SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Noise sensitivity of portfolio selection under various risk measures · Study

ArticleShelves

ArticleNoise sensitivity of portfolio selection under various risk measures

Imre Kondor2007

Article2007

Noise sensitivity of portfolio selection under various risk measures

Imre Kondor · Szilárd Pafka

128 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 128 citations exist upstream.

References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 1952Portfolio Selection 2002Conditional value-at-risk for general loss distributions 1962Portfolio Selection: Efficient Diversification of Investments.1982Modern Portfolio Theory and Investment Analysis.1900Théorie de la spéculation

Cited by

2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix 2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators 2007On the Feasibility of Portfolio Optimization under Expected Shortfall 2017Minimum risk versus capital and risk diversification strategies for portfolio construction 2010Regularizing portfolio optimization 2013Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Estimated correlation matrices and portfolio optimizationarticle · 16 shared references 2009Robust portfolios: contributions from operations research and financearticle · 10 shared references 2010Regularizing portfolio optimizationarticle · 10 shared references 2003LP solvable models for portfolio optimization: a classification and computational comparisonarticle · 8 shared references 1994Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidencearticle · 8 shared references 2003On LP Solvable Models for Portfolio Selectionarticle · 8 shared references

Details

Year2007

Typearticle

Published2007-01-25

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations128

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.jbankfin.2006.12.003

openalex_workW2053961053

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2021Factor investing and asset allocation strategies: a comparison of factor versus sector optimization