• 1513 Citations
  • 18 h-Index
1968 …2019
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  • 4 Similar Profiles
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Research Output 1968 2019

  • 1513 Citations
  • 18 h-Index
  • 51 Article
  • 2 Chapter
  • 1 Conference contribution

Analytic approach to variance optimization under an ℓ 1 constraint

Kondor, I., Papp, G. & Caccioli, F., Jan 1 2019, In : European Physical Journal B. 92, 1, 8.

Research output: Contribution to journalArticle

Error analysis
Constrained optimization
physical exercise
Open Access
Expected Shortfall
Portfolio Optimization
Estimation Error
4 Citations (Scopus)

Analytic solution to variance optimization with no short positions

Kondor, I., Papp, G. & Caccioli, F., Dec 12 2017, In : Journal of Statistical Mechanics: Theory and Experiment. 2017, 12, 123402.

Research output: Contribution to journalArticle

Analytic Solution
Optimization Problem