Concepedia
SSRN Electronic Journal · 2015 · 16 citations · 9 references
Open access
Covariance MisspecificationAsset PricingPortfolio SelectionRisk ManagementManagementBusinessPortfolio ManagementPortfolio AllocationFinancePortfolio Choice
9
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations
Econometric Model, Economics, Volatility Modeling +15
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
Portfolio Optimization, Covariance Matrix, Asset Pricing +10
The Properties of Equally Weighted Risk Contribution Portfolios
Sébastien Maillard, Thierry Roncalli, Jérôme Teïletche · The Journal of Portfolio Management · 2010 · 712 citations
Portfolio Optimization, Asset Pricing, Portfolio Selection +15
Toward Maximum Diversification
Yves Choueifaty, Yves Coignard · The Journal of Portfolio Management · 2008 · 525 citations
Maximal Diversification, Asset Allocation, Portfolio Management +20
On the Properties of Equally-Weighted Risk Contributions Portfolios
Sébastien Maillard, Thierry Roncalli, Jérôme Teïletche · SSRN Electronic Journal · 2008 · 150 citations · Full text