Concepedia

Robustifying Markowitz

Alla Petukhina, Yegor Klochkov, Wolfgang Karl Härdle, Nikita Zhivotovskiy

Journal of Econometrics · 2023 · 12 citations · 40 references

DOI

References

40

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15K citations · Full text

, , +14

A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.5K citations

, , +6

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 · 3.1K citations

Forecasting Using Principal Components From a Large Number of Predictors

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 2002 · 3K citations

, , +19

On estimating the expected return on the market

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

, , +6