Replica approach to mean-variance portfolio optimization
Varga-Haszonits, Istvan, Caccioli, Fabio, Kondor, Imre
Published in Journal of statistical mechanics (23.12.2016)
Published in Journal of statistical mechanics (23.12.2016)
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The effect of social balance on social fragmentation
Minh Pham, Tuan, Kondor, Imre, Hanel, Rudolf, Thurner, Stefan
Published in Journal of the Royal Society interface (01.11.2020)
Published in Journal of the Royal Society interface (01.11.2020)
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Journal Article
Analytic approach to variance optimization under an ℓ 1 constraint
Kondor, Imre, Papp, Gábor, Caccioli, Fabio
Published in The European physical journal. B, Condensed matter physics (01.01.2019)
Published in The European physical journal. B, Condensed matter physics (01.01.2019)
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Journal Article
Analytic approach to variance optimization under an [l.sub.1] constraint
Kondor, Imre, Papp, Gabor, Caccioli, Fabio
Published in The European physical journal. B, Condensed matter physics (01.01.2019)
Published in The European physical journal. B, Condensed matter physics (01.01.2019)
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Journal Article
Analytic solution to variance optimization with no short positions
Kondor, Imre, Papp, Gábor, Caccioli, Fabio
Published in Journal of statistical mechanics (12.12.2017)
Published in Journal of statistical mechanics (12.12.2017)
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Journal Article
Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ2 regularization
Papp, Gábor, Caccioli, Fabio, Kondor, Imre
Published in Journal of statistical mechanics (04.01.2019)
Published in Journal of statistical mechanics (04.01.2019)
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Journal Article
Optimal liquidation strategies regularize portfolio selection
Caccioli, Fabio, Still, Susanne, Marsili, Matteo, Kondor, Imre
Published in The European journal of finance (01.07.2013)
Published in The European journal of finance (01.07.2013)
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Journal Article