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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

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Cited by:

  1. Katja Drechsel & Laurent Maurin, 2011. "Flow of conjunctural information and forecast of euro area economic activity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 336-354, April.
  2. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  3. Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 343-383, July.
  4. Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich, revised Jan 2020.
  5. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
  6. Thomas Trier Bjerring & Omri Ross & Alex Weissensteiner, 2017. "Feature selection for portfolio optimization," Annals of Operations Research, Springer, vol. 256(1), pages 21-40, September.
  7. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
  8. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
  9. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
  10. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
  11. Hafner, Christian & Herwartz, Helmut, 2020. "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  12. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  13. Vasyl Golosnoy & Nestor Parolya, 2017. "‘To have what they are having’: portfolio choice for mimicking mean–variance savers," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1645-1653, November.
  14. Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
  15. João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
  16. Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
  17. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
  18. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  19. Makarov, Dmitry & Schornick, Astrid V., 2010. "A note on wealth effect under CARA utility," Finance Research Letters, Elsevier, vol. 7(3), pages 170-177, September.
  20. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
  21. Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
  22. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
  23. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
  24. Ding, Wenliang & Shu, Lianjie & Gu, Xinhua, 2023. "A robust Glasso approach to portfolio selection in high dimensions," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 22-37.
  25. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  26. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
  27. Giannone, Domenico & De Mol, Christine & Daubechies, Ingrid & Brodie, Joshua, 2007. "Sparse and Stable Markowitz Portfolios," CEPR Discussion Papers 6474, C.E.P.R. Discussion Papers.
  28. Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst, 2018. "Realizing Correlations Across Asset Classes," CREATES Research Papers 2018-37, Department of Economics and Business Economics, Aarhus University.
  29. Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
  30. 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.
  31. Pim van Vliet & David Blitz, 2011. "Dynamic strategic asset allocation: Risk and return across the business cycle," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 360-375, November.
  32. Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
  33. Elliot Beck & Damian Kozbur & Michael Wolf, 2023. "Hedging Forecast Combinations With an Application to the Random Forest," Papers 2308.15384, arXiv.org, revised Aug 2023.
  34. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  35. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.
  36. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
  37. Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
  38. Ehling, Paul & Ramos, Sofia B., 2006. "Geographic versus industry diversification: Constraints matter," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 396-416, October.
  39. Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," Papers 2112.06544, arXiv.org.
  40. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017. "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers 2017-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
  41. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
  42. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
  43. Jianqing Fan & Yingying Li & Ke Yu, 2012. "Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 412-428, March.
  44. Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
  45. 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).
  46. Chavez-Bedoya, Luis & Rosales, Francisco, 2021. "Reduction of estimation risk in optimal portfolio choice using redundant constraints," International Review of Financial Analysis, Elsevier, vol. 78(C).
  47. Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
  48. Taboga, Marco, 2005. "Portfolio selection with two-stage preferences," Finance Research Letters, Elsevier, vol. 2(3), pages 152-164, September.
  49. Liusha Yang & Romain Couillet & Matthew R. McKay, 2015. "A Robust Statistics Approach to Minimum Variance Portfolio Optimization," Papers 1503.08013, arXiv.org.
  50. Lara Dalmeyer & Tim Gebbie, 2021. "Geometric insights into robust portfolio construction," Papers 2107.06194, arXiv.org, revised Jun 2022.
  51. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe," Review of Derivatives Research, Springer, vol. 22(2), pages 203-259, July.
  52. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(1), pages 97-116.
  53. Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013. "Seleção de carteiras utilizando o modelo Fama-French-Carhart," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
  54. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
  55. Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
  56. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
  57. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  58. Vincent Tan & Stefan Zohren, 2020. "Estimation of Large Financial Covariances: A Cross-Validation Approach," Papers 2012.05757, arXiv.org, revised Jan 2023.
  59. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
  60. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
  61. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
  62. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
  63. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2017. "Portfolio selection with mental accounts and estimation risk," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 161-186.
  64. Olivier Ledoit & Michael Wolf, 2003. "Honey, I Shrunk the Sample Covariance Matrix," Working Papers 92, Barcelona School of Economics.
  65. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
  66. Seyoung Park & Eun Ryung Lee & Sungchul Lee & Geonwoo Kim, 2019. "Dantzig Type Optimization Method with Applications to Portfolio Selection," Sustainability, MDPI, vol. 11(11), pages 1-32, June.
  67. Cai, T. Tony & Hu, Jianchang & Li, Yingying & Zheng, Xinghua, 2020. "High-dimensional minimum variance portfolio estimation based on high-frequency data," Journal of Econometrics, Elsevier, vol. 214(2), pages 482-494.
  68. Xia, Siwei & Yang, Yuehan & Yang, Hu, 2023. "High-dimensional sparse portfolio selection with nonnegative constraint," Applied Mathematics and Computation, Elsevier, vol. 443(C).
  69. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
  70. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  71. Korn, Olaf & Koziol, Christian, 2006. "Bond portfolio optimization: A risk-return approach," CFR Working Papers 06-03, University of Cologne, Centre for Financial Research (CFR).
  72. Hsu, Po-Hsuan & Han, Qiheng & Wu, Wensheng & Cao, Zhiguang, 2018. "Asset allocation strategies, data snooping, and the 1 / N rule," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 257-269.
  73. Bouaddi, Mohammed & Moutanabbir, Khouzeima, 2023. "Rational distorted beliefs investor; which risk matters?," Finance Research Letters, Elsevier, vol. 51(C).
  74. McDowell, Shaun, 2018. "An empirical evaluation of estimation error reduction strategies applied to international diversification," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 1-13.
  75. Sessi Tokpavi, 2011. "Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach," Working Papers hal-04141019, HAL.
  76. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
  77. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
  78. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Cross-validated covariance estimators for high-dimensional minimum-variance portfolios," Papers 1910.13960, arXiv.org, revised Oct 2020.
  79. Llorens-Terrazas, Jordi & Brownlees, Christian, 2023. "Projected Dynamic Conditional Correlations," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1761-1776.
  80. 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).
  81. José Rangel & Robert Engle, 2012. "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124.
  82. Besbes Yasmine & Maher Kooli, 2022. "Smart beta ESG disclosure," Journal of Asset Management, Palgrave Macmillan, vol. 23(7), pages 567-580, December.
  83. Sung Hoon Choi & Donggyu Kim, 2023. "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Papers 2305.01464, arXiv.org, revised Feb 2024.
  84. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2022. "The strategic allocation to style-integrated portfolios of commodity futures," Journal of Commodity Markets, Elsevier, vol. 28(C).
  85. 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.
  86. Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2020. "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 280-306.
  87. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015. "A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy," Cahiers de recherche 1519, CIRPEE.
  88. Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016. "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
  89. Hongxin Zhao & Lingchen Kong & Hou-Duo Qi, 2021. "Optimal portfolio selections via $$\ell _{1, 2}$$ ℓ 1 , 2 -norm regularization," Computational Optimization and Applications, Springer, vol. 80(3), pages 853-881, December.
  90. Meyer, Thomas O. & Rose, Lawrence C., 2003. "The persistence of international diversification benefits before and during the Asian crisis," Global Finance Journal, Elsevier, vol. 14(2), pages 217-242, July.
  91. Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based portfolio choice with leverage constraints," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
  92. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
  93. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
  94. Plachel, Lukas, 2019. "A unified model for regularized and robust portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
  95. Kim, Daehwan, 2015. "Beta vs. characteristics: Comparison of risk model performances," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 156-171.
  96. Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.
  97. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2022. "Sparsity and stability for minimum-variance portfolios," Risk Management, Palgrave Macmillan, vol. 24(3), pages 214-235, September.
  98. Chavez-Bedoya, Luis & Rosales, Francisco, 2022. "Orthogonal portfolios to assess estimation risk," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 906-937.
  99. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
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  103. Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021. "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1010, Ghent University, Faculty of Economics and Business Administration.
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  108. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
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  110. Hongxin Zhao & Yilun Jiang & Yizhou Yang, 2023. "Robust and Sparse Portfolio: Optimization Models and Algorithms," Mathematics, MDPI, vol. 11(24), pages 1-20, December.
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  115. Frahm, Gabriel & Memmel, Christoph, 2008. "Dominating estimators for the global minimum variance portfolio," Discussion Papers in Econometrics and Statistics 2/08, University of Cologne, Institute of Econometrics and Statistics.
  116. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
  117. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
  118. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10, University of Cologne, Centre for Financial Research (CFR).
  119. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
  120. Stefania Corsaro & Valentina Simone, 2019. "Adaptive $$l_1$$ l 1 -regularization for short-selling control in portfolio selection," Computational Optimization and Applications, Springer, vol. 72(2), pages 457-478, March.
  121. Federico Esposito, 2019. "Demand Risk and Diversification through Trade," Discussion Papers Series, Department of Economics, Tufts University 0833, Department of Economics, Tufts University.
  122. 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.
  123. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem," Post-Print hal-04514343, HAL.
  124. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
  125. Dai, Zhifeng & Wen, Fenghua, 2018. "Some improved sparse and stable portfolio optimization problems," Finance Research Letters, Elsevier, vol. 27(C), pages 46-52.
  126. Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
  127. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
  128. Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012. "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2522-2531.
  129. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
  130. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2009. "Jackknife Estimator for Tracking Error Variance of Optimal Portfolios," Management Science, INFORMS, vol. 55(6), pages 990-1002, June.
  131. Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
  132. Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
  133. Jiahan Li, 2015. "Sparse and Stable Portfolio Selection With Parameter Uncertainty," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 381-392, July.
  134. Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
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