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On the Combination of Naive and Mean-Variance Portfolio Strategies
16 references·0 citing·41 second hop
On the Combination of Naive and Mean-Variance Portfolio Strategies (2023)On the Combination of Naive and Mean-Vari…Optimal Shrinkage-Based Portfolio Selection in High Dimensions (2021)Optimal Shrinkage-Based Portf…Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case (2021)Optimal Portfolio Choice with…Estimation of the global minimum variance portfolio in high dimensions (2017)Estimation of the global mini…Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs (2015)Parameter Uncertainty in Mult…Approaching Mean-Variance Efficiency for Large Portfolios (2015)Approaching Mean-Variance Eff…On the Realized Risk of High-Dimensional Markowitz Portfolios (2013)On the Realized Risk of High-…It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification (2012)It’s All in the Timing: Simpl…Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Markowitz meets Talmud: A com…High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation (2010)High-dimensionality effects i…Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2009)Improved Estimates of Higher-…The Distribution of the Sample Minimum-Variance Frontier (2008)The Distribution of the Sampl…Robust 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…Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Portfolio Choice with…Data-generating process uncertainty: What difference does it make in portfolio decisions? (2003)Data-generating process uncer…Portfolio Selection (1952)Portfolio SelectionA Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix (2012)Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks (2014)The Behavior of Stock-Market Prices (1965)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Is Regime Switching in Stock Returns Important in Portfolio Decisions? (2010)On the Importance of Time Variability in Higher Moments for Asset Allocation (2011)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Investing for the Long Run when Returns Are Predictable (2000)Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Portfolio selection with higher moments (2010)PORTFOLIO SELECTION* (1952)On Persistence in Mutual Fund Performance (1997)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Conditional Skewness in Asset Pricing Tests (2000)Improved Portfolio Choice Using Second Order Stochastic Dominance (2010)Asset Allocation with Conditional Value-at-Risk Budgets (2012)Extremal dependence tests for contagion (2015)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep learning-based feature engineering for stock price movement prediction (2018)Financial time series forecasting with multi-modality graph neural network (2021)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies (2015)The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks (2018)On the performance of volatility-managed portfolios (2020)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)High-dimensional minimum variance portfolio estimation based on high-frequency data (2019)High dimensional minimum variance portfolio estimation under statistical factor models (2020)Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances (2021)Do socially (ir)responsible investments pay? New evidence from international ESG data (2015)Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017)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

  • 1952Portfolio Selection4,609 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2010Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies467 cited
  • 2012It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification287 cited
  • 2009Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection196 cited
  • 2015Approaching Mean-Variance Efficiency for Large Portfolios157 cited
  • 2008The Distribution of the Sample Minimum-Variance Frontier136 cited
  • 2003Data-generating process uncertainty: What difference does it make in portfolio decisions?121 cited
  • 2021Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case115 cited
  • 2010High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation114 cited
  • 2017Estimation of the global minimum variance portfolio in high dimensions110 cited
  • 2021Optimal Shrinkage-Based Portfolio Selection in High Dimensions64 cited

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2015
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
54 cited
  • 2013On the Realized Risk of High-Dimensional Markowitz Portfolios51 cited
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