Physics – Condensed Matter – Statistical Mechanics
Scientist
Physics
Condensed Matter
Statistical Mechanics
Scientist
Eötvös University, Budapest
Block diagonalizing ultrametric matrices
Concave risk measures in international capital regulation
Estimated Correlation Matrices and Portfolio Optimization
Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
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