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Approaching Mean-Variance Efficiency for Large Portfolios

Citations

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Cited by:

  1. Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
  2. Olivier Ledoit & Michael Wolf, 2022. "Markowitz portfolios under transaction costs," ECON - Working Papers 420, Department of Economics - University of Zurich, revised Sep 2024.
  3. Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
  4. N'Golo Kone, 2021. "Regularized Maximum Diversification Investment Strategy," Working Paper 1450, Economics Department, Queen's University.
  5. Petukhina, Alla & Klochkov, Yegor & Härdle, Wolfgang Karl & Zhivotovskiy, Nikita, 2024. "Robustifying Markowitz," Journal of Econometrics, Elsevier, vol. 239(2).
  6. Hiraki, Kazuhiro & Sun, Chuanping, 2022. "A toolkit for exploiting contemporaneous stock correlations," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 99-124.
  7. Immo Stadtmüller & Benjamin R. Auer & Frank Schuhmacher, 2024. "Core-satellite investing with commodity futures momentum," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 261-287, May.
  8. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
  9. Zhentao Shi & Liangjun Su & Tian Xie, 2020. "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers 2010.09477, arXiv.org, revised Aug 2022.
  10. Kan, Raymond & Wang, Xiaolu & Zheng, Xinghua, 2024. "In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models," Journal of Financial Economics, Elsevier, vol. 155(C).
  11. Fan, Qingliang & Wu, Ruike & Yang, Yanrong & Zhong, Wei, 2024. "Time-varying minimum variance portfolio," Journal of Econometrics, Elsevier, vol. 239(2).
  12. Kuangxi Su & Yinhong Yao & Chengli Zheng & Wenzhao Xie, 2024. "Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 391-421, January.
  13. Wolfgang Karl Hardle & Yegor Klochkov & Alla Petukhina & Nikita Zhivotovskiy, 2022. "Robustifying Markowitz," Papers 2212.13996, arXiv.org.
  14. Kan, Raymond & Lassance, Nathan & Wang, Xiaolu, 2023. "The distribution of sample mean-variance portfolio weights," LIDAM Discussion Papers LFIN 2023006, Université catholique de Louvain, Louvain Finance (LFIN).
  15. Bodnar, Taras & Parolya, Nestor & Thorsén, Erik, 2023. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Finance Research Letters, Elsevier, vol. 54(C).
  16. Taras Bodnar & Nestor Parolya & Erik Thorsen, 2021. "Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio," Papers 2106.02131, arXiv.org, revised Nov 2021.
  17. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
  18. Hafner, Christian & Wang, Linqi, 2020. "Dynamic portfolio selection with sector-specific regularization," LIDAM Discussion Papers ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  19. Ekaterina Seregina, 2020. "A Basket Half Full: Sparse Portfolios," Papers 2011.04278, arXiv.org, revised Apr 2021.
  20. Mehmet Caner & Qingliang Fan & Yingying Li, 2024. "Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints," Papers 2402.17523, arXiv.org.
  21. Kircher, Felix & Rösch, Daniel, 2021. "A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks," Journal of Banking & Finance, Elsevier, vol. 133(C).
  22. Wu, Yunlin & Huang, Lei & Jiang, Hui, 2023. "Optimization of large portfolio allocation for new-energy stocks: Evidence from China," Energy, Elsevier, vol. 285(C).
  23. Caner, Mehmet & Medeiros, Marcelo & Vasconcelos, Gabriel F.R., 2023. "Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 393-417.
  24. Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
  25. N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
  26. Mehmet Caner & Xu Han, 2021. "An upper bound for functions of estimators in high dimensions," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 1-13, January.
  27. Härdle, Wolfgang & Klochkov, Yegor & Petukhina, Alla & Zhivotovskiy, Nikita, 2021. "Robustifying Markowitz," IRTG 1792 Discussion Papers 2021-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  28. N’Golo Koné, 2020. "Regularized Maximum Diversification Investment Strategy," Econometrics, MDPI, vol. 9(1), pages 1-23, December.
  29. Liu, Tingting & Lu, Zhongjin (Gene) & Shu, Tao & Wei, Fengrong, 2022. "Unique bidder-target relatedness and synergies creation in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 73(C).
  30. Yizun Lin & Yangyu Zhang & Zhao-Rong Lai & Cheng Li, 2024. "Autonomous Sparse Mean-CVaR Portfolio Optimization," Papers 2405.08047, arXiv.org.
  31. Lassance, Nathan, 2021. "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN 2021013, Université catholique de Louvain, Louvain Finance (LFIN).
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