Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description

16 references·13 citing·41 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1992The Cross-Section of Expected Stock Returns17,251 cited
1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
2006The Cross‐Section of Volatility and Expected Returns4,576 cited
2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
2002Random matrix approach to cross correlations in financial data936 cited
2010Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly770 cited
2010The Properties of Equally Weighted Risk Contribution Portfolios728 cited
2008Toward Maximum Diversification527 cited
2001Idiosyncratic Risk and Security Returns417 cited
2006Minimum-Variance Portfolios in the U.S. Equity Market387 cited
1991The efficient market inefficiency of capitalization–weighted stock portfolios369 cited
2007The Volatility Effect359 cited
1997Risk and Return Revisited258 cited
1986Risk, Return, and Equilibrium: A Revisit179 cited
2011

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

Minimum-Variance Portfolio Composition

176 cited

Cited by

2013Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective117 cited
2015The Impact of Covariance Misspecification in Risk-Based Portfolios56 cited
2012Diversified Risk Parity Strategies for Equity Portfolio Selection53 cited
2019The Volatility Effect Revisited50 cited
2019Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization50 cited
2022Construction of stock portfolios based on k-means clustering of continuous trend features46 cited
2012Choose Your Betas: Benchmarking AlternativeEquity Index Strategies42 cited
2014Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets39 cited
2017Evaluating the Shariah-compliance of equity portfolios: The weighting method matters38 cited
2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification36 cited
2014How performance of risk-based strategies is modified by socially responsible investment universe?32 cited
2013Understanding industry betas24 cited
2023Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio20 cited