Imre Kondor : Citation Profile


Are you Imre Kondor?

Budapesti Corvinus Egyetem

9

H index

9

i10 index

200

Citations

RESEARCH PRODUCTION:

14

Articles

25

Papers

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 7
   Journals where Imre Kondor has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 12 (5.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko687
   Updated: 2021-09-18    RAS profile: 2019-01-05    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Imre Kondor.

Is cited by:

Sarmiento, Miguel (6)

León, Carlos (5)

Livan, Giacomo (3)

Scalas, Enrico (3)

Caporin, Massimiliano (3)

Wong, Wing-Keung (3)

Wang, Gang-Jin (2)

lucey, brian (2)

Fernandez, Viviana (2)

Conlon, Thomas (2)

Adrian, Tobias (2)

Cites to:

Wolf, Michael (13)

Ledoit, Olivier (13)

Acerbi, Carlo (12)

Tasche, Dirk (7)

Potters, Marc (7)

Memmel, Christoph (6)

Engle, Robert (6)

Jorion, Philippe (5)

Golosnoy, Vasyl (5)

Uppal, Raman (4)

Bollerslev, Tim (4)

Main data


Where Imre Kondor has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications7
The European Physical Journal B: Condensed Matter and Complex Systems3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org22

Recent works citing Imre Kondor (2021 and 2020)


YearTitle of citing document
2021A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498.

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2020Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations. (2020). Schell, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2011.07570.

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2021Nonstationary Portfolios: Diversification in the Spectral Domain. (2021). Stankovic, Ljubisa ; Mandic, Danilo P ; Scalzo, Bruno ; Arroyo, Alvaro. In: Papers. RePEc:arx:papers:2102.00477.

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2021A combinatorial optimization approach to scenario filtering in portfolio selection. (2021). Scozzari, Andrea ; Rodr, Mois'Es ; Ricca, Federica ; Puerto, Justo. In: Papers. RePEc:arx:papers:2103.01123.

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2021Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach. (2021). Caccioli, Fabio ; Kondor, Imre ; Papp, G'Abor. In: Papers. RePEc:arx:papers:2103.04375.

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2021A new spin on optimal portfolios and ecological equilibria. (2021). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Benzaquen, Michael ; Garnier-Brun, Jerome. In: Papers. RePEc:arx:papers:2104.00668.

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2021Aspects of a phase transition in high-dimensional random geometry. (2021). Pruser, Axel ; Engel, Andreas ; Kondor, Imre. In: Papers. RePEc:arx:papers:2105.04395.

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2020On the stability of portfolio selection models. (2020). Tardella, Fabio ; Ricci, Jacopo Maria ; Mottura, Carlo Domenico ; Mango, Fabiomassimo ; Cesarone, Francesco. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:210-234.

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2020Real price appreciation forecast tool: Two delivered log market price cycles in the Puget Sound markets of western Washington, USA, from 1992 through 2019. (2020). Schlosser, William E. In: Forest Policy and Economics. RePEc:eee:forpol:v:113:y:2020:i:c:s1389934119303624.

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2021Using multivariate stochastic dominance to enhance portfolio selection and warn of financial crises. (2021). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:480-493.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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2020An optimization–diversification approach to portfolio selection. (2020). Tardella, Fabio ; Scozzari, Andrea ; Cesarone, Francesco. In: Journal of Global Optimization. RePEc:spr:jglopt:v:76:y:2020:i:2:d:10.1007_s10898-019-00809-7.

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Works by Imre Kondor:


YearTitleTypeCited
2007Divergent estimation error in portfolio optimization and in linear regression In: Papers.
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paper1
2008Divergent estimation error in portfolio optimization and in linear regression.(2008) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 1
article
2008Feasibility of Portfolio Optimization under Coherent Risk Measures In: Papers.
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paper1
2008The instability of downside risk measures In: Papers.
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paper3
2009Regularizing Portfolio Optimization In: Papers.
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paper2
2011Optimal Liquidation Strategies Regularize Portfolio Selection In: Papers.
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paper10
2013Optimal liquidation strategies regularize portfolio selection.(2013) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 10
article
2014Strong random correlations in networks of heterogeneous agents In: Papers.
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paper3
2014Strong random correlations in networks of heterogeneous agents.(2014) In: Journal of Economic Interaction and Coordination.
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This paper has another version. Agregated cites: 3
article
2014The Interrupted Power Law and The Size of Shadow Banking In: Papers.
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paper13
2013The Interrupted Power Law and The Size of Shadow Banking.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 13
paper
2014Estimation Error of Expected Shortfall In: Papers.
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paper1
2014$L_p$ regularized portfolio optimization In: Papers.
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paper0
2015Contour map of estimation error for Expected Shortfall In: Papers.
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paper0
2015Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error In: Papers.
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paper3
2015Portfolio optimization under expected shortfall: contour maps of estimation error.(2015) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 3
paper
2018Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization In: Papers.
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paper0
2016Replica approach to mean-variance portfolio optimization In: Papers.
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paper6
2001Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets In: Papers.
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paper14
2001Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 14
article
2001Noisy Covariance Matrices and Portfolio Optimization In: Papers.
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paper1
2002Noisy Covariance Matrices and Portfolio Optimization II In: Papers.
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paper32
2003Noisy covariance matrices and portfolio optimization II.(2003) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 32
article
2003Estimated Correlation Matrices and Portfolio Optimization In: Papers.
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paper21
2004Estimated correlation matrices and portfolio optimization.(2004) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 21
article
2003Concave risk measures in international capital regulation In: Papers.
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paper0
2004Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization In: Papers.
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paper7
2004Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization.(2004) In: Science & Finance (CFM) working paper archive.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2005Random Matrix Filtering in Portfolio Optimization In: Papers.
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paper14
2006On the Feasibility of Portfolio Optimization under Expected Shortfall In: Papers.
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paper15
2007On the feasibility of portfolio optimization under expected shortfall.(2007) In: Quantitative Finance.
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This paper has another version. Agregated cites: 15
article
2006Noise sensitivity of portfolio selection under various risk measures In: Papers.
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paper37
2007Noise sensitivity of portfolio selection under various risk measures.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 37
article
1992Short range corrections to the order parameter and to the excitation spectrum of the Ising spin glass In: Physica A: Statistical Mechanics and its Applications.
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article0
1999Statistical analysis of 5 s index data of the Budapest Stock Exchange In: Physica A: Statistical Mechanics and its Applications.
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article4
1999Portfolios with nonlinear constraints and spin glasses In: Physica A: Statistical Mechanics and its Applications.
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article2
2007Noise sensitivity of portfolio selection in constant conditional correlation GARCH models In: Physica A: Statistical Mechanics and its Applications.
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article10
1999Scaling and infrared divergences in the replica field theory of the Ising spin glass In: The European Physical Journal B: Condensed Matter and Complex Systems.
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article0
1999Scaling and infrared divergences in the replica field theory of the Ising spin glass.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 0
article

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