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Characteristic-based mean-variance portfolio choice
16 references·3 citing·37 second hop
Characteristic-based mean-variance portfolio choice (2011)Characteristic-based mean-variance portfo…Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Markowitz meets Talmud: A com…Predicting Global Stock Returns (2009)Predicting Global Stock Retur…Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Parametric Portfolio Policies…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Variable Selection for Portfolio Choice (2001)Variable Selection for Portfo…The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999)The Sampling Error in Estimat…Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach (1999)Estimating Portfolio and Cons…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Overreaction, Delayed Reaction, and Contrarian Profits (1995)Overreaction, Delayed Reactio…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Portfolio Selection (1952)Portfolio SelectionHigher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional co…A polynomial goal programming approach for intuitionistic fuzzy portfolio optimization using entropy and higher moments (2019)A polynomial goal programming…A Test of the Efficiency of a Given Portfolio (1989)Handbooks in operations research and management science (1989)Global Portfolio Optimization (1992)Systemic Risk and International Portfolio Choice (2004)PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)Accounting anomalies and fundamental analysis: A review of recent research advances (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)PORTFOLIO SELECTION* (1952)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Value and Momentum Everywhere (2013)Choosing factors (2018)Climate risks and market efficiency (2018)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1952Portfolio Selection4,609 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1999The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights472 cited
  • 2010Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies467 cited
  • 2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns464 cited
  • 1995Overreaction, Delayed Reaction, and Contrarian Profits414 cited
  • 2001Variable Selection for Portfolio Choice409 cited
  • 1999Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

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404 cited
  • 2009Predicting Global Stock Returns306 cited
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    • 2019A polynomial goal programming approach for intuitionistic fuzzy portfolio optimization using entropy and higher moments46 cited
    • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
    • 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited