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Robust Performances Hypothesis Testing With the Variance
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References

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  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
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  • 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection152 cited
  • 2012On portfolio optimization: Imposing the right constraints131 cited
  • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly105 cited
  • 2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks

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89 cited
  • 2020High dimensional minimum variance portfolio estimation under statistical factor models72 cited
  • 2019Sparse portfolio selection via the sorted ℓ1-Norm63 cited
  • 2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach62 cited
  • 2015A Robust Statistics Approach to Minimum Variance Portfolio Optimization54 cited
  • 2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts52 cited
  • 2014Doubly Regularized Portfolio with Risk Minimization47 cited
  • 2014Testing Rebalancing Strategies for Stock-Bond Portfolios Across Different Asset Allocations42 cited
  • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly40 cited
  • 2022Large dynamic covariance matrices: Enhancements based on intraday data39 cited
  • 2017Asset allocation with correlation: A composite trade-off38 cited
  • 2019Estimation and model-based combination of causality networks among large US banks and insurance companies33 cited
  • 2019How Rational and Competitive Is the Market for Mutual Funds?30 cited