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Statistical Models and Methods for Financial Markets
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Statistical Models and Methods for Financial Markets (2008)Statistical Models and Methods for Financ…When genius failed: the rise and fall of Long-Term Capital Management (2001)When genius failed: the rise …Factor exposures and diversification: Are sustainably screened portfolios any different? 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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)Lack of theory building and testing impedes progress in the factor and network literature (2020)Why Experimental Balance Is Still a Reason to Randomize (2021)On estimating the expected return on the market (1980)Investor Diversification and International Equity Markets (1991)International Asset Allocation With Regime Shifts (2002)Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty (2018)Enhancing stock market anomalies with machine learning (2022)Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning (2022)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Stock Market Forecast Using Multivariate Analysis with Bidirectional and Stacked (LSTM, GRU) (2018)Financial time series forecasting with deep learning : A systematic literature review: 2005–2019 (2020)LSTM based decision support system for swing trading in stock market (2021)The arbitrage theory of capital asset pricing (1976)Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (2013)Risks of large portfolios (2015)Climate Change Investment Risk: Optimal Portfolio Construction Ahead of the Transition to a Lower-Carbon Economy (2018)Liquidity Risk and Expected Stock Returns (2001)Repairing and Enhancing Trust: Approaches to Reducing Organizational Trust Deficits (2010)This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis (2012)Impact of the global financial crisis on the crude oil market (2020)A metaheuristic-based framework for index tracking with practical constraints (2021)Green bonds as a bridge to the UN sustainable development goals on environment: A climate change empirical investigation (2023)
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References

  • 2001When genius failed: the rise and fall of Long-Term Capital Management713 cited

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  • 2013Optimal Placement in a Limit Order Book20 cited
  • 2020Factor exposures and diversification: Are sustainably screened portfolios any different?19 cited