SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dominating estimators for minimum-variance portfolios
16 references·13 citing·41 second hop
Dominating estimators for minimum-variance portfolios (2010)Dominating estimators for minimum-varianc…Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementRobust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Portfolio Choice with…Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Portfolio Selection with Para…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…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…The efficient market inefficiency of capitalization–weighted stock portfolios (1991)The efficient market ineffici…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…On estimating the expected return on the market (1980)On estimating the expected re…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection (1952)Portfolio SelectionThe Risk of Expected Utility Under Parameter Uncertainty (2024)The Risk of Expected Utility …Why Naive $ 1/N $ Diversification Is Not So Naive, and How to Beat It? (2023)Why Naive $ 1/N $ Diversifica…Optimal Shrinkage-Based Portfolio Selection in High Dimensions (2021)Optimal Shrinkage-Based Portf…A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables (2019)A new semiparametric estimati…Estimation of the global minimum variance portfolio in high dimensions (2017)Estimation of the global mini…Asset allocation with correlation: A composite trade-off (2017)Asset allocation with correla…Sparse Weighted-Norm Minimum Variance Portfolios (2015)Sparse Weighted-Norm Minimum …Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks (2014)Nonlinear shrinkage of the co…Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2014)Nonlinear Shrinkage of the Co…Diversifying risk parity (2014)Diversifying risk paritySolving norm constrained portfolio optimization via coordinate-wise descent algorithms (2013)Solving norm constrained port…Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk (2012)Performance Analysis and Opti…Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011)Size Matters: Optimal Calibra…Portfolio Selection: Efficient Diversification of Investments (1959)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)Portfolio Selection: Efficient Diversification of Investments. (1962)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)The Properties of Equally Weighted Risk Contribution Portfolios (2010)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)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)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)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep learning-based feature engineering for stock price movement prediction (2018)Financial time series forecasting with multi-modality graph neural network (2021)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Robust Portfolio Selection Problems (2003)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)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)
this work references cited by second hop

References

  • 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
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2011Quantitative Risk Management985 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model569 cited
  • 1986An Empirical Bayes Approach to Efficient Portfolio Selection390 cited
  • 2012Quantitative Risk Management374 cited

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

  • 1991The efficient market inefficiency of capitalization–weighted stock portfolios369 cited
  • Cited by

    • 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection152 cited
    • 2017Estimation of the global minimum variance portfolio in high dimensions110 cited
    • 2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks89 cited
    • 2014Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks81 cited
    • 2021Optimal Shrinkage-Based Portfolio Selection in High Dimensions64 cited
    • 2014Diversifying risk parity62 cited
    • 2013Solving norm constrained portfolio optimization via coordinate-wise descent algorithms59 cited
    • 2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk57 cited
    • 2024The Risk of Expected Utility Under Parameter Uncertainty40 cited
    • 2015Sparse Weighted-Norm Minimum Variance Portfolios38 cited
    • 2017Asset allocation with correlation: A composite trade-off38 cited
    • 2023Why Naive $ 1/N $ Diversification Is Not So Naive, and How to Beat It?36 cited
    • 2019A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables27 cited