SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?
16 references·3 citing·37 second hop
Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns? (2011)Do optimal diversification strategies out…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Robust 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…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…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…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Selection (1952)Portfolio SelectionA bibliometric review of portfolio diversification literature (2023)A bibliometric review of port…Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation (2017)Vine copulas: modelling syste…TIME VARYING ASIAN STOCK MARKET INTEGRATION (2015)TIME VARYING ASIAN STOCK MARK…The Cross-Section of Expected Stock Returns (1992)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)PORTFOLIO SELECTION* (1952)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)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)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)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)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1952Portfolio Selection4,609 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 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
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited

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

  • 1997The Delisting Bias in CRSP Data619 cited
  • Cited by

    • 2023A bibliometric review of portfolio diversification literature32 cited
    • 2017Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation25 cited
    • 2015TIME VARYING ASIAN STOCK MARKET INTEGRATION21 cited