Saving Markowitz: A Risk Parity approach based on the Cauchy Interlacing Theorem
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
- Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Candelon, B. & Hurlin, C. & Tokpavi, S., 2012.
"Sampling error and double shrinkage estimation of minimum variance portfolios,"
Journal of Empirical Finance, Elsevier, vol. 19(4), pages 511-527.
- Candelon, B. & Hurlin, C. & Tokpavi, S., 2011. "Sampling error and double shrinkage estimation of minimum variance portfolios," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012. "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print hal-01385835, HAL.
- Francis Ahking, 2003.
"Efficient unit root tests of real exchange rates in the post-Bretton Woods era,"
Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
- Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics.
- Jacobs, Heiko & Müller, Sebastian & Weber, Martin, 2014. "How should individual investors diversify? An empirical evaluation of alternative asset allocation policies," Journal of Financial Markets, Elsevier, vol. 19(C), pages 62-85.
- Hsiao-Fen Hsiao & Jiang-Chuan Huang & Zheng-Wei Lin, 2020. "Portfolio construction using bootstrapping neural networks: evidence from global stock market," Review of Derivatives Research, Springer, vol. 23(3), pages 227-247, October.
- Renu Kohli, 2004.
"Real Exchange Rate Stationarity in Managed Floats: Evidence from India,"
International Finance
0405011, University Library of Munich, Germany.
- Renu Kohli, 2004. "Real Exhange Rate Stationarity in Managed Floats: Evidence From India," International Finance 0405014, University Library of Munich, Germany.
- Husted, Steven & MacDonald, Ronald, 1998. "Monetary-based models of the exchange rate: a panel perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 1-19, January.
- Paresh Narayan & Arti Prasad, 2007. "Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-6.
- Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2004.
"Purchasing power parity and the euro area,"
Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1081-1107.
- Koedijk, C.G. & Tims, B. & van Dijk, M.A., 2004. "Purchasing Power Parity and the Euro Area," ERIM Report Series Research in Management ERS-2004-025-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Koedijk, Kees & Tims, Ben & Van Dijk, Mathijs, 2004. "Purchasing Power Parity and the Euro Area," CEPR Discussion Papers 4510, C.E.P.R. Discussion Papers.
- Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
- Matthew Higgins & Egon Zakrajšek, 1999.
"Purchasing power parity: three stakes through the heart of the unit root null,"
Staff Reports
80, Federal Reserve Bank of New York.
- Matthew Higgins & Egon Zakrajšek, 2000. "Purchasing power parity: three stakes through the heart of the unit root null," Finance and Economics Discussion Series 2000-22, Board of Governors of the Federal Reserve System (U.S.).
- Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2011. "Why panel tests of purchasing power parity should allow for heterogeneous mean reversion," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 246-267, February.
- Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999.
"Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries,"
Journal of International Economics, Elsevier, vol. 47(2), pages 245-266, April.
- Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996. "Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," CEPR Discussion Papers 1464, C.E.P.R. Discussion Papers.
- Matthew B. Canzoneri & Robert E. Cumby & Behzad Diba, 1996. "Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," NBER Working Papers 5676, National Bureau of Economic Research, Inc.
- Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015.
"Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC,"
Econometric Institute Research Papers
EI2015-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David E. Allen & Michael McAleer & Robert J. Powell & Abbay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 15-122/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2015-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Densing, M., 2012. "Occupation times of the Ornstein–Uhlenbeck process: Functional PCA and evidence from electricity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 5818-5826.
- Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 115-134.
- Magnus Gustavsson & Pär Österholm, 2010. "The presence of unemployment hysteresis in the OECD: what can we learn from out-of-sample forecasts?," Empirical Economics, Springer, vol. 38(3), pages 779-792, June.
- Shawky, Hany A. & Kuenzel, Rolf & Mikhail, Azmi D., 1997. "International portfolio diversification: a synthesis and an update," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 303-327, December.
- Rudi Schafer & Nils Fredrik Nilsson & Thomas Guhr, 2010. "Power mapping with dynamical adjustment for improved portfolio optimization," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 107-119.
- Egelkraut, Thorsten M. & Woodard, Joshua D. & Garcia, Philip & Pennings, Joost M.E., 2005. "Portfolio Diversification with Commodity Futures: Properties of Levered Futures," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19047, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Cushman, David O. & Michael, Nils, 2011. "Nonlinear trends in real exchange rates: A panel unit root test approach," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1619-1637.
More about this item
Keywords
Markowitz; Cauchy Interlacing Theorem; NRP; CIRP;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2020-08-31 (Operations Research)
- NEP-RMG-2020-08-31 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spa:wpaper:2020wpecon13. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Pedro Garcia Duarte (email available below). General contact details of provider: https://edirc.repec.org/data/deuspbr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.