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Distributional properties of portfolio weights
16 references·16 citing·40 second hopsampled
Distributional properties of portfolio weights (2005)Distributional properties of portfolio we…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…Handbooks in operations research and management science (1989)Handbooks in operations resea…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…On estimating the expected return on the market (1980)On estimating the expected re…Foundations of Finance. (1977)Foundations of Finance.Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Portfolio Selection (1952)Portfolio SelectionOptimal Shrinkage-Based Portfolio Selection in High Dimensions (2021)Optimal Shrinkage-Based Portf…Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case (2021)Optimal Portfolio Choice with…Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty (2018)Bayesian mean-variance analys…Estimation of the global minimum variance portfolio in high dimensions (2017)Estimation of the global mini…Bayesian estimation of the global minimum variance portfolio (2016)Bayesian estimation of the gl…Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk (2012)Performance Analysis and Opti…Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix (2012)Parameter uncertainty in port…Dominating estimators for minimum-variance portfolios (2010)Dominating estimators for min…Estimation of optimal portfolio compositions for Gaussian returns (2009)Estimation of optimal portfol…The Distribution of the Sample Minimum-Variance Frontier (2008)The Distribution of the Sampl…Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty (2008)Incorporating Economic Object…Econometrical analysis of the sample efficient frontier (2008)Econometrical analysis of the…Multivariate Shrinkage for Optimal Portfolio Weights (2007)Multivariate Shrinkage for Op…EWMA Control Charts for Monitoring Optimal Portfolio Weights (2007)EWMA Control Charts for Monit…A test for the weights of the global minimum variance portfolio in an elliptical model (2007)A test for the weights of the…Estimating the Global Minimum Variance Portfolio (2006)Estimating the Global Minimum…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? 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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1952Portfolio Selection4,609 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1989Handbooks in operations research and management science2,388 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 1977Foundations of Finance.1,128 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 2001The Economic Value of Volatility Timing

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848 cited

Cited by

  • 2008The Distribution of the Sample Minimum-Variance Frontier136 cited
  • 2010Dominating estimators for minimum-variance portfolios121 cited
  • 2006Estimating the Global Minimum Variance Portfolio119 cited
  • 2021Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case115 cited
  • 2017Estimation of the global minimum variance portfolio in high dimensions110 cited
  • 2016Bayesian estimation of the global minimum variance portfolio104 cited
  • 2008Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty95 cited
  • 2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix95 cited
  • 2008Econometrical analysis of the sample efficient frontier87 cited
  • 2007Multivariate Shrinkage for Optimal Portfolio Weights80 cited
  • 2007A test for the weights of the global minimum variance portfolio in an elliptical model70 cited
  • 2021Optimal Shrinkage-Based Portfolio Selection in High Dimensions64 cited
  • 2007EWMA Control Charts for Monitoring Optimal Portfolio Weights62 cited
  • 2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk57 cited
  • 2009Estimation of optimal portfolio compositions for Gaussian returns54 cited
  • 2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty47 cited