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Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?

Citations

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Cited by:

  1. Wei-Xing Zhou & Guo-Hua Mu & Si-Wei Chen & Didier Sornette, "undated". "Strategies used as Spectroscopy of Financial Markets Reveal New Stylized Facts," Working Papers ETH-RC-11-005, ETH Zurich, Chair of Systems Design.
  2. von der Gracht, Heiko A. & Hommel, Ulrich & Prokesch, Tobias & Wohlenberg, Holger, 2016. "Testing weighting approaches for forecasting in a Group Wisdom Support System environment," Journal of Business Research, Elsevier, vol. 69(10), pages 4081-4094.
  3. Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org.
  4. Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
  5. 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.
  6. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
  7. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013. "Portfolio selection with skewness: A comparison of methods and a generalized one fund result," European Journal of Operational Research, Elsevier, vol. 230(2), pages 412-421.
  8. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
  9. Utz, Sebastian & Wimmer, Maximilian & Steuer, Ralph E., 2015. "Tri-criterion modeling for constructing more-sustainable mutual funds," European Journal of Operational Research, Elsevier, vol. 246(1), pages 331-338.
  10. Hyung, Namwon & de Vries, Casper G., 2012. "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1162-1175.
  11. repec:ebl:ecbull:eb-17-00061 is not listed on IDEAS
  12. Michael Ho & Zheng Sun & Jack Xin, 2015. "Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation," Papers 1502.01658, arXiv.org, revised Oct 2015.
  13. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
  14. 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.
  15. Dichtl, Hubert & Drobetz, Wolfgang, 2015. "Sell in May and Go Away: Still good advice for investors?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 29-43.
  16. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
  17. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
  18. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
  19. Chen, Yu-Wang & Poon, Ser-Huang & Yang, Jian-Bo & Xu, Dong-Ling & Zhang, Dongxu & Acomb, Simon, 2012. "Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints," European Journal of Operational Research, Elsevier, vol. 223(3), pages 775-784.
  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. Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, pages 115-134.
  22. repec:eee:ecosta:v:3:y:2017:i:c:p:91-111 is not listed on IDEAS
  23. 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.
  24. repec:oup:jfinec:v:15:y:2017:i:2:p:247-285. is not listed on IDEAS
  25. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
  26. Candelon, B. & Hurlin, C. & Tokpavi, S., 2012. "Sampling error and double shrinkage estimation of minimum variance portfolios," Journal of Empirical Finance, Elsevier, pages 511-527.
  27. Pietro Dindo & Filippo Massari, 2017. "The Wisdom of the Crowd in Dynamic Economies," Working Papers 2017:17, Department of Economics, University of Venice "Ca' Foscari".
  28. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, pages 114-134.
  29. Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and the Growth Optimal Portfolio," Research Paper Series 386, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Tasca, Paolo & Mavrodiev, Pavlin & Schweitzer, Frank, 2014. "Quantifying the impact of leveraging and diversification on systemic risk," Journal of Financial Stability, Elsevier, pages 43-52.
  31. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, pages 104-117.
  32. Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
  33. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, Department of Economics and Business Economics, Aarhus University.
  34. Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
  35. Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
  36. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, pages 121-137.
  37. Cheng Juan Zhan & William Rea & Alethea Rea, 2016. "Stock Selection as a Problem in Phylogenetics—Evidence from the ASX," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(4), pages 1-19, September.
  38. Batten, Jonathan A. & Szilagyi, Peter G., 2016. "The internationalisation of the RMB: New starts, jumps and tipping points," Emerging Markets Review, Elsevier, vol. 28(C), pages 221-238.
  39. Berger, Theo, 2015. "A wavelet based approach to measure and manage contagion at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 338-350.
  40. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-151/III, Tinbergen Institute.
  41. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
  42. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
  43. repec:eee:econom:v:201:y:2017:i:2:p:384-399 is not listed on IDEAS
  44. Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
  45. Graham McIntosh, 2016. "Socially Responsible Investment and Market Performance: The Case of Energy and Resource Firms," Cambridge Working Papers in Economics 1609, Faculty of Economics, University of Cambridge.
  46. Woike, Jan K. & Hoffrage, Ulrich & Petty, Jeffrey S., 2015. "Picking profitable investments: The success of equal weighting in simulated venture capitalist decision making," Journal of Business Research, Elsevier, vol. 68(8), pages 1705-1716.
  47. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
  48. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  49. Nguyen, Tri-Dung & Lo, Andrew W., 2012. "Robust ranking and portfolio optimization," European Journal of Operational Research, Elsevier, vol. 221(2), pages 407-416.
  50. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2017. "Portfolio selection with mental accounts and estimation risk," Journal of Empirical Finance, Elsevier, pages 161-186.
  51. 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, pages 289-299.
  52. Aloisio Araujo & Marcia Leon & Rafael Santos, 2017. "Bargained haircuts and debt policy implications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(4), pages 635-656, December.
  53. Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017. "The dynamic Black–Litterman approach to asset allocation," European Journal of Operational Research, Elsevier, pages 1085-1096.
  54. Mousavi, Shabnam & Gigerenzer, Gerd, 2014. "Risk, uncertainty, and heuristics," Journal of Business Research, Elsevier, vol. 67(8), pages 1671-1678.
  55. David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  56. Janusz Brzeszczyński & Graham McIntosh, 2014. "Performance of Portfolios Composed of British SRI Stocks," Journal of Business Ethics, Springer, pages 335-362.
  57. Subbiah, Mohan & Fabozzi, Frank J., 2016. "Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 189-201.
  58. Joseph Gerakos & Juhani T. Linnainmaa & Adair Morse, 2016. "Asset Managers: Institutional Performance and Smart Betas," NBER Working Papers 22982, National Bureau of Economic Research, Inc.
  59. Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
  60. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
  61. Moorman, Theodore, 2014. "An empirical investigation of methods to reduce transaction costs," Journal of Empirical Finance, Elsevier, pages 230-246.
  62. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, pages 367-383.
  63. Lauren Stagnol, 2015. "Designing a corporate bond index on solvency criteria," EconomiX Working Papers 2015-39, University of Paris Nanterre, EconomiX.
  64. Reboredo, Juan C., 2013. "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2665-2676.
  65. 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.
  66. Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
  67. repec:eee:intfin:v:50:y:2017:i:c:p:1-12 is not listed on IDEAS
  68. repec:gam:jrisks:v:5:y:2017:i:2:p:27-:d:97820 is not listed on IDEAS
  69. Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
  70. Nipun Agarwal, 2014. "How to obtain high returns with lower volatility in emerging markets?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-16, December.
  71. 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.
  72. Chiu, Wan-Yi & Jiang, Ching-Hai, 2016. "On the weight sign of the global minimum variance portfolio," Finance Research Letters, Elsevier, vol. 19(C), pages 241-246.
  73. Kim, Daehwan, 2015. "Beta vs. characteristics: Comparison of risk model performances," Journal of Empirical Finance, Elsevier, pages 156-171.
  74. Yemshanov, Denys & Koch, Frank H. & Lu, Bo & Lyons, D. Barry & Prestemon, Jeffrey P. & Scarr, Taylor & Koehler, Klaus, 2014. "There is no silver bullet: The value of diversification in planning invasive species surveillance," Ecological Economics, Elsevier, vol. 104(C), pages 61-72.
  75. 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.
  76. Manganelli, Simone, 2016. "Asset allocation with judgment," Working Paper Series 1947, European Central Bank.
  77. Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
  78. Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
  79. Simon Freyaldenhoven, 2017. "A Generalized Factor Model with Local Factors," 2017 Papers pfr361, Job Market Papers.
  80. GianPaolo Abatecola, 2012. "Path Dependent Entrepreneurs? A Decision Making Perspective," DSI Essays Series, DSI - Dipartimento di Studi sull'Impresa, vol. 24.
  81. 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).
  82. repec:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3 is not listed on IDEAS
  83. repec:eee:eneeco:v:66:y:2017:i:c:p:559-570 is not listed on IDEAS
  84. repec:ris:ecoint:0799 is not listed on IDEAS
  85. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics 15/02, University of Canterbury, Department of Economics and Finance.
  86. repec:spr:homoec:v:34:y:2017:i:4:d:10.1007_s41412-017-0058-z is not listed on IDEAS
  87. Atalay, Kadir & Bakhtiar, Fayzan & Cheung, Stephen & Slonim, Robert, 2014. "Savings and prize-linked savings accounts," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PA), pages 86-106.
  88. Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, "undated". "Volatility Trends and Optimal Portfolios: the Case of Agricultural Commodities," DEOS Working Papers 1113, Athens University of Economics and Business.
  89. 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.
  90. Paolo Giordani & Xiuyan Mun & Robert Kohn, 2012. "Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(1), pages 154-192, December.
  91. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, pages 110-135.
  92. 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.
  93. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
  94. Reboredo, Juan C. & Ugando, Mikel, 2014. "US dollar exchange rate and food price dependence: Implications for portfolio risk management," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 72-89.
  95. 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.
  96. Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
  97. Steven E. Pav, 2014. "Bounds on Portfolio Quality," Papers 1409.5936, arXiv.org.
  98. Aouam, Tarik & Rardin, Ronald & Abrache, Jawad, 2010. "Robust strategies for natural gas procurement," European Journal of Operational Research, Elsevier, vol. 205(1), pages 151-158, August.
  99. Han, Xing & Li, Youwei, 2016. "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers 2016-07, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, revised 12 Jan 2017.
  100. 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.
  101. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
  102. Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, pages 737-759.
  103. R. P. Brito & H. Sebastião & P. Godinho, 2017. "Portfolio choice with high frequency data: CRRA preferences and the liquidity effect," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 65-86, August.
  104. 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.
  105. Kiatsupaibul, Seksan & J. Hayter, Anthony & Liu, Wei, 2017. "Rank constrained distribution and moment computations," Computational Statistics & Data Analysis, Elsevier, pages 229-242.
  106. Jochen Krause & Marc S. Paolella, 2014. "A Fast, Accurate Method for Value-at-Risk and Expected Shortfall," Econometrics, MDPI, Open Access Journal, vol. 2(2), pages 1-25, June.
  107. Ron Bird & Harry Liem & Susan Thorp, 2012. "The Tortoise and the Hare: Risk Premium Versus Alternative Asset Portfolios," Working Paper Series 16, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  108. Caporin, Massimiliano & McAleer, Michael, 2014. "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, pages 172-185.
  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. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, pages 135-160.
  111. El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung, 2017. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," MPRA Paper 76282, University Library of Munich, Germany.
  112. Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., pages 1-26.
  113. 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.
  114. repec:eee:ejores:v:262:y:2017:i:3:p:1164-1180 is not listed on IDEAS
  115. Chesney, Marc & Reshetar, Ganna & Karaman, Mustafa, 2011. "The impact of terrorism on financial markets: An empirical study," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 253-267, February.
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  117. Palczewski, Andrzej & Palczewski, Jan, 2014. "Theoretical and empirical estimates of mean–variance portfolio sensitivity," European Journal of Operational Research, Elsevier, vol. 234(2), pages 402-410.
  118. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  119. Hitaj, Asmerilda & Zambruno, Giovanni, 2016. "Are Smart Beta strategies suitable for hedge fund portfolios?," Review of Financial Economics, Elsevier, vol. 29(C), pages 37-51.
  120. Peralta, Gustavo & Zareei, Abalfazl, 2016. "A network approach to portfolio selection," Journal of Empirical Finance, Elsevier, pages 157-180.
  121. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Reboredo, Juan Carlos & Wen, Xiaoqian, 2014. "Dependence of stock and commodity futures markets in China: Implications for portfolio investment," Emerging Markets Review, Elsevier, vol. 21(C), pages 183-200.
  122. Jing-Rung Yu & Wan-Jiun Paul Chiou & Jian-Hong Yang, 2017. "Diversification benefits of risk portfolio models: a case of Taiwan’s stock market," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 467-502, February.
  123. Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.
  124. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
  125. James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
  126. R. Ferreira, Alexandre & A. P. Santos, Andre, 2016. "On the choice of covariance specifications for portfolio selection problems," MPRA Paper 73259, University Library of Munich, Germany.
  127. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
  128. Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2012. "Individual Risk Attitudes and the Composition of Financial Portfolios: Evidence from German Household Portfolios," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 1-14.
  129. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE 2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  130. Koedijk, Kees & Slager, Alfred & Stork, Philip, 2015. "Investing in Systematic Factor Premiums," CEPR Discussion Papers 10824, C.E.P.R. Discussion Papers.
  131. Sun, Yufei & Aw, Grace & Loxton, Ryan & Teo, Kok Lay, 2017. "Chance-constrained optimization for pension fund portfolios in the presence of default risk," European Journal of Operational Research, Elsevier, vol. 256(1), pages 205-214.
  132. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, pages 247-267.
  133. 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(04), pages 959-986, August.
  134. repec:eee:empfin:v:44:y:2017:i:c:p:250-269 is not listed on IDEAS
  135. Brighton, Henry & Gigerenzer, Gerd, 2015. "The bias bias," Journal of Business Research, Elsevier, vol. 68(8), pages 1772-1784.
  136. Janusz Brzeszczyński & Martin T. Bohl & Dobromił Serwa, 2012. "Large Capital Inflows and Stock Returnsin a Thin Market," CFI Discussion Papers 1201, Centre for Finance and Investment, Heriot Watt University.
  137. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
  138. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
  139. 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.
  140. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
  141. Charoula Daskalaki & George Skiadopoulos & Nikolas Topaloglou, 2016. "Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach," Working Papers 797, Queen Mary University of London, School of Economics and Finance.
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