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Active portfolio management : a quantitative approach for providing superior returns and controlling risk
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  • 2012PAMR: Passive aggressive mean reversion strategy for portfolio selection235 cited
  • 2010Intraday Patterns in the Cross‐section of Stock Returns195 cited
  • 2015Moving average reversion strategy for on-line portfolio selection147 cited
  • 2016Robust Median Reversion Strategy for Online Portfolio Selection138 cited
  • 2013Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection133 cited
  • 2020An intelligent financial portfolio trading strategy using deep Q-learning124 cited
  • 2016Fuzzy multi-period portfolio selection with different investment horizons98 cited
  • 2012Managing Risk Exposures Using the Risk Budgeting Approach98 cited
  • 2017Transaction cost optimization for online portfolio selection89 cited
  • 2009Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management80 cited
  • 2012On-Line Portfolio Selection with Moving Average Reversion77 cited
  • 2015Foundations of Factor Investing74 cited
  • 2010Fully Flexible Views: Theory and Practice74 cited
  • 2007Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management72 cited

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2004
Predictability in Hedge Fund Returns
72 cited
  • 2005Beyond Black-Litterman: Views on Non-Normal Markets64 cited