Cluster analysis for portfolio optimization

Portfolio Selection: Efficient Diversification of Investments

Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations

Business, Finance, Financial Management +14

Some distance properties of latent root and vector methods used in multivariate analysis

J. C. Gower · Biometrika · 1966 · 4.1K citations

Natural Sciences, Biostatistics, Time Series Analysis +7

Modern Portfolio Theory and Investment Analysis.

Keith Smith, Edwin J. Elton, M. J. Gruber · The Journal of Finance · 1982 · 3.1K citations

Business, Economics, Finance +17

A well-conditioned estimator for large-dimensional covariance matrices

Olivier Ledoit, Michael Wolf · Journal of Multivariate Analysis · 2003 · 2.9K citations · Full text

Computing, Computer Science, Time Series Analysis +8

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

John Y. Campbell, Martin Lettau, Burton G. Malkiel et al. · The Journal of Finance · 2001 · 2.5K citations

Business, Economics, Finance +17