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

by Ravi Jagannathan & Tongshu Ma

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  1. Xiao, Han & Wu, Wei Biao, 2013. "Asymptotic theory for maximum deviations of sample covariance matrix estimates," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2899-2920.
  2. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-134/III, Tinbergen Institute.
  3. 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.
  4. Soltani, A.R. & Homei, H., 2009. "Weighted averages with random proportions that are jointly uniformly distributed over the unit simplex," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1215-1218, May.
  5. Gotoh, Jun-ya & Takeda, Akiko, 2012. "Minimizing loss probability bounds for portfolio selection," European Journal of Operational Research, Elsevier, vol. 217(2), pages 371-380.
  6. Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
  7. 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.
  8. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  9. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Centre de Recherche en Economie et Statistique.
  10. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  11. Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, EconWPA.
  12. Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," CFS Working Paper Series 2009/20, Center for Financial Studies (CFS).
  13. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  14. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2009. "Reducing estimation risk in optimal portfolio selection when short sales are allowed," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 281-305.
  15. Romo, Juan & Casado, David & Alonso, Andrés M., 2009. "Classification of functional data: a weighted distance approach," DES - Working Papers. Statistics and Econometrics. WS ws093915, Universidad Carlos III de Madrid. Departamento de Estadística.
  16. Giuseppe Galloppo, 2010. "A Comparison Of Pre And Post Modern Portfolio Theory Using Resampling," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-16.
  17. DeMiguel, Victor & Nogales, Francisco J. & Uppal, Raman, 2013. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," CEPR Discussion Papers 9456, C.E.P.R. Discussion Papers.
  18. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
  19. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print hal-00741629, HAL.
  20. Barras, Laurent, 2007. "International conditional asset allocation under specification uncertainty," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 443-464, September.
  21. 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.
  22. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, Department of Economics and Business Economics, Aarhus University.
  23. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, . "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
  24. John Knight & Stephen Satchell, 2005. "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics.
  25. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
  26. 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.
  27. Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 470-480, July.
  28. 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.
  29. Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Dec 2014.
  30. Björn Fastrich & Peter Winker, 2014. "Combining Forecasts with Missing Data: Making Use of Portfolio Theory," Computational Economics, Society for Computational Economics, vol. 44(2), pages 127-152, August.
  31. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
  32. 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.
  33. Olivier Ledoit & Michael Wolf, 2003. "Honey, I Shrunk the Sample Covariance Matrix," Working Papers 92, Barcelona Graduate School of Economics.
  34. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  35. Brighton, Henry & Gigerenzer, Gerd, 2015. "The bias bias," Journal of Business Research, Elsevier, vol. 68(8), pages 1772-1784.
  36. Dalila Nicet-Chenaf, 2012. "Model of financial development: a cluster analysis," Post-Print hal-00798462, HAL.
  37. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  38. Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007. "Sparse and stable Markowitz portfolios," Papers 0708.0046, arXiv.org, revised May 2008.
  39. Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group.
  40. Chiou, Wan-Jiun Paul, 2008. "Who benefits more from international diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 466-482, December.
  41. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
  42. Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
  43. Manganelli, Simone & Popov, Alexander, 2015. "Financial development, sectoral reallocation, and volatility: International evidence," Journal of International Economics, Elsevier, vol. 96(2), pages 323-337.
  44. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 109-141, March.
  45. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
  46. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
  47. Roncalli, Thierry, 2010. "Understanding the Impact of Weights Constraints in Portfolio Theory," MPRA Paper 36753, University Library of Munich, Germany.
  48. Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006.
  49. Hurley, W.J. & Brimberg, Jack, 2015. "A note on the sensitivity of the strategic asset allocation problem," Operations Research Perspectives, Elsevier, vol. 2(C), pages 133-136.
  50. Zion Guo & Hsin-Yi Huang, 2012. "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 104-116, December.
  51. Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.10, Université de Lausanne, Faculté des HEC, DEEP.
  52. Bengtsson, Christoffer, 2003. "The Impact of Estimation Error on Portfolio Selection for Investors with Constant Relative Risk Aversion," Working Papers 2003:17, Lund University, Department of Economics, revised 29 Apr 2004.
  53. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
  54. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
  55. Loriana Pelizzon & Massimiliano Caporin, 2012. "Market volatility, optimal portfolios and naive asset allocations," Working Papers 2012_08, Department of Economics, University of Venice "Ca' Foscari".
  56. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
  57. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.
  58. Benzoni, Luca & Schenone, Carola, 2010. "Conflict of interest and certification in the U.S. IPO market," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 235-254, April.
  59. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2014. "Estimation of the Global Minimum Variance Portfolio in High Dimensions," Papers 1406.0437, arXiv.org, revised Nov 2015.
  60. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Exploring Diversification Benefits in Asia-Pacific Equity Markets," MPRA Paper 60180, University Library of Munich, Germany.
  61. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
  62. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
  63. Jun-ya Gotoh & Akiko Takeda, 2011. "On the role of norm constraints in portfolio selection," Computational Management Science, Springer, vol. 8(4), pages 323-353, November.
  64. 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.
  65. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
  66. Scherer, Bernd, 2011. "A note on the returns from minimum variance investing," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 652-660, September.
  67. Arco van Oord & Martin Martens & Herman K. van Dijk, 2009. "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers 09-011/4, Tinbergen Institute.
  68. Theodoros Tsagaris & Ajay Jasra & Niall Adams, 2010. "Robust and Adaptive Algorithms for Online Portfolio Selection," Papers 1005.2979, arXiv.org.
  69. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Businesss School.
  70. 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.
  71. Xing, Xin & Hu, Jinjin & Yang, Yaning, 2014. "Robust minimum variance portfolio with L-infinity constraints," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 107-117.
  72. 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).
  73. Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
  74. José Gonzalo Rangel & Robert F. Engle, 2011. "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, May.
  75. Olivier Ledoit & Michael Wolf, 2016. "Numerical implementation of the QuEST function," ECON - Working Papers 215, Department of Economics - University of Zurich.
  76. Forbes, William & Hudson, Robert & Skerratt, Len & Soufian, Mona, 2015. "Which heuristics can aid financial-decision-making?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 199-210.
  77. Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(05), pages 1371-1404, October.
  78. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.
  79. Mendoza, Rodrigo, 2014. "Eficiencia financiera en los portafolios de inversión de las AFP en el Perú: Un enfoque robusto de Multifondos," Working Papers 2014-005, Banco Central de Reserva del Perú.
  80. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
  81. 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.
  82. Bartosz Kaszuba, 2012. "Empirical Comparison of Robust Portfolios’ Investment Effects," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 047-061, June.
  83. Nogales, Francisco J. & Martín Utrera, Alberto & Miguel, Victor de, 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," DES - Working Papers. Statistics and Econometrics. WS ws132119, Universidad Carlos III de Madrid. Departamento de Estadística.
  84. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  85. Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016. "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, vol. 250(1), pages 251-261.
  86. Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.
  87. Gabriel Frahm, 2010. "Linear statistical inference for global and local minimum variance portfolios," Statistical Papers, Springer, vol. 51(4), pages 789-812, December.
  88. Driessen, Joost & Laeven, Luc, 2007. "International portfolio diversification benefits: Cross-country evidence from a local perspective," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1693-1712, June.
  89. Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
  90. 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.
  91. Sun, Xuelian & Liu, Zixian, 2016. "Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 667-679.
  92. Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper Series 47_13, The Rimini Centre for Economic Analysis.
  93. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
  94. Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 341-381, February.
  95. Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye, 2013. "Sparse Portfolio Selection via Quasi-Norm Regularization," Papers 1312.6350, arXiv.org.
  96. Yu-Min Yen, 2010. "A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms," Papers 1005.5082, arXiv.org, revised Sep 2013.
  97. Lan, Wei & Wang, Hansheng & Tsai, Chih-Ling, 2012. "A Bayesian information criterion for portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 88-99, January.
  98. Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
  99. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Businesss School.
  100. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
  101. Bodnar, Taras & Okhrin, Yarema, 2008. "Properties of the singular, inverse and generalized inverse partitioned Wishart distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2389-2405, November.
  102. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  103. Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015. "Robust Inference of Risks of Large Portfolios," Papers 1501.02382, arXiv.org.
  104. 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.
  105. 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.
  106. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  107. Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012. "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1414-1423.
  108. Marcel Boyer & M. Martin Boyer & René Garcia, 2005. "The Value of Real and Financial Risk Management," CIRANO Working Papers 2005s-38, CIRANO.
  109. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
  110. Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  111. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
  112. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  113. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  114. Xin-Bing Kong, 2013. "A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(4), pages 647-669, November.
  115. 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 West - Nanterre la Défense, EconomiX.
  116. Fotis Papailias & Dimitrios Thomakos, 2015. "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer, vol. 29(1), pages 31-59, February.
  117. Golosnoy, Vasyl & Okhrin, Yarema, 2008. "General uncertainty in portfolio selection: A case-based decision approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 718-734, September.
  118. Michael W. Brandt & Pedro Santa-Clara, 2006. "Dynamic Portfolio Selection by Augmentingthe Asset Space," Journal of Finance, American Finance Association, vol. 61(5), pages 2187-2217, October.
  119. 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.
  120. Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
  121. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
  122. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
  123. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08, University of Cologne, Centre for Financial Research (CFR).
  124. Mishra, Anil V., 2015. "Measures of equity home bias puzzle," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 293-312.
  125. Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012. "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-01, University of Bayreuth, Chair of Finance and Banking.
  126. 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.
  127. Kim, Daehwan, 2015. "Beta vs. characteristics: Comparison of risk model performances," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 156-171.
  128. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
  129. Victor DeMiguel & Lorenzo Garlappi & Francisco J. Nogales & Raman Uppal, 2009. "A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms," Management Science, INFORMS, vol. 55(5), pages 798-812, May.
  130. repec:hal:journl:peer-00741629 is not listed on IDEAS
  131. BOYER, Marcel & BOYER, Martin M. & GARCIA, René, 2010. "The Alleviation of Coordination Problems through Financial Risk Management," Cahiers de recherche 06-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  132. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
  133. 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.
  134. Chiou, Wan-Jiun Paul, 2009. "Benefits of international diversification with investment constraints: An over-time perspective," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 93-110, April.
  135. 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.
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