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Sparse Weighted-Norm Minimum Variance Portfolios
16 references·0 citing·49 second hopsampled
Sparse Weighted-Norm Minimum Variance Portfolios (2015)Sparse Weighted-Norm Minimum Variance Por…A Sparsity-Based Model of Bounded Rationality * (2014)A Sparsity-Based Model of Bou…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Margin-based Asset Pricing and Deviations from the Law of One Price (2011)Margin-based Asset Pricing an…Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…Information Immobility and the Home Bias Puzzle (2009)Information Immobility and th…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components? (2008)Forecasting using a large num…Forecasting economic time series using targeted predictors (2008)Forecasting economic time ser…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Portfolio Choice with…Consistent Testing for Stochastic Dominance under General Sampling Schemes (2005)Consistent Testing for Stocha…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…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…Trends and random walks in macroeconmic time series (1982)Trends and random walks in macroeconomic time series (1988)Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Stock Returns (2013)Systemic risk and the macroeconomy: An empirical evaluation (2016)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect theory: An analysis of decision under risk (1988)Optimal Sticky Prices under Rational Inattention (2009)Diagnostic Expectations and Credit Cycles (2017)Do Investors Care about Carbon Risk? (2019)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)Expectations of Returns and Expected Returns (2014)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)The Properties of Equally Weighted Risk Contribution Portfolios (2010)PORTFOLIO SELECTION* (1952)On Persistence in Mutual Fund Performance (1997)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)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)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep learning-based feature engineering for stock price movement prediction (2018)Financial time series forecasting with multi-modality graph neural network (2021)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Implications of rational inattention (2003)Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value (2012)Geographic dispersion and stock returns (2012)Investor Attention and Stock Market Volatility (2014)
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References

  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2011Presidential Address: Discount Rates2,222 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
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2009Information Immobility and the Home Bias Puzzle876 cited
  • 2014A Sparsity-Based Model of Bounded Rationality *705 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
  • 2008Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?521 cited
  • 2005

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Consistent Testing for Stochastic Dominance under General Sampling Schemes
512 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
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