SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Regularizing portfolio optimization
16 references·1 citing·30 second hop
Regularizing portfolio optimization (2010)Regularizing portfolio optimizationA 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…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…On the coherence of expected shortfall (2002)On the coherence of expected …Optimization of conditional value-at-risk (2000)Optimization of conditional v…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Bayes-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…Portfolio Selection (1952)Portfolio SelectionOptimal liquidation strategies regularize portfolio selection (2011)Optimal liquidation strategie…Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Portfolio Selection: Efficient Diversification of Investments. (1962)Modern Portfolio Theory and Investment Analysis. (1982)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)A Simplified Model for Portfolio Analysis (1963)Chapter 4 Forecast Combinations (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1952Portfolio Selection4,609 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion

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

946 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • Cited by

    • 2011Optimal liquidation strategies regularize portfolio selection35 cited