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Portfolio Selection With Robust Estimation · Study

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ArticlePortfolio Selection With Robust Estimation

Victor DeMiguel2007

OA

Articlegreen2007

Portfolio Selection With Robust Estimation

Victor DeMiguel · Francisco J. Nogales

326 citations·0/0 files stored·Operations Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 1996Another Puzzle: The Growth in Actively Managed Mutual Funds 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses 1992Global Portfolio Optimization 1995Returns from Investing in Equity Mutual Funds 1971 to 1991

Cited by

2009Robust portfolios: contributions from operations research and finance 2013Robust multiobjective optimization & applications in portfolio optimization 2015A distributionally robust perspective on uncertainty quantification and chance constrained programming 2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance 2013Optimal Cardinality Constrained Portfolio Selection 2011

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2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approachpreprint · 13 shared references 2012On portfolio optimization: Imposing the right constraintsarticle · 11 shared references 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selectionarticle · 10 shared references 2015Measures of equity home bias puzzlearticle · 10 shared references 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literaturearticle · 9 shared references 2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrixarticle · 9 shared references

Details

Year2007

Typearticle

Published2007-01-01

VenueOperations Research

ISSN-L0030-364X

Languageen

Citations326

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1287/opre.1080.0566

openalex_workW3123979261

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Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection

2016Robust Median Reversion Strategy for Online Portfolio Selection

2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature