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Portfolio selection with parsimonious higher comoments estimation
16 references·0 citing·34 second hop
Portfolio selection with parsimonious higher comoments estimation (2021)Portfolio selection with parsimonious hig…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Portfolio selection with higher moments (2010)Portfolio selection with high…Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Parametric Portfolio Policies…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Does the choice of performance measure influence the evaluation of hedge funds? (2007)Does the choice of performanc…Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Downside Risk (2006)Downside RiskRisk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…A Universal Performance Measure (2002)A Universal Performance Measu…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The Econometrics of Financial Markets (1997)The Econometrics of Financial…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…On estimating the expected return on the market (1980)On estimating the expected re…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Common risk factors in the returns on stocks and bonds (1993)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)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)Prospect Theory: An Analysis of Decision under Risk (1979)Carry Trades and Global Foreign Exchange Volatility (2012)Tail Risk and Asset Prices (2014)Replicating Anomalies (2018)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2006Downside Risk1,039 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 2002A Universal Performance Measure590 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns464 cited
  • 2007Does the choice of performance measure influence the evaluation of hedge funds?424 cited

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2006
Optimal Portfolio Allocation under Higher Moments
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