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Characteristics-based Portfolio Choice with Leverage Constraints
16 references·0 citing·41 second hopsampled
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence1,336 cited
  • 2008Equity Portfolio Diversification1,243 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio959 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 2015A Taxonomy of Anomalies and Their Trading Costs651 cited
  • 2009Dynamic Trading with Predictable Returns and Transaction Costs565 cited
  • 2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

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471 cited
  • 2005Fundamental Indexation378 cited
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