Portfolio selection with parsimonious higher comoments estimation

Fast and robust fixed-point algorithms for independent component analysis

Aapo Hyvärinen · IEEE Transactions on Neural Networks · 1999 · 6.3K citations

Engineering, Computer Science, Information Theory +14

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

Business, Economics, Finance +17

Conditional Skewness in Asset Pricing Tests

Campbell R. Harvey, Akhtar R. Siddique · The Journal of Finance · 2000 · 2.9K citations

Business, Economics, Finance +17

On estimating the expected return on the market

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

Business, Economics, Finance +12

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