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A note on the returns from minimum variance investing
16 references·11 citing·37 second hop
A note on the returns from minimum variance investing (2011)A note on the returns from minimum varian…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…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Minimum-Variance Portfolios in the U.S. Equity Market (2006)Minimum-Variance Portfolios i…Fundamental Indexation (2005)Fundamental IndexationRisk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Performance Hypothesis Testing with the Sharpe Ratio (2003)Performance Hypothesis Testin…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Testing for parameter instability in linear models (1992)Testing for parameter instabi…The efficient market inefficiency of capitalization–weighted stock portfolios (1991)The efficient market ineffici…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Volatility Effect Revisited (2019)The Volatility Effect Revisit…How performance of risk-based strategies is modified by socially responsible investment universe? (2014)How performance of risk-based…SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES (2013)SUB-ADDITIVE RECURSIVE "MATCH…Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective (2013)Risk Parity, Maximum Diversif…Performance hypothesis testing with the Sharpe ratio: The case of hedge funds (2013)Performance hypothesis testin…Low-Risk Investing Without Industry Bets (2013)Low-Risk Investing Without In…Will My Risk Parity Strategy Outperform? (2012)Will My Risk Parity Strategy …Diversified Risk Parity Strategies for Equity Portfolio Selection (2012)Diversified Risk Parity Strat…Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description (2012)Demystifying Equity Risk–Base…Choose Your Betas: Benchmarking AlternativeEquity Index Strategies (2012)Choose Your Betas: Benchmarki…Estimating Security Betas Using Prior Information Based on Firm Fundamentals (2010)Estimating Security Betas Usi…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)International Portfolio Diversification with Estimation Risk (1985)Construct validity of an objective (entropy) categorical measure of diversification strategy (1993)CORPORATE DIVESTITURE INTENSITY IN RESTRUCTURING FIRMS: EFFECTS OF GOVERNANCE, STRATEGY, AND PERFORMANCE. (1994)The Behavior of Stock-Market Prices (1965)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)PORTFOLIO SELECTION* (1952)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)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)Multivariate tests of financial models (1982)Mean-Variance Spanning (1987)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1992Testing for parameter instability in linear models768 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model569 cited
  • 2006Minimum-Variance Portfolios in the U.S. Equity Market387 cited
  • 2005Fundamental Indexation378 cited
  • 1991The efficient market inefficiency of capitalization–weighted stock portfolios369 cited

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Performance Hypothesis Testing with the Sharpe Ratio
358 cited

Cited by

  • 2013Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective117 cited
  • 2012Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description116 cited
  • 2012Will My Risk Parity Strategy Outperform?112 cited
  • 2013Low-Risk Investing Without Industry Bets91 cited
  • 2010Estimating Security Betas Using Prior Information Based on Firm Fundamentals80 cited
  • 2012Diversified Risk Parity Strategies for Equity Portfolio Selection53 cited
  • 2019The Volatility Effect Revisited50 cited
  • 2012Choose Your Betas: Benchmarking AlternativeEquity Index Strategies42 cited
  • 2013Performance hypothesis testing with the Sharpe ratio: The case of hedge funds38 cited
  • 2013SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES33 cited
  • 2014How performance of risk-based strategies is modified by socially responsible investment universe?32 cited