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Noise sensitivity of portfolio selection under various risk measures
16 references·5 citing·25 second hop
Noise sensitivity of portfolio selection under various risk measures (2007)Noise sensitivity of portfolio selection …Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…On the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Coherent Measures of Risk (1999)Coherent Measures of RiskMean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionThéorie de la spéculation (1900)Théorie de la spéculationMinimum risk versus capital and risk diversification strategies for portfolio construction (2017)Minimum risk versus capital a…Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix (2012)Parameter uncertainty in port…When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators (2011)When do improved covariance m…Regularizing portfolio optimization (2010)Regularizing portfolio optimi…On the Feasibility of Portfolio Optimization under Expected Shortfall (2007)On the Feasibility of Portfol…Risk, Return, and Equilibrium: Empirical Tests (1973)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)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

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  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
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  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
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  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2002

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Random matrix approach to cross correlations in financial data
936 cited

Cited by

  • 2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix95 cited
  • 2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators63 cited
  • 2007On the Feasibility of Portfolio Optimization under Expected Shortfall55 cited
  • 2017Minimum risk versus capital and risk diversification strategies for portfolio construction42 cited
  • 2010Regularizing portfolio optimization38 cited