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A test for the weights of the global minimum variance portfolio in an elliptical model
16 references·3 citing·36 second hop
A test for the weights of the global minimum variance portfolio in an elliptical model (2007)A test for the weights of the global mini…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…The distribution of realized stock return volatility (2001)The distribution of realized …Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…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…Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On estimating the expected return on the market (1980)On estimating the expected re…Foundations of Finance. 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The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 1977Foundations of Finance.1,128 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 2001The Economic Value of Volatility Timing848 cited

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  • 2000Stable Paretian Models in Finance718 cited
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    • 2008Econometrical analysis of the sample efficient frontier87 cited
    • 2009Estimation of optimal portfolio compositions for Gaussian returns54 cited
    • 2021Control charts in financial applications: An overview33 cited