.
  14. Stefano Ciliberti & Imre Kondor & Marc Mezard, 2006. "On the Feasibility of Portfolio Optimization under Expected Shortfall," Papers physics/0606015, arXiv.org.
  15. Imre Kondor & Szilard Pafka & Gabor Nagy, 2006. "Noise sensitivity of portfolio selection under various risk measures," Papers physics/0611027, arXiv.org.
  16. Gabor Papp & Szilard Pafka & Maciej A. Nowak & Imre Kondor, 2005. "Random Matrix Filtering in Portfolio Optimization," Papers physics/0509235, arXiv.org.
  17. Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Papers cond-mat/0402573, arXiv.org.
  18. Szilard Pafka & Imre Kondor, 2003. "Estimated Correlation Matrices and Portfolio Optimization," Papers cond-mat/0305475, arXiv.org.
  19. Imre Kondor & Andras Szepessy & Tunde Ujvarosi, 2003. "Concave risk measures in international capital regulation," Papers cond-mat/0307244, arXiv.org.
  20. Szilard Pafka & Imre Kondor, 2002. "Noisy Covariance Matrices and Portfolio Optimization II," Papers cond-mat/0205119, arXiv.org, revised May 2002.
  21. Szilard Pafka & Imre Kondor, 2001. "Noisy Covariance Matrices and Portfolio Optimization," Papers cond-mat/0111503, arXiv.org.
  22. Szilard Pafka & Imre Kondor, 2001. "Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets," Papers cond-mat/0103107, arXiv.org.

    repec:ehl:lserod:65096 is not listed on IDEAS

Articles

  1. Imre Kondor & István Csabai & Gábor Papp & Enys Mones & Gábor Czimbalmos & Máté Sándor, 2014. "Strong random correlations in networks of heterogeneous agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 9(2), pages 203-232, October.
  2. Fabio Caccioli & Susanne Still & Matteo Marsili & Imre Kondor, 2013. "Optimal liquidation strategies regularize portfolio selection," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 554-571, July.
  3. I. Kondor & I. Varga-Haszonits, 2008. "Divergent estimation error in portfolio optimization and in linear regression," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 64(3), pages 601-605, August.
  4. Stefano Ciliberti & Imre Kondor & Marc Mezard, 2007. "On the feasibility of portfolio optimization under expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 389-396.
  5. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
  6. Varga-Haszonits, I. & Kondor, I., 2007. "Noise sensitivity of portfolio selection in constant conditional correlation GARCH models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 307-318.
  7. Pafka, Szilárd & Kondor, Imre, 2004. "Estimated correlation matrices and portfolio optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 623-634.
  8. Pafka, Szilárd & Kondor, Imre, 2003. "Noisy covariance matrices and portfolio optimization II," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 487-494.
  9. Pafka, Szilárd & Kondor, Imre, 2001. "Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 305-310.
  10. Jánosi, Imre M & Janecskó, Balázs & Kondor, Imre, 1999. "Statistical analysis of 5 s index data of the Budapest Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 111-124.
  11. T. Temesvári & C. Dominicis & I. Kondor, 1999. "Scaling and infrared divergences in the replica field theory of the Ising spin glass," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(4), pages 629-634, October.
  12. Gábor, Adrienn & Kondor, I, 1999. "Portfolios with nonlinear constraints and spin glasses," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 222-228.
  13. Kondor, I. & De Dominics, C. & Temesvári, T., 1992. "Short range corrections to the order parameter and to the excitation spectrum of the Ising spin glass," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 185(1), pages 295-304.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (6) 2012-10-20 2014-03-01 2015-02-28 2015-10-25 2016-03-06 2016-03-10. Author is listed
  2. NEP-ECM: Econometrics (2) 2005-02-13 2015-10-25
  3. NEP-BAN: Banking (1) 2013-09-26
  4. NEP-CMP: Computational Economics (1) 2012-10-20
  5. NEP-FIN: Finance (1) 2005-02-13
  6. NEP-FMK: Financial Markets (1) 2014-03-01
  7. NEP-GTH: Game Theory (1) 2012-10-20
  8. NEP-NET: Network Economics (1) 2012-10-20

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