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Choose Your Betas: Benchmarking AlternativeEquity Index Strategies
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Choose Your Betas: Benchmarking AlternativeEquity Index Strategies (2012)Choose Your Betas: Benchmarking Alternati…Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description (2012)Demystifying Equity Risk–Base…Risk-Based Asset Allocation: A New Answer to anOld Question? (2011)Risk-Based Asset Allocation: …A Survey of Alternative Equity Index Strategies (2011)A Survey of Alternative Equit…A note on the returns from minimum variance investing (2011)A note on the returns from mi…The Properties of Equally Weighted Risk Contribution Portfolios (2010)The Properties of Equally Wei…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Fundamentally Flawed Indexing (2007)Fundamentally Flawed IndexingMinimum-Variance Portfolios in the U.S. Equity Market (2006)Minimum-Variance Portfolios i…More on Monetary Policy and Stock Price Returns (2005)More on Monetary Policy and S…Fundamental Indexation (2005)Fundamental IndexationCap-Weighted Portfolios are Sub-Optimal Portfolios (2005)Cap-Weighted Portfolios are S…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas (1987)Tests of Asset Pricing with T…Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risks (2014)Towards Smart Equity Factor I…Smart Beta 2.0 (2013)Smart Beta 2.0Time‐Varying World Market Integration (1995)Foreign Speculators and Emerging Equity Markets (2000)Extreme Correlation of International Equity Markets (2001)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)Asset Pricing with Conditioning Information: A New Test (2003)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Volatility Effect (2007)Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2010)Minimum-Variance Portfolio Composition (2011)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)PORTFOLIO SELECTION* (1952)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Preference as Behavior Towards Risk (1958)An Intertemporal Capital Asset Pricing Model (1973)On the Impossibility of Informationally Efficient Markets (1980)Asset Allocation with Conditional Value-at-Risk Budgets (2012)The Death of Diversification Has Been GreatlyExaggerated (2012)Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective (2013)Portfolio Selection (1952)Industry costs of equity (1997)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)60 Years of portfolio optimization: Practical challenges and current trends (2013)Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity (2022)Multifactor Explanations of Asset Pricing Anomalies (1996)How should individual investors diversify? An empirical evaluation of alternative asset allocation policies (2013)Properties of the most diversified portfolio (2013)A bat-neural network multi-agent system (BNNMAS) for stock price prediction: Case study of DAX stock price (2015)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 2010The Properties of Equally Weighted Risk Contribution Portfolios728 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model569 cited
  • 2006Minimum-Variance Portfolios in the U.S. Equity Market387 cited
  • 2005Fundamental Indexation378 cited
  • 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas188 cited
  • 2011Risk-Based Asset Allocation: A New Answer to anOld Question?154 cited
  • 2005Cap-Weighted Portfolios are Sub-Optimal Portfolios153 cited
  • 2005More on Monetary Policy and Stock Price Returns135 cited
  • 2011A Survey of Alternative Equity Index Strategies131 cited
  • 2011A note on the returns from minimum variance investing120 cited
  • 2012Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description116 cited

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  • 2007Fundamentally Flawed Indexing103 cited
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    • 2013Smart Beta 2.033 cited
    • 2014Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risks30 cited