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Bayesian and CAPM estimators of the means: Implications for portfolio selection
9 references·16 citing·41 second hop
Bayesian and CAPM estimators of the means: Implications for portfolio selection (1991)Bayesian and CAPM estimators of the means…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…On estimating the expected return on the market (1980)On estimating the expected re…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…The effect of estimation risk on optimal portfolio choice (1976)The effect of estimation risk…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Application of Robust Statistics to Asset Allocation Models (2022)Application of Robust Statist…Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case (2021)Optimal Portfolio Choice with…Socially responsible investment portfolios: Does the optimization process matter? (2017)Socially responsible investme…Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? (2014)Predicting Exchange Rates Out…A Network Approach to Portfolio Selection (2014)A Network Approach to Portfol…Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix (2012)Parameter uncertainty in port…It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification (2012)It’s All in the Timing: Simpl…In Defense of Optimization: The Fallacy of 1/ N (2010)In Defense of Optimization: T…Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…Performance of Portfolios Optimized with Estimation Error (2007)Performance of Portfolios Opt…Estimating the Global Minimum Variance Portfolio (2006)Estimating the Global Minimum…Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005)Portfolio Selection with Para…A Shrinkage Approach to Model Uncertainty and Asset Allocation (2005)A Shrinkage Approach to Model…Asset Pricing Models: Implications for Expected Returns and Portfolio Selection (2000)Asset Pricing Models: Implica…Asset Pricing Models: Implications for Expected Returns and Portfolio Selection (1998)Asset Pricing Models: Implica…Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence (1994)Estimation Methods in Portfol…The Theory of Games and Economic Behavior (1945)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Portfolio Selection and Asset Pricing Models (2000)An Empirical Analysis of Analysts' Target Prices: Short‐term Informativeness and Long‐term Dynamics (2003)Portfolio selection with higher moments (2010)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments. (1962)An equilibrium model of the international capital market (1974)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Capital Market Equilibrium with Restricted Borrowing (1972)Multifactor models do not explain deviations from the CAPM (1995)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)An Analytic Derivation of the Efficient Portfolio Frontier (1972)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)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)Industry costs of equity (1997)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies (2015)The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks (2018)On the performance of volatility-managed portfolios (2020)Why Not Diversify Internationally Rather Than Domestically? (1974)Does industrial structure explain the benefits of international diversification? (1994)International comovement of stock market returns: A wavelet analysis (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 1980Estimation for Markowitz Efficient Portfolios554 cited
  • 1976The effect of estimation risk on optimal portfolio choice532 cited

Cited by

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  • 2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach264 cited
  • 2009Robust portfolios: contributions from operations research and finance246 cited
  • 2000Asset Pricing Models: Implications for Expected Returns and Portfolio Selection231 cited
  • 2010In Defense of Optimization: The Fallacy of 1/ N171 cited
  • 2014A Network Approach to Portfolio Selection

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158 cited
  • 2005A Shrinkage Approach to Model Uncertainty and Asset Allocation121 cited
  • 2006Estimating the Global Minimum Variance Portfolio119 cited
  • 2021Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case115 cited
  • 2017Socially responsible investment portfolios: Does the optimization process matter?99 cited
  • 2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix95 cited
  • 2014Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?94 cited
  • 1998Asset Pricing Models: Implications for Expected Returns and Portfolio Selection83 cited
  • 1994Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence76 cited
  • 2022Application of Robust Statistics to Asset Allocation Models75 cited
  • 2007Performance of Portfolios Optimized with Estimation Error73 cited