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Imre Kondor · Study

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Imre Kondor

8 works· latest 2007· 2 institutionscluster: provisionalORCID 0000-0001-5697-3547

h-index8

i108

Citations1,211

Works here8

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Most cited in this library

Modeling bursts and heavy tails in human dynamics2006 · 674 citations
Noise sensitivity of portfolio selection under various risk measures2007 · 128 citations
Noisy covariance matrices and portfolio optimization II2003 · 115 citations
Estimated correlation matrices and portfolio optimization2004 · 89 citations
Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets2001 · 61 citations

Works

8 shown

On the Feasibility of Portfolio Optimization under Expected Shortfall

Quantitative Finance·2007·3 authors·Open access

55citations

Noise sensitivity of portfolio selection under various risk measures

Journal of Banking & Finance·2007·2 authors

128citations

Modeling bursts and heavy tails in human dynamics

Physical Review E·2006·6 authors·Open access

674citations

Random Matrix Filtering in Portfolio Optimization

RePEc: Research Papers in Economics·2005·4 authors·preprint·Open access

46citations

Estimated correlation matrices and portfolio optimization

Physica A Statistical Mechanics and its Applications·2004·2 authors·Open access

89citations

Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization

RePEc: Research Papers in Economics·2004·3 authors·preprint·Open access

43citations

Noisy covariance matrices and portfolio optimization II

Physica A Statistical Mechanics and its Applications·2003·1 author·Open access

115citations

Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

Physica A Statistical Mechanics and its Applications·2001·2 authors·Open access

61citations