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Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
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Jackknife Estimator for Tracking Error Variance of Optimal Portfolios (2009)Jackknife Estimator for Tracking Error Va…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…The MIDAS Touch: Mixed Data Sampling Regression Models (2004)The MIDAS Touch: Mixed Data S…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Multivariate tests of financial models (1982)Multivariate tests of financi…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Econometrics of Financial Markets (2012)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)PORTFOLIO SELECTION* (1952)Chapter 4 Forecast Combinations (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)An Engine, Not a Camera (2006)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
  • 1982Multivariate tests of financial models614 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model

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  • 2004The MIDAS Touch: Mixed Data Sampling Regression Models563 cited
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