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Statistical Industry Classification
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Statistical Industry Classification (2016)Statistical Industry ClassificationStatistical risk models (2017)Statistical risk modelsActive Portfolio Management (2017)Active Portfolio ManagementMultifactor risk models and heterotic CAPM (2016)Multifactor risk models and h…Heterotic Risk Models (2015)Heterotic Risk ModelsMean-reversion and optimization (2014)Mean-reversion and optimizati…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Active Portfolio Management. (1996)Active Portfolio Management.The Sharpe Ratio (1994)The Sharpe RatioA Test for the Number of Factors in an Approximate Factor Model (1993)A Test for the Number of Fact…The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)How to Use Security Analysis to Improve Portfolio Selection (1973)Investment Analysis and Portfolio Management. (1979)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Does it pay to be different? An analysis of the relationship between corporate social and financial performance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Custom v. Standardized Risk Models (2015)Economic Forces and the Stock Market (1986)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Honey, I Shrunk the Sample Covariance Matrix (2004)Institutional Investors and Stock Market Volatility (2006)Optimal trading strategy and supply/demand dynamics (2012)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)No-dynamic-arbitrage and market impact (2010)
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1994The Sharpe Ratio2,645 cited
  • 1993A Test for the Number of Factors in an Approximate Factor Model475 cited
  • 2017Active Portfolio Management463 cited
  • 1996Active Portfolio Management.238 cited
  • 2014Mean-reversion and optimization35 cited
  • 2016Multifactor risk models and heterotic CAPM28 cited
  • 2015Heterotic Risk Models27 cited
  • 2017Statistical risk models22 cited

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