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Minimum-Variance Portfolio Composition
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Minimum-Variance Portfolio Composition (2011)Minimum-Variance Portfolio CompositionHigh idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…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…The Cross Section of Expected REIT Returns (2003)The Cross Section of Expected…On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)On Portfolio Optimization: Fo…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection (1952)Portfolio SelectionComparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional co…The Volatility Effect Revisited (2019)The Volatility Effect Revisit…Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion (2019)Optimal Portfolios under Time…Returns, volatility and investor sentiment: Evidence from European stock markets (2016)Returns, volatility and inves…A Test of Covariance-Matrix Forecasting Methods (2015)A Test of Covariance-Matrix F…The Smart Beta Indexing Puzzle (2014)The Smart Beta Indexing PuzzlePortfolio Optimization Using Forward-Looking Information (2014)Portfolio Optimization Using …Determinants of Levered Portfolio Performance (2014)Determinants of Levered Portf…A Study of Low-Volatility PortfolioConstruction Methods (2014)A Study of Low-Volatility Por…Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective (2013)Risk Parity, Maximum Diversif…Will My Risk Parity Strategy Outperform? (2012)Will My Risk Parity Strategy …Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly (2012)Stock return volatility, oper…Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk (2012)Performance Analysis and Opti…Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description (2012)Demystifying Equity Risk–Base…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)A Note on Uncertainty and Indifference Curves (1969)Theory of Financial Decision Making. (1988)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected Stock Returns and Variance Risk Premia (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)PORTFOLIO SELECTION* (1952)Chapter 4 Forecast Combinations (2006)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1952Portfolio Selection4,609 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model569 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 2003The Cross Section of Expected REIT Returns518 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 2006Minimum-Variance Portfolios in the U.S. Equity Market387 cited

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  • 2013Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective117 cited
  • 2012Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description116 cited
  • 2012Will My Risk Parity Strategy Outperform?112 cited
  • 2012Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly85 cited
  • 2014Portfolio Optimization Using Forward-Looking Information60 cited
  • 2014A Study of Low-Volatility PortfolioConstruction Methods57 cited
  • 2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk57 cited
  • 2016Returns, volatility and investor sentiment: Evidence from European stock markets52 cited
  • 2019The Volatility Effect Revisited50 cited
  • 2019Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion40 cited
  • 2015A Test of Covariance-Matrix Forecasting Methods28 cited
  • 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited
  • 2014Determinants of Levered Portfolio Performance26 cited
  • 2014The Smart Beta Indexing Puzzle22 cited