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Quantitative equity investing : techniques and strategies
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Quantitative equity investing : techniques and strategies (2010)Quantitative equity investing : technique…Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance (2019)Optimal Mean-Reverting Portfo…Mean-Reverting Portfolio With Budget Constraint (2018)Mean-Reverting Portfolio With…On the Bayesian interpretation of Black–Litterman (2016)On the Bayesian interpretatio…SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design (2015)SCRIP: Successive Convex Opti…PORTFOLIO SELECTION* (1952)Portfolio Selection: Efficient Diversification of Investments. (1962)Robust Optimization (2009)Solving High-Order Portfolios via Successive Convex Approximation Algorithms (2021)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Bayesian portfolio selection using VaR and CVaR (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)
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  • 2016On the Bayesian interpretation of Black–Litterman41 cited
  • 2019Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance41 cited
  • 2018Mean-Reverting Portfolio With Budget Constraint39 cited
  • 2015SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design38 cited

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