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Noise sensitivity of portfolio selection under various risk measures

2007129 citationsJournal Article

Authors

Imre Kondor · Budapest Institute

Szilárd Pafka · Eötvös Loránd University

Gábor P. Nagy · Hungarian National Bank

Topics & Keywords

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Publication Details

Published in: Journal of Banking & Finance

Volume 31, Issue 5, pp. 1545-1573

DOI: 10.1016/j.jbankfin.2006.12.003

Field-Weighted Citation Impact: 7.53

Noise sensitivity of portfolio selection under various risk measures | Researchclopedia