[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
European Market Portfolio Diversifcation Strategies across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
In: Working Papers in Economics.
RePEc:cbt:econwp:14/25.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 36

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Hedge Fund Portfolio Diversification Strategies across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140151.

    Full description at Econpapers || Download paper

  2. Hedge Fund Portfolio Diversification Strategies Across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/27.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alexander, G. J., and Baptista, A. M. (2003) CVaR as a measure of Risk: Implications for Portfolio Selection: Working Paper, School of Management, University of Minnesota.
    Paper not yet in RePEc: Add citation now
  2. Andersson, F., Uryasev, S., Mausser, H., and Rosen, D. (2000) Credit Risk Optimization with Conditional Value-at Risk criterion. Mathematical Programming, 89 (2), 273-291.
    Paper not yet in RePEc: Add citation now
  3. Barry, C. B. (1974) Portfolio Analysis under Uncertain Means, Variances, and Covariances. Journal of Finance 29: 51522.

  4. Bawa, V. S., S. Brown, and R. Klein, (1979) Estimation Risk and Optimal Portfolio Choice. Amsterdam, The Netherlands: North Holland.
    Paper not yet in RePEc: Add citation now
  5. Best, M. J., and R. R. Grauer, (1992) Positively Weighted MinimumVariance Portfolios and the Structure of Asset Expected Returns. Journal of Financial and Quantitative Analysis 27:51337.

  6. Chan, L. K. C., J. Karceski, and J. Lakonishok, (1999) On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model. The Review of Financial Studies 12:93774.

  7. Chekhlov A., Uryasev S. and M. Zabarankin, (2000) Portfolio optimization with drawdown constraints. Research report 2000-5, Department of Industrial and Systems Engineering, University of Florida, Gainesville.
    Paper not yet in RePEc: Add citation now
  8. Chekhlov A., Uryasev S. and M. Zabarankin, (2004) Portfolio optimization with drawdown constraints In Supply Chain and Finance (ed. Pardalos P., Migdalas A. and Baourakis G.) vol. 2 of Series on Computers and Operations Research World Scientic Singapore pp. 209228.

  9. Chekhlov A., Uryasev S. and M. Zabarankin, (2005) Drawdown measure in portfolio optimization. International Journal of Theoretical and Applied Finance 8(1), 1358.

  10. Choueifaty Y. and Y. Coignard, (2008) Toward maximum diversication. Journal of Portfolio Management 34(4), 4051.
    Paper not yet in RePEc: Add citation now
  11. Choueifaty Y., Froidure T. and J. Reynier, (2011) Properties of the most diversied portfolio. Working paper, TOBAM.
    Paper not yet in RePEc: Add citation now
  12. DeMiguel, V., L. Garlappi, and R. Uppal, (2009) Optimal versus naive diversication: how inecient is the 1\N portfolio diversication strategy? Review of Financial Studies, 22, 5: 1915-1953.
    Paper not yet in RePEc: Add citation now
  13. Ghalanos, A. and B. Pfa, (2014) {parma}: Portfolio Allocation and Risk Management Applications, R package version 1.5-1. (Available at: http://cran.r-project.org/web/packages/PerformanceAnalytics/)
    Paper not yet in RePEc: Add citation now
  14. Jagannathan, R., and T. Ma, (2003) Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. Journal of Finance 58:165184.

  15. James, W., and C. Stein. (1961) Estimation with Quadratic Loss. Proceedings of the 4th Berkeley Symposium on Probability and Statistics 1. Berkeley, CA: University of California Press.
    Paper not yet in RePEc: Add citation now
  16. Jobson, J. D., and R. Korkie. (1980) Estimation for Markowitz Ecient Portfolios. Journal of the American Statistical Association 75:54454.
    Paper not yet in RePEc: Add citation now
  17. Jobson, J. D., R. Korkie, and V. Ratti, (1979) Improved Estimation for Markowitz Portfolios Using James-Stein Type Estimators. Proceedings of the American Statistical Association 41:27992.
    Paper not yet in RePEc: Add citation now
  18. Jorion, P. (1985) International Portfolio Diversication with Estimation Risk. Journal of Business 58:25978.

  19. Jorion, P. (1986) Bayes-Stein Estimation for Portfolio Analysis. Journal of Financial and Quantitative Analysis 21:27992.

  20. Lintner, J. (1965) The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics. 47:1, pp. 1337.
    Paper not yet in RePEc: Add citation now
  21. Markowitz, H. M. 1952. Portfolio Selection. Journal of Finance 7 (1): 7791.

  22. Markowitz, H.M. (1959) Portfolio Selection ecient diversication of Investments, Cowles Foundation, New York, John Wiley.
    Paper not yet in RePEc: Add citation now
  23. Markowitz, H.M. (1991) Foundations of portfolio theory, Journal of Finance, 46, 469477.

  24. Merton, R.C. (1972) An analytical derivation of the ecient frontier. Journal of Financial and Quantitative Analysis 7: 185172.
    Paper not yet in RePEc: Add citation now
  25. Michaud, R.O. (1989) The Markowitz Optimization Enigma: is 'Optimized' optimal? Financial Analysts Journal, January/February 1989, Vol. 45, No. 1 : pp. 31-42
    Paper not yet in RePEc: Add citation now
  26. Mossin, Jan. (1966) Equilibrium in a Capital Asset Market. Econometrica. October, 35, pp. 76883.
    Paper not yet in RePEc: Add citation now
  27. Pastor, L. (2000) Portfolio Selection and Asset Pricing Models. Journal of Finance 55:179223.

  28. Pastor, L., and R. F. Stambaugh, (2000) Comparing Asset Pricing Models: An Investment Perspective. Journal of Financial Economics 56:33581.

  29. Pfa, B. (2013) Financial Risk Modelling and Portfolio Optimisation with R, Wiley, Chichester, UK.
    Paper not yet in RePEc: Add citation now
  30. Pug, G. (2000) Some Remarks on Value-at-Risk and Conditional-Valueat -Risk. In R. Uryasev (Ed.), Probabilistic Constrained Optimisation: Methodology and Applications. Dordrecht, Boston: Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now
  31. Rockafellar, R. T., and S. Uryasev, (2002) Conditional Value-at-Risk for General Loss Distributions. Journal of Banking and Finance, 26(7), 14431471.

  32. Rockafellar, R. T., Uryasev, S., and M. Zabarankin, (2006, a). Master Funds in Portfolio Analysis with General Deviation Measures. Journal of Banking and Finance, 30(2), 743-776.

  33. Rockafellar, R.T., S. Uryasev, and M. Zabarankin, (2006, b) Optimality conditions in portfolio analysis with general deviation measures, Mathematical Programming 108, 515540.
    Paper not yet in RePEc: Add citation now
  34. Rockafellar, R.T., S. Uryasev, and M. Zabarankin, (2007) Equilibrium with investors using a diversity of deviation measures, Journal of Banking & Finance 31 3251 3268.

  35. Sharpe, W. F. (1964) Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance. 19:3, pp. 425 42.

  36. Zabarankinm M, K. Pavlikov, and S. Uryasev, (2014) Capital Asset Pricing Model (CAPM) with drawdown measure, European Journal of Operational Research, 234, 508-517.

Cocites

Documents in RePEc which have cited the same bibliography

  1. From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894.

    Full description at Econpapers || Download paper

  2. Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Guo, Sini ; Li, Xiang ; Zhang, Yuanyuan.
    In: Fuzzy Optimization and Decision Making.
    RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

    Full description at Econpapers || Download paper

  3. International asset allocation using the market implied cost of capital. (2018). Bielstein, Patrick.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:32:y:2018:i:1:d:10.1007_s11408-017-0302-3.

    Full description at Econpapers || Download paper

  4. Bayesian inference for the tangent portfolio. (2018). Okhrin, Yarema ; Mazur, Stepan ; Bodnar, Taras ; Bauder, David.
    In: Working Papers.
    RePEc:hhs:oruesi:2018_002.

    Full description at Econpapers || Download paper

  5. Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01923917.

    Full description at Econpapers || Download paper

  6. A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies. (2018). Singh, A K ; Allen, D E.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:109055.

    Full description at Econpapers || Download paper

  7. Asset allocation strategies, data snooping, and the 1 / N rule. (2018). Hsu, Po-Hsuan ; Cao, Zhiguang ; Wu, Wensheng ; Han, Qiheng .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:97:y:2018:i:c:p:257-269.

    Full description at Econpapers || Download paper

  8. The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Du, Jiangze ; Lai, Kin Keung ; Hsu, Yuan-Teng ; Wang, Jying-Nan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:81-92.

    Full description at Econpapers || Download paper

  9. An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes.
    In: Papers.
    RePEc:arx:papers:1811.08255.

    Full description at Econpapers || Download paper

  10. Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine.
    In: Papers.
    RePEc:arx:papers:1811.06893.

    Full description at Econpapers || Download paper

  11. Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty. (2018). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras ; Bauder, David.
    In: Papers.
    RePEc:arx:papers:1803.03573.

    Full description at Econpapers || Download paper

  12. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies. (2017). McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20170013.

    Full description at Econpapers || Download paper

  13. Risk, ambiguity, and the exercise of employee stock options. (2017). Izhakian, Yehuda ; Yermack, David.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:124:y:2017:i:1:p:65-85.

    Full description at Econpapers || Download paper

  14. Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

    Full description at Econpapers || Download paper

  15. Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

    Full description at Econpapers || Download paper

  16. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: JRFM.
    RePEc:gam:jjrfmx:v:9:y:2016:i:2:p:6-:d:72448.

    Full description at Econpapers || Download paper

  17. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies. (2016). McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:98658.

    Full description at Econpapers || Download paper

  18. Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack .
    In: Papers.
    RePEc:arx:papers:1602.02185.

    Full description at Econpapers || Download paper

  19. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abbay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150122.

    Full description at Econpapers || Download paper

  20. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:79216.

    Full description at Econpapers || Download paper

  21. Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz. (2015). Ruschendorf, Ludger ; Mitov, Georgi ; Mainik, Georg .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:115-134.

    Full description at Econpapers || Download paper

  22. Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz. (2015). Mainik, Georg ; Ruschendorf, Ludger ; Mitov, Georgi .
    In: Papers.
    RePEc:arx:papers:1505.04045.

    Full description at Econpapers || Download paper

  23. Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation. (2015). Xin, Jack ; Sun, Zheng ; Ho, Michael .
    In: Papers.
    RePEc:arx:papers:1502.01658.

    Full description at Econpapers || Download paper

  24. Hedge Fund Portfolio Diversification Strategies across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140151.

    Full description at Econpapers || Download paper

  25. European Market Portfolio Diversification Strategies across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140134.

    Full description at Econpapers || Download paper

  26. Asset Demand and Ambiguity Aversion. (2014). Hara, Chiaki ; Honda, Toshiki.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:911.

    Full description at Econpapers || Download paper

  27. Robust multiobjective optimization & applications in portfolio optimization. (2014). Fliege, Jorg ; Werner, Ralf .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:422-433.

    Full description at Econpapers || Download paper

  28. Hedge Fund Portfolio Diversification Strategies Across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/27.

    Full description at Econpapers || Download paper

  29. European Market Portfolio Diversifcation Strategies across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/25.

    Full description at Econpapers || Download paper

  30. Size matters: Optimal calibration of shrinkage estimators for portfolio selection. (2013). Martin-Utrera, Alberto ; Demiguel, Victor ; de Miguel, Victor ; Nogales, Francisco J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3018-3034.

    Full description at Econpapers || Download paper

  31. Market volatility, optimal portfolios and naive asset allocations. (2012). Pelizzon, Loriana ; Caporin, Massimiliano.
    In: Working Papers.
    RePEc:ven:wpaper:2012_08.

    Full description at Econpapers || Download paper

  32. Using industry momentum to improve portfolio performance. (2012). Guettler, Andre ; Behr, Patrick ; Truebenbach, Fabian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1414-1423.

    Full description at Econpapers || Download paper

  33. Comparison and robustification of Bayes and Black-Litterman models. (2010). Zagst, Rudi ; Werner, Ralf ; Schottle, Katrin.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:71:y:2010:i:3:p:453-475.

    Full description at Econpapers || Download paper

  34. International asset allocation for incompletely-informed investors. (2010). Gau, Yin-Feng ; Hua, Mingshu ; Wu, Wen-Lin .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:4:p:422-447.

    Full description at Econpapers || Download paper

  35. The Distribution of the Sample Minimum-Variance Frontier. (2008). Smith, Daniel ; Kan, Raymond.
    In: Management Science.
    RePEc:inm:ormnsc:v:54:y:2008:i:7:p:1364-1380.

    Full description at Econpapers || Download paper

  36. Portfolio selection with probabilistic utility. (2007). Tavoni, Massimo ; Marschinski, Robert ; Rossi, Pietro ; Cocco, Flavio .
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:151:y:2007:i:1:p:223-239:10.1007/s10479-006-0117-5.

    Full description at Econpapers || Download paper

  37. Portfolio choice beyond the traditional approach. (2007). Penaranda, Francisco .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24481.

    Full description at Econpapers || Download paper

  38. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

  39. Robust Mean-Variance Portfolio Selection. (2005). Perret-Gentil, Cedric ; Victoria-Feser, Maria-Pia.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp140.

    Full description at Econpapers || Download paper

  40. Portfolio selection with two-stage preferences. (2005). Taboga, Marco.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:3:p:152-164.

    Full description at Econpapers || Download paper

  41. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. (2005). wang, tan ; Uppal, Raman ; Garlappi, Lorenzo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5148.

    Full description at Econpapers || Download paper

  42. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. (2005). wang, tan ; Uppal, Raman ; Garlappi, Lorenzo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5041.

    Full description at Econpapers || Download paper

  43. A Simple Model of Robust Portfolio Selection. (2004). Taboga, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:16472.

    Full description at Econpapers || Download paper

  44. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. (2004). wang, tan ; Uppal, Raman ; Garlappi, Lorenzo.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:54.

    Full description at Econpapers || Download paper

  45. Portfolios of Hedge Funds What Investors Really Invest In. (2002). Kat, Harry ; Amin, Gaurav ; Harry. M Kat, .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2002-07.

    Full description at Econpapers || Download paper

  46. Incorporating Estimation Risk in Portfolio Choice. (2000). Werker, Bas ; ter Horst, Jenke ; de Roon, F. A. ; Werker, B. J. M., ; ter Horst, J. R., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:30107fbe-2dc9-43d5-a086-efa7f412be10.

    Full description at Econpapers || Download paper

  47. Stein and CAPM estimators of the means in asset allocation. (1995). Hakansson, Nils H. ; Grauer, Robert R..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:4:y:1995:i:1:p:35-66.

    Full description at Econpapers || Download paper

  48. OPTIMAL PORTFOLIOS: MARKOWITZ FULL COVARIANCE VERSUS SIMPLE SELECTION RULES. (1988). Burgess, Richard C. ; Bey, Roger P..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:11:y:1988:i:2:p:153-163.

    Full description at Econpapers || Download paper

  49. AN ALTERNATIVE SOLUTION TO LINEAR PROGRAMMING PROBLEMS WITH STOCHASTIC INPUT-OUTPUT COEFFICIENTS. (1978). Guise, John W. B., ; Wicks, John A. ; Guise, John W. B., .
    In: Australian Journal of Agricultural Economics.
    RePEc:ags:ajaeau:22495.

    Full description at Econpapers || Download paper

  50. PROGRAMMING FOR EFFICIENT PLANNING AGAINST NON-NORMAL RISK. (1975). Anderson, Jock.
    In: Australian Journal of Agricultural Economics.
    RePEc:ags:ajaeau:22556.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-29 01:15:58 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.