SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Approximating the growth optimal portfolio with a diversified world stock index
16 references·1 citing·47 second hop
Approximating the growth optimal portfolio with a diversified world stock index (2006)Approximating the growth optimal portfoli…On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006)On the Distributional Charact…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…A BENCHMARK APPROACH TO FINANCE (2006)A BENCHMARK APPROACH TO FINAN…MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX (2004)MODELING THE VOLATILITY AND E…Diversified Portfolios with Jumps in a Benchmark Framework (2004)Diversified Portfolios with J…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryArbitrage in continuous complete markets (2002)Arbitrage in continuous compl…Chapter 3 Capital growth theory (1995)Chapter 3 Capital growth theo…Computing efficient frontiers using estimated parameters (1993)Computing efficient frontiers…The numeraire portfolio (1990)The numeraire portfolioBayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…On estimating the expected return on the market (1980)On estimating the expected re…INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE (1976)INVESTMENT FOR THE LONG RUN: …Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances (1971)Portfolio Selection: The Effe…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae (2010)Modelling Co-movements and Ta…Modern Portfolio Theory and Investment Analysis. (1982)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)Incorporating estimation errors into portfolio selection: Robust portfolio construction (2006)An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)Robust portfolios: contributions from operations research and finance (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets (2003)The numéraire portfolio in semimartingale financial models (2007)What Is the Expected Return on a Stock? (2019)Theory of Games and Economic Behavior (1945)Exposition of a New Theory on the Measurement of Risk (1954)Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Optimization with Mental Accounts (2010)Earnings forecasting in a global stock selection model and efficient portfolio construction and management (2015)Rich Pickings? Risk, Return, and Skill in Household Wealth (2020)Liquidity Preference as Behavior Towards Risk (1958)A Simplified Model for Portfolio Analysis (1963)Risk Aversion in the Small and in the Large (1976)Noise sensitivity of portfolio selection under various risk measures (2007)The Distribution of the Sample Minimum-Variance Frontier (2008)Constructing optimal sparse portfolios using regularization methods (2014)Portfolio Selection: Efficient Diversification of Investments (1959)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)The Properties of Equally Weighted Risk Contribution Portfolios (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlation structure and dynamics in volatile markets (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)THE DEMAND FOR RISKY ASSETS (1977)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Atlas models of equity markets (2005)Relative arbitrage in volatility-stabilized markets (2005)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 1990The numeraire portfolio319 cited
  • 1993Computing efficient frontiers using estimated parameters273 cited
  • 1976INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE212 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 1971Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances159 cited
  • 2002Arbitrage in continuous complete markets126 cited
  • 2006A BENCHMARK APPROACH TO FINANCE120 cited
  • 2006On the Distributional Characterization of Daily Log‐Returns of a World Stock Index88 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 2004Diversified Portfolios with Jumps in a Benchmark Framework42 cited
  • 2004MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX33 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2010Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae17 cited