Concepedia

Forward-Looking Robust Portfolio Selection

Sara Cecchetti, Laura Sigalotti

SSRN Electronic Journal · 2013 · 29 citations · 142 references

DOIFull text

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Concepts

References

142

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

, , +7

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

, , +16

PORTFOLIO SELECTION*

Harry M. Markowitz · The Journal of Finance · 1952 · 5.3K citations

Optimal Versus Naive Diversification: How Inefficient is the 1/<i>N</i>Portfolio Strategy?

Victor DeMiguel, Lorenzo Garlappi, Raman Uppal · Review of Financial Studies · 2007 · 3.2K citations

, , +17