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Risks of large portfolios
16 references·4 citing·33 second hop
Risks of large portfolios (2015)Risks of large portfoliosWeak and strong cross‐section dependence and estimation of large panels (2011)Weak and strong cross‐section…Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…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…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test for the Number of Factors in an Approximate Factor Model (1993)A Test for the Number of Fact…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Funds, Factors, and Diversification in Arbitrage Pricing Models (1983)Funds, Factors, and Diversifi…Power enhancement for testing multi-factor asset pricing models via Fisher’s method (2023)Power enhancement for testing…Inferential theory for generalized dynamic factor models (2023)Inferential theory for genera…Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals (2020)Generalized dynamic factor mo…Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data (2017)Structured Volatility Matrix …Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)New Indexes of Coincident and Leading Economic Indicators (1989)Transition Modeling and Econometric Convergence Tests (2007)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Time Series Regression with a Unit Root (1987)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)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)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 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
  • 2011Weak and strong cross‐section dependence and estimation of large panels691 cited
  • 2008High dimensional covariance matrix estimation using a factor model688 cited
  • 1983Funds, Factors, and Diversification in Arbitrage Pricing Models496 cited

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2009
Sparse and stable Markowitz portfolios
485 cited
  • 1993A Test for the Number of Factors in an Approximate Factor Model475 cited
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    • 2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals39 cited
    • 2017Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data22 cited
    • 2023Power enhancement for testing multi-factor asset pricing models via Fisher’s method21 cited
    • 2023Inferential theory for generalized dynamic factor models10 cited