The Reliability of Estimation Procedures in Portfolio Analysis
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- Larry R. Gorman & Bjorn N. Jorgensen, 2002. "Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias," Multinational Finance Journal, Multinational Finance Journal, vol. 6(3-4), pages 131-166, September.
- B. Fastrich & S. Paterlini & P. Winker, 2015. "Constructing optimal sparse portfolios using regularization methods," Computational Management Science, Springer, vol. 12(3), pages 417-434, July.
- Qian, Hang, 2009. "Bayesian Portfolio Selection with Gaussian Mixture Returns," MPRA Paper 32688, University Library of Munich, Germany.
- Leonidas Sandoval Junior & Adriana Bruscato & Maria Kelly Venezuela, 2012. "Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory," Papers 1201.0625, arXiv.org, revised Mar 2013.
- Kempf, Alexander & Memmel, Christoph, 2005. "On the estimation of the global minimum variance portfolio," CFR Working Papers 05-02, University of Cologne, Centre for Financial Research (CFR).
- Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
- Yuntaek Pae & Navid Sabbaghi, 2019. "Strategies for choosing an uncertainty budget in log-robust portfolio management," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-24, June.
- Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
- MacKinlay, A Craig & Pastor, Lubos, 2000.
"Asset Pricing Models: Implications for Expected Returns and Portfolio Selection,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 883-916.
- A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 510, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- A. Craig MacKinlay & Lubos Pástor, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 19-98, Wharton School Rodney L. White Center for Financial Research.
- A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 362, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- A. Craig MacKinlay & Lubos Pastor, "undated". "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers 13-99, Wharton School Rodney L. White Center for Financial Research.
- A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc.
- Greyserman, Alex & Jones, Douglas H. & Strawderman, William E., 2006. "Portfolio selection using hierarchical Bayesian analysis and MCMC methods," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 669-678, February.
- Raymond Kan & Daniel R. Smith, 2008. "The Distribution of the Sample Minimum-Variance Frontier," Management Science, INFORMS, vol. 54(7), pages 1364-1380, July.
- Sandoval, Leonidas Junior & Bruscato, Adriana & Venezuela, Maria Kelly, 2012. "Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory," Insper Working Papers wpe_270, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
- Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
- Fu, Yufen & Blazenko, George W., 2017. "Normative portfolio theory," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 240-251.
- Palczewski, Andrzej & Palczewski, Jan, 2014. "Theoretical and empirical estimates of mean–variance portfolio sensitivity," European Journal of Operational Research, Elsevier, vol. 234(2), pages 402-410.
- Sangwon Suh, 2018. "Portfolio Selection using New Factors based on Firm Characteristics," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(1), pages 77-99, March.
- James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
- Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007.
"Noise sensitivity of portfolio selection under various risk measures,"
Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
- Imre Kondor & Szilard Pafka & Gabor Nagy, 2006. "Noise sensitivity of portfolio selection under various risk measures," Papers physics/0611027, arXiv.org.
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