Imre Kondor : Citation Profile


Are you Imre Kondor?

Budapesti Corvinus Egyetem

7

H index

7

i10 index

156

Citations

RESEARCH PRODUCTION:

14

Articles

25

Papers

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 6
   Journals where Imre Kondor has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 12 (7.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko687
   Updated: 2019-09-14    RAS profile: 2019-01-05    
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Relations with other researchers


Works with:

Fiaschi, Davide (2)

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

Is cited by:

León, Carlos (5)

Caporin, Massimiliano (3)

Wong, Wing-Keung (3)

Sarmiento, Miguel (3)

Scalas, Enrico (3)

Wang, Gang-Jin (2)

Fernandez, Viviana (2)

Adrian, Tobias (2)

lucey, brian (2)

Xu, Mingxin (2)

Yoon, Seong-Min (1)

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)

Bollerslev, Tim (4)

Uppal, Raman (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 (2018 and 2017)


YearTitle of citing document
2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2017Stock market as temporal network. (2017). Wang, Gang-Jin ; Zhao, Longfeng ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi. In: Papers. RePEc:arx:papers:1712.04863.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1803.00261.

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2018Emergence of correlations between securities at short time scales. (2018). Valeyre, S ; Aboura, S ; Grebenkov, D S. In: Papers. RePEc:arx:papers:1807.05015.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2018A Review of Shadow Banking. (2018). Adrian, Tobias ; Cetorelli, Nicola ; Breuer, Peter ; Ashcraft, Adam. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13363.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Pinter, Miklos ; Csoka, Peter ; Batyi, Tamas Laszlo . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

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2018Direct data-based decision making under uncertainty. (2018). Grechuk, Bogdan ; Zabarankin, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:1:p:200-211.

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2018Identifying central bank liquidity super-spreaders in interbank funds networks. (2018). León, Carlos ; Sarmiento, Miguel ; Machado, Clara ; Leon, Carlos. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:75-92.

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2018Maximizing and minimizing investment concentration with constraints of budget and investment risk. (2018). Shinzato, Takashi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:986-993.

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2018Dynamic correlations at different time-scales with empirical mode decomposition. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:534-544.

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2018Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112.

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2019Portfolio optimization based on network topology. (2019). Li, Yan ; Zheng, BO ; Tian, Yue ; Jiang, Xiong-Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:671-681.

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2019Sparse and robust mean–variance portfolio optimization problems. (2019). Wang, Fei ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1371-1378.

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2019Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization. (2019). Papp, Gabor ; Kondor, Imre ; Caccioli, Fabio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100294.

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2018Financial time series forecasting using empirical mode decomposition and support vector regression. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:91028.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-02000726.

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2018Portfolio selection strategy for fixed income markets with immunization on average. (2018). Ortobelli, Sergio ; Tich, Toma ; Cassader, Marco ; Vitali, Sebastiano. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2182-8.

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2017On the impact of conditional expectation estimators in portfolio theory. (2017). Ortobelli, Sergio ; Tich, Toma ; Kouaissah, Noureddine. In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:4:d:10.1007_s10287-017-0282-9.

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2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

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2017Approximating exact expected utility via portfolio efficient frontiers. (2017). Carleo, Alessandra ; Ricci, Jacopo Maria ; Gheno, Andrea ; Cesarone, Francesco . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0201-0.

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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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paper1
2009Regularizing Portfolio Optimization In: Papers.
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paper2
2011Optimal Liquidation Strategies Regularize Portfolio Selection In: Papers.
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paper7
2013Optimal liquidation strategies regularize portfolio selection.(2013) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 7
article
2014Strong random correlations in networks of heterogeneous agents In: Papers.
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paper1
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: 1
article
2014The Interrupted Power Law and The Size of Shadow Banking In: Papers.
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paper11
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: 11
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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paper5
2001Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets In: Papers.
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paper11
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: 11
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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paper25
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: 25
article
2003Estimated Correlation Matrices and Portfolio Optimization In: Papers.
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paper18
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: 18
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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paper6
2004Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization.(2004) In: Science & Finance (CFM) working paper archive.
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This paper has another version. Agregated cites: 6
paper
2005Random Matrix Filtering in Portfolio Optimization In: Papers.
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paper11
2006On the Feasibility of Portfolio Optimization under Expected Shortfall In: Papers.
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paper11
2007On the feasibility of portfolio optimization under expected shortfall.(2007) In: Quantitative Finance.
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This paper has another version. Agregated cites: 11
article
2006Noise sensitivity of portfolio selection under various risk measures In: Papers.
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paper27
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: 27
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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article7
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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