SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Sparse portfolio selection via the sorted ℓ1-Norm
16 references·6 citing·27 second hop
Sparse portfolio selection via the sorted ℓ1-Norm (2019)Sparse portfolio selection via the sorted…A Sparsity-Based Model of Bounded Rationality * (2014)A Sparsity-Based Model of Bou…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…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…High dimensional covariance matrix estimation using a factor model (2008)High dimensional covariance m…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…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…Behavioral Portfolio Theory (2000)Behavioral Portfolio TheoryOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…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 (1980)On estimating the expected re…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Decomposition based neural dynamics for portfolio management with tradeoffs of risks and profits under transaction costs (2024)Decomposition based neural dy…Artificial Neural Dynamics for Portfolio Allocation: An Optimization Perspective (2024)Artificial Neural Dynamics fo…Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning (2023)Regularization methods for sp…Neural Networks for Portfolio Analysis in High-Frequency Trading (2023)Neural Networks for Portfolio…A Novel Recurrent Neural Network Based Online Portfolio Analysis for High Frequency Trading (2022)A Novel Recurrent Neural Netw…Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market (2021)Robust enhanced indexation wi…The Cross-Section of Expected Stock Returns (1992)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)A Simplified Model for Portfolio Analysis (1963)Chapter 4 Forecast Combinations (2006)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)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)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1952PORTFOLIO SELECTION*13,480 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
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2000Behavioral Portfolio Theory1,040 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2010The Properties of Equally Weighted Risk Contribution Portfolios728 cited
  • 2014A Sparsity-Based Model of Bounded Rationality *

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

705 cited
  • 2008High dimensional covariance matrix estimation using a factor model688 cited
  • Cited by

    • 2023Neural Networks for Portfolio Analysis in High-Frequency Trading49 cited
    • 2021Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market45 cited
    • 2024Artificial Neural Dynamics for Portfolio Allocation: An Optimization Perspective39 cited
    • 2023Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning36 cited
    • 2022A Novel Recurrent Neural Network Based Online Portfolio Analysis for High Frequency Trading33 cited
    • 2024Decomposition based neural dynamics for portfolio management with tradeoffs of risks and profits under transaction costs31 cited