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Portfolio Risk Analysis

Citations

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Cited by:

  1. Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
  2. Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
  3. Carol Newman & Fiona Wainwright, 2011. "Income Shocks and Household Risk-Coping Strategies: Evidence from Rural Vietnam," The Institute for International Integration Studies Discussion Paper Series iiisdp358, IIIS.
  4. John B. Guerard, Jr. & Robert A. Gillam & Harry Markowitz & Ganlin Xu & Shijie Deng & Ziwei (Elaine) Wang, 2018. "Data Mining Corrections Testing in Chinese Stocks," Interfaces, INFORMS, vol. 48(2), pages 108-120, April.
  5. Julien Riposo & E G Klepfish, 2023. "Notes on the convergence of the estimated risk factor matrix in linear regression models," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 97-107, March.
  6. Spiridon Penev & Pavel V. Shevchenko & Wei Wu, 2021. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," Papers 2108.02633, arXiv.org.
  7. A. K. Bahl & O. Baltzer & A. Rau-Chaplin & B. Varghese & A. Whiteway, 2013. "Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs," Papers 1308.2572, arXiv.org.
  8. Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
  9. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  10. Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1371-1404, October.
  11. Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
  12. Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert Muller & Steven Lemm, 2011. "Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization," Papers 1109.3069, arXiv.org, revised Mar 2012.
  13. John Guerard, 2025. "Investments: the (almost) century of Markowitz Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire," Annals of Operations Research, Springer, vol. 346(1), pages 1-8, March.
  14. John B. Guerard, 2024. "Sir David Hendry: An Appreciation from Wall Street and What Macroeconomics Got Right," Working Papers 2024-001, The George Washington University, The Center for Economic Research, revised Feb 2024.
  15. Daniel Bartz & Kerr Hatrick & Christian W Hesse & Klaus-Robert Müller & Steven Lemm, 2013. "Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-14, July.
  16. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
  17. John B. Guerard & Ganlin Xu & Harry Markowitz, 2021. "A further analysis of robust regression modeling and data mining corrections testing in global stocks," Annals of Operations Research, Springer, vol. 303(1), pages 175-195, August.
  18. John B. Guerard & Harry Markowitz & Ganlin Xu & Ziwei Wang, 2018. "Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth," Annals of Operations Research, Springer, vol. 267(1), pages 203-219, August.
  19. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
  20. Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics camjip:2214, Faculty of Economics, University of Cambridge.
  21. Mark R. Powell, 2015. "Risk‐Based Sampling: I Don't Want to Weight in Vain," Risk Analysis, John Wiley & Sons, vol. 35(12), pages 2172-2182, December.
  22. repec:cam:camjip:camjip:2214 is not listed on IDEAS
  23. Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
  24. Johannes Holler, 2013. "Funding Strategies of Sovereign Debt Management: A Risk Focus," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 51-74.
  25. Jiaqin Chen & Ming Yuan, 2016. "Efficient Portfolio Selection in a Large Market," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 496-524.
  26. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
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