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Portfolio Selection via Subset Resampling
16 references·2 citing·35 second hop
Portfolio Selection via Subset Resampling (2017)Portfolio Selection via Subset Resampling60 Years of portfolio optimization: Practical challenges and current trends (2013)60 Years of portfolio optimiz…Portfolio selection with higher moments (2010)Portfolio selection with high…Portfolio Choice Problems (2010)Portfolio Choice ProblemsMarkowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Markowitz meets Talmud: A com…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Portfolio Choice with…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. (2001)Efficient Asset Management: A…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…On estimating the expected return on the market (1980)On estimating the expected re…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Kelly Growth Optimal Portfolio with Ensemble Learning (2019)The Kelly Growth Optimal Port…Combination Forecasting Reversion Strategy for Online Portfolio Selection (2018)Combination Forecasting Rever…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)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Time-Varying World Market Integration (1995)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Modeling and Forecasting Realized Volatility (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)The Behavior of Stock-Market Prices (1965)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Choosing factors (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Portfolio Selection (1952)A Simplified Model for Portfolio Analysis (1963)Chapter 4 Forecast Combinations (2006)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)An Engine, Not a Camera (2006)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,781 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,367 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio959 cited
  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation773 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 201360 Years of portfolio optimization: Practical challenges and current trends641 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2010Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies467 cited
  • 2010Portfolio Choice Problems325 cited

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2001
Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.
293 cited

Cited by

  • 2018Combination Forecasting Reversion Strategy for Online Portfolio Selection28 cited
  • 2019The Kelly Growth Optimal Portfolio with Ensemble Learning25 cited