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Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
16 references·10 citing·33 second hop
Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence (1994)Estimation Methods in Portfolio Selection…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…An Empirical Bayes Approach to Efficient Portfolio Selection (1986)An Empirical Bayes Approach t…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Putting Markowitz theory to work (1981)Putting Markowitz theory to w…Estimation Risk and Optimal Portfolio Choice. (1981)Estimation Risk and Optimal P…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Foundations of Finance. (1977)Foundations of Finance.A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The effect of estimation risk on optimal portfolio choice (1976)The effect of estimation risk…ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION (1973)ESTIMATING THE DEPENDENCE STR…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…An Empirical Evaluation of Alternative Portfolio-Selection Models (1967)An Empirical Evaluation of Al…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio (2023)Does Islamic investing modify…Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed (2021)Justifying Mean-Variance Port…Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (2019)Horses for Courses: Mean-Vari…Portfolio optimization based on stochastic dominance and empirical likelihood (2018)Portfolio optimization based …Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS (2014)Asset Liability Modelling and…Constructing 130/30-portfolios with the Omega ratio (2011)Constructing 130/30-portfolio…Optimal enough? (2010)Optimal enough?Portfolio selection using hierarchical Bayesian analysis and MCMC methods (2005)Portfolio selection using hie…Applying Operations Research Techniques to Financial Markets (2003)Applying Operations Research …A rational explanation for home country bias (2000)A rational explanation for ho…Portfolio Selection: Efficient Diversification of Investments. (1962)International Diversification of Investment Portfolios (1970)On estimating the expected return on the market (1980)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Capital Market Equilibrium with Restricted Borrowing (1972)Multifactor models do not explain deviations from the CAPM (1995)Portfolio selection with higher moments (2010)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)Theory of Financial Decision Making. (1988)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)The New Institutionalism: Organizational Factors in Political Life (1983)Random matrix approach to cross correlations in financial data (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
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  • 1981Putting Markowitz theory to work322 cited
  • 1981Estimation Risk and Optimal Portfolio Choice.304 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 1967

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An Empirical Evaluation of Alternative Portfolio-Selection Models
275 cited

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  • 2005Portfolio selection using hierarchical Bayesian analysis and MCMC methods43 cited
  • 2021Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed42 cited
  • 2010Optimal enough?41 cited
  • 2011Constructing 130/30-portfolios with the Omega ratio40 cited
  • 2003Applying Operations Research Techniques to Financial Markets35 cited
  • 2023Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio20 cited