Linear statistical inference for global and local minimum variance portfolios

Liquidity Preference as Behavior Towards Risk

James Tobin · The Review of Economic Studies · 1958 · 3.9K citations

Business, Economics, Finance +11

Aspects of Multivariate Statistical Theory

Leon Jay Gleser, Robb J. Muirhead · Technometrics · 1984 · 3.4K citations

Natural Sciences, Biostatistics, Econometrics +13

On estimating the expected return on the market

Robert C. Merton · Journal of Financial Economics · 1980 · 2.9K citations

Business, Economics, Finance +12

Global Portfolio Optimization

Fischer Black, Robert B. Litterman · Financial Analysts Journal · 1992 · 1.8K citations

Business, Economics, Finance +12

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit, Michael Wolf · Journal of Empirical Finance · 2003 · 1.7K citations

Business, Finance, Financial Management +17