S. Pafka

发表

Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization

M. Potters, I. Kondor, S. Pafka, 2004, cond-mat/0402573.

Noisy Covariance Matrices and Portfolio Optimization II

I. Kondor, S. Pafka, 2002, cond-mat/0205119.

Noise sensitivity of portfolio selection under various risk measures

I. Kondor, S. Pafka, G. Nagy, 2006, physics/0611027.

Estimated correlation matrices and portfolio optimization

Imre Kondor, Szilard Pafka, I. Kondor, 2003, cond-mat/0305475.

Noise sensitivity of portfolio selection under various risk measures

I. Kondor, S. Pafka, G. Nagy, 2006, physics/0611027.

Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets

I. Kondor, S. Pafka, 2001, cond-mat/0103107.

Noise sensitivity of portfolio selection under various risk measures

I. Kondor, S. Pafka, G. Nagy, 2006, physics/0611027.

Noisy Covariance Matrices and Portfolio Optimization II

I. Kondor, S. Pafka, 2002, cond-mat/0205119.

Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization

M. Potters, I. Kondor, S. Pafka, 2004, cond-mat/0402573.

Random matrix filtering in portfolio optimization

I. Kondor, M. Nowak, G. Papp, 2005, physics/0509235.

Noisy covariance matrices and portfolio optimization

I. Kondor, S. Pafka, 2001, cond-mat/0111503.

Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure

I. Kondor, S. Pafka, G. Nagy, 2006 .