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Asset Pricing Models: Implications for Expected Returns and Portfolio Selection


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Cited by:

  1. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
  2. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
  3. 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.
  4. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.
  5. Andrei, Daniel & Cujean, Julien & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
  6. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," FRB Atlanta Working Paper 2003-6, Federal Reserve Bank of Atlanta.
  7. Zaremba, Adam & Czapkiewicz, Anna & Będowska-Sójka, Barbara, 2018. "Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight," Finance Research Letters, Elsevier, vol. 24(C), pages 163-167.
  8. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June.
  9. 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.
  10. Liusha Yang & Romain Couillet & Matthew R. McKay, 2015. "A Robust Statistics Approach to Minimum Variance Portfolio Optimization," Papers 1503.08013,
  11. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
  12. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
  13. 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.
  14. Johannes Bock, 2018. "An updated review of (sub-)optimal diversification models," Papers 1811.08255,
  15. 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.
  16. MacLean, Leonard C. & Foster, Michael E. & Ziemba, William T., 2007. "Covariance complexity and rates of return on assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3503-3523, November.
  17. Zhongzhi Lawrence He, 2018. "Generalized Information Ratio," Papers 1803.01381,, revised Apr 2018.
  18. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
  19. Moorman, Theodore, 2014. "An empirical investigation of methods to reduce transaction costs," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 230-246.
  20. Asgharian, Hossein & Hansson, Bjorn, 2006. "Home bias among European investors from a Bayesian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 397-410, December.
  21. Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
  22. Bodnar Taras & Schmid Wolfgang, 2009. "Estimation of optimal portfolio compositions for Gaussian returns," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 179-201, April.
  23. Silli, Bernhard & Cohen, Randolph B & Polk, Christopher, 2008. "Best ideas," LSE Research Online Documents on Economics 24471, London School of Economics and Political Science, LSE Library.
  24. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics, Finance and Accounting Department Working Paper Series n294-19.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  25. 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".
  26. Robert F. Stambaugh & Yu Yuan, 2017. "Mispricing Factors," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1270-1315.
  27. Wolfgang Schmid & Taras Zabolotskyy, 2008. "On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(1), pages 29-34, February.
  28. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
  29. 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.
  30. Tu, Jun & Zhou, Guofu, 2011. "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, vol. 99(1), pages 204-215, January.
  31. Maller, Ross & Roberts, Steven & Tourky, Rabee, 2016. "The large-sample distribution of the maximum Sharpe ratio with and without short sales," Journal of Econometrics, Elsevier, vol. 194(1), pages 138-152.
  32. Begoña Font, 2016. "Bootstrap estimation of the efficient frontier," Computational Management Science, Springer, vol. 13(4), pages 541-570, October.
  33. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
  34. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400,
  35. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
  36. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  37. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 959-986, August.
  38. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  39. Asgharian, Hossein & Hansson, Bjorn, 2005. "Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 556-575, September.
  40. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
  41. Victor DeMiguel & Francisco J. Nogales, 2009. "Portfolio Selection with Robust Estimation," Operations Research, INFORMS, vol. 57(3), pages 560-577, June.
  42. Giovanni Bonaccolto & Sandra Paterlini, 2020. "Developing new portfolio strategies by aggregation," Annals of Operations Research, Springer, vol. 292(2), pages 933-971, September.
  43. Pastor, Lubos & Stambaugh, Robert F., 2000. "Comparing asset pricing models: an investment perspective," Journal of Financial Economics, Elsevier, vol. 56(3), pages 335-381, June.
  44. Nogales, Francisco J. & Miguel, Victor de & Martín Utrera, Alberto, 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.
  45. 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.
  46. David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2018. "Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty," Papers 1803.03573,
  47. Lars Heinrich & Martin Zurek, 2019. "Alpha forecasting in factor investing: discriminating between the informational content of firm characteristics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 243-275, September.
  48. Sangwon Suh, 2016. "A Combination Rule for Portfolio Selection with Transaction Costs," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 393-420, September.
  49. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
  50. Du, Jiangze & Wang, Jying-Nan & Hsu, Yuan-Teng & Lai, Kin Keung, 2018. "The importance of hedging currency risk: Evidence from CNY and CNH," Economic Modelling, Elsevier, vol. 75(C), pages 81-92.
  51. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81.
  52. Goldstein, Daniel G. & Gigerenzer, Gerd, 2009. "Fast and frugal forecasting," International Journal of Forecasting, Elsevier, vol. 25(4), pages 760-772, October.
  53. Irina Murtazashvili & Nadia Vozlyublennaia, 2013. "Diversification Strategies: Do Limited Data Constrain Investors?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 215-232, June.
  54. 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.
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