References

• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1997On Persistence in Mutual Fund Performance17,267 cited
• 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
• 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
• 1980On estimating the expected return on the market2,818 cited
• 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
• 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
• 2001The Economic Value of Volatility Timing848 cited
• 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
• 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
• 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
• 2003The economic value of volatility timing using “realized” volatility668 cited
• 2000Portfolio Selection and Asset Pricing Models611 cited
• 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
• 2000Comparing asset pricing models: an investment perspective