Szilard Pafka

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Papers (7)

1. Noise sensitivity of portfolio selection under various risk measures physics.soc-ph · 2006 · author #2
2. Random Matrix Filtering in Portfolio Optimization physics.soc-ph · 2005 · author #2
3. Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization cond-mat.stat-mech · 2004 · author #1
4. Estimated Correlation Matrices and Portfolio Optimization cond-mat.stat-mech · 2003 · author #1
5. Noisy Covariance Matrices and Portfolio Optimization II cond-mat.stat-mech · 2002 · author #1
6. Noisy Covariance Matrices and Portfolio Optimization cond-mat.stat-mech · 2001 · author #1
7. Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets cond-mat.stat-mech · 2001 · author #1

Mentions

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Frequent Coauthors

• Imre Kondor 7 shared papers
• Gabor Nagy 1 shared papers
• Gabor Papp 1 shared papers
• Maciej A. Nowak 1 shared papers
• Marc Potters 1 shared papers