SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
16 references·0 citing·43 second hop
Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional conditional co…Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017)Nonlinear Shrinkage of the Co…Large Dynamic Covariance Matrices (2017)Large Dynamic Covariance Matr…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentIt’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification (2012)It’s All in the Timing: Simpl…Dynamic Equicorrelation (2012)Dynamic EquicorrelationParametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Parametric Portfolio Policies…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Presidential Address: The Cost of Active Investing (2008)Presidential Address: The Cos…Portfolio Selection With Robust Estimation (2007)Portfolio Selection With Robu…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Minimum-Variance Portfolios in the U.S. Equity Market (2006)Minimum-Variance Portfolios i…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…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Stock price synchronicity, crash risk, and institutional investors (2013)The Behavior of Individual Investors (2013)It Depends on Where You Search: Institutional Investor Attention and Underreaction to News (2017)A Simplified Model for Portfolio Analysis (1963)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)Multifactor Explanations of Asset Pricing Anomalies (1996)Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Portfolio Choice Problems (2010)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Sensitivity analysis of Values at Risk (2000)Modeling and forecasting petroleum futures volatility (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2008Presidential Address: The Cost of Active Investing862 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns464 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2006Minimum-Variance Portfolios in the U.S. Equity Market387 cited
  • 2007Portfolio Selection With Robust Estimation326 cited
  • 2017Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks304 cited
  • 2012It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification287 cited

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

  • 2017Large Dynamic Covariance Matrices278 cited
  • Cited by

    No citing works inside the corpus for this window.