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Composition of robust equity portfolios
16 references·1 citing·27 second hop
Composition of robust equity portfolios (2013)Composition of robust equity portfoliosRobust Portfolio Optimization and Management (2007)Robust Portfolio Optimization…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Robust Asset Allocation (2004)Robust Asset AllocationRobust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Computing efficient frontiers using estimated parameters (1993)Computing efficient frontiers…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio (1992)Uncertainty Aversion, Risk Av…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…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*60 Years of portfolio optimization: Practical challenges and current trends (2013)60 Years of portfolio optimiz…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)A Smooth Model of Decision Making under Ambiguity (2005)Trusting the Stock Market (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Multifactor Explanations of Asset Pricing Anomalies (1996)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (1969)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)Optimal Portfolio Choice with Parameter Uncertainty (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)An Engine, Not a Camera (2006)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,367 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 1992Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio776 cited
  • 2007Robust Portfolio Optimization and Management403 cited
  • 2004Robust Asset Allocation388 cited
  • 1993

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Computing efficient frontiers using estimated parameters
273 cited

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  • 201360 Years of portfolio optimization: Practical challenges and current trends641 cited