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Portfolio Selection With Robust Estimation
16 references·16 citing·29 second hopsampled
Portfolio Selection With Robust Estimation (2007)Portfolio Selection With Robust EstimationRobust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…The variation of certain speculative prices (1997)The variation of certain spec…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Global Portfolio Optimization (1992)Global Portfolio OptimizationThe Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Foundations for Financial Economics. (1989)Foundations for Financial Eco…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…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Portfolio selection: a fuzzy-ANP approach (2020)Portfolio selection: a fuzzy-…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …Ambiguous Joint Chance Constraints Under Mean and Dispersion Information (2017)Ambiguous Joint Chance Constr…A polynomial goal programming model for portfolio optimization based on entropy and higher moments (2017)A polynomial goal programming…Robust Median Reversion Strategy for Online Portfolio Selection (2016)Robust Median Reversion Strat…A distributionally robust perspective on uncertainty quantification and chance constrained programming (2015)A distributionally robust per…Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014)Stock Return Serial Dependenc…Constructing optimal sparse portfolios using regularization methods (2014)Constructing optimal sparse p…Robust multiobjective optimization & applications in portfolio optimization (2013)Robust multiobjective optimiz…Optimal Cardinality Constrained Portfolio Selection (2013)Optimal Cardinality Constrain…Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011)Size Matters: Optimal Calibra…Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection (2011)Mean-Variance-Skewness-Entrop…Robust portfolio selection for index tracking (2010)Robust portfolio selection fo…Robust portfolio optimization with derivative insurance guarantees (2010)Robust portfolio optimization…Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…Robust Performance Hypothesis Testing with the Sharpe Ratio (2007)Robust Performance Hypothesis…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)PORTFOLIO SELECTION* (1952)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Industry costs of equity (1997)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)An Engine, Not a Camera (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 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
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2003Robust Portfolio Selection Problems897 cited

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  • 1989Foundations for Financial Economics.831 cited
  • Cited by

    • 2009Robust portfolios: contributions from operations research and finance246 cited
    • 2013Robust multiobjective optimization & applications in portfolio optimization180 cited
    • 2015A distributionally robust perspective on uncertainty quantification and chance constrained programming155 cited
    • 2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance154 cited
    • 2013Optimal Cardinality Constrained Portfolio Selection154 cited
    • 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection152 cited
    • 2016Robust Median Reversion Strategy for Online Portfolio Selection138 cited
    • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
    • 2017Ambiguous Joint Chance Constraints Under Mean and Dispersion Information129 cited
    • 2020Portfolio selection: a fuzzy-ANP approach123 cited
    • 2007Robust Performance Hypothesis Testing with the Sharpe Ratio119 cited
    • 2014Constructing optimal sparse portfolios using regularization methods105 cited
    • 2011Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection95 cited
    • 2010Robust portfolio selection for index tracking86 cited
    • 2017A polynomial goal programming model for portfolio optimization based on entropy and higher moments85 cited
    • 2010Robust portfolio optimization with derivative insurance guarantees84 cited