Robustifying Markowitz
暂无分享,去创建一个
[1] Shahar Mendelson,et al. On Monte-Carlo methods in convex stochastic optimization , 2021, The Annals of Applied Probability.
[2] W. Härdle,et al. Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies , 2020, Quantitative Finance.
[3] Samuel B. Hopkins,et al. Robust and Heavy-Tailed Mean Estimation Made Simple, via Regret Minimization , 2020, NeurIPS.
[4] Ankit Pensia,et al. Outlier Robust Mean Estimation with Subgaussian Rates via Stability , 2020, NeurIPS.
[5] Banghua Zhu,et al. Robust estimation via generalized quasi-gradients , 2020, Information and Inference: A Journal of the IMA.
[6] Ralph E. Steuer,et al. Robust portfolio optimization: a categorized bibliographic review , 2020, Annals of Operations Research.
[7] Boris Fays,et al. Risk Optimizations on Basis Portfolios: The Role of Sorting , 2020 .
[8] Nikita Zhivotovskiy,et al. Robust k-means Clustering for Distributions with Two Moments , 2020, The Annals of Statistics.
[9] Prasad Raghavendra,et al. Algorithms for heavy-tailed statistics: regression, covariance estimation, and beyond , 2019, STOC.
[10] G. Lugosi,et al. Robust multivariate mean estimation: The optimality of trimmed mean , 2019, The Annals of Statistics.
[11] Shahar Mendelson,et al. Mean Estimation and Regression Under Heavy-Tailed Distributions: A Survey , 2019, Found. Comput. Math..
[12] G. Lecu'e,et al. Robust sub-Gaussian estimation of a mean vector in nearly linear time , 2019, The Annals of Statistics.
[13] Alessandro Rudi,et al. Affine Invariant Covariance Estimation for Heavy-Tailed Distributions , 2019, COLT.
[14] Peter L. Bartlett,et al. Fast Mean Estimation with Sub-Gaussian Rates , 2019, COLT.
[15] Qiang Sun,et al. User-Friendly Covariance Estimation for Heavy-Tailed Distributions , 2018, Statistical Science.
[16] S. Mendelson,et al. Robust covariance estimation under $L_{4}-L_{2}$ norm equivalence , 2018, The Annals of Statistics.
[17] Samuel B. Hopkins. Mean estimation with sub-Gaussian rates in polynomial time , 2018, The Annals of Statistics.
[18] Mengmeng Ao,et al. Approaching Mean-Variance Efficiency for Large Portfolios , 2018, The Review of Financial Studies.
[19] Jerry Li,et al. Being Robust (in High Dimensions) Can Be Practical , 2017, ICML.
[20] G. Lugosi,et al. Sub-Gaussian estimators of the mean of a random vector , 2017, The Annals of Statistics.
[21] Olivier Ledoit,et al. Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks , 2017 .
[22] Jianqing Fan,et al. Robust Covariance Estimation for Approximate Factor Models. , 2016, Journal of econometrics.
[23] E. Fama,et al. A Five-Factor Asset Pricing Model , 2014 .
[24] Sébastien Bubeck. Convex Optimization: Algorithms and Complexity , 2014, Found. Trends Mach. Learn..
[25] V. Koltchinskii,et al. Concentration inequalities and moment bounds for sample covariance operators , 2014, 1405.2468.
[26] Noureddine El Karoui,et al. On the Realized Risk of High-Dimensional Markowitz Portfolios , 2013, SIAM J. Financial Math..
[27] Kunpeng Li,et al. STATISTICAL ANALYSIS OF FACTOR MODELS OF HIGH DIMENSION , 2012, 1205.6617.
[28] Jianqing Fan,et al. Large covariance estimation by thresholding principal orthogonal complements , 2011, Journal of the Royal Statistical Society. Series B, Statistical methodology.
[29] Noureddine El Karoui,et al. High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation , 2010, 1211.2917.
[30] Michael Wolf,et al. Financial Valuation and Risk Management Working Paper No . 664 Robust Performance Hypothesis Testing with the Variance Olivier Ledoit , 2010 .
[31] Wing-Keung Wong,et al. ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY , 2009 .
[32] Victor DeMiguel,et al. Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? , 2009 .
[33] Raymond Kan,et al. Optimal Portfolio Choice with Parameter Uncertainty , 2007, Journal of Financial and Quantitative Analysis.
[34] Francisco J. Nogales,et al. Portfolio Selection With Robust Estimation , 2007, Oper. Res..
[35] Olivier Ledoit,et al. Robust Performance Hypothesis Testing with the Sharpe Ratio , 2007 .
[36] Jianqing Fan,et al. High dimensional covariance matrix estimation using a factor model , 2007, math/0701124.
[37] Olivier Ledoit,et al. A well-conditioned estimator for large-dimensional covariance matrices , 2004 .
[38] Olivier Ledoit,et al. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection , 2003 .
[39] Olivier Ledoit,et al. Honey, I Shrunk the Sample Covariance Matrix , 2003 .
[40] J. Stock,et al. Forecasting Using Principal Components From a Large Number of Predictors , 2002 .
[41] R. Jagannathan,et al. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps , 2002 .
[42] Steven Strongin,et al. Beating Benchmarks , 2000 .
[43] Mark Broadie,et al. Computing efficient frontiers using estimated parameters , 1993, Ann. Oper. Res..
[44] W. Ziemba,et al. The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice , 1993 .
[45] R. Green,et al. When Will Mean-Variance Efficient Portfolios Be Well Diversified? , 1992 .
[46] E. Fama,et al. The Cross‐Section of Expected Stock Returns , 1992 .
[47] M. Best,et al. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results , 1991 .
[48] P. Frost,et al. For better performance , 1988 .
[49] Peter A. Frost,et al. An Empirical Bayes Approach to Efficient Portfolio Selection , 1986, Journal of Financial and Quantitative Analysis.
[50] R. C. Merton,et al. On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .
[51] G. Hunanyan,et al. Portfolio Selection , 2019, Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management.
[52] Sander Barendse,et al. Efficient Portfolio Selection in a Large Market , 2017 .
[53] Richard O. Michaud. The Markowitz Optimization Enigma: Is 'Optimized' Optimal? , 1989 .
[54] S. Szarek. On the best constants in the Khinchin inequality , 1976 .
[55] Jianqing Fan,et al. Journal of the American Statistical Association Vast Portfolio Selection with Gross-exposure Constraints Vast Portfolio Selection with Gross-exposure Constraints , 2022 .