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   In: Econometrics Working Papers Archive.
   RePEc:fir:econom:wp2020_06.

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2. Portfolio Selection using New Factors based on Firm Characteristics. (2018). Suh, Sangwon.
   In: Journal of Economic Development.
   RePEc:jed:journl:v:43:y:2018:i:1:p:77-99.

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3. Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin.
   In: Working Papers.
   RePEc:igi:igierp:627.

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4. Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight. (2018). Zaremba, Adam ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Czapkiewicz, Anna.
   In: Finance Research Letters.
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5. Naive versus optimal diversification: Tail risk and performance. (2018). Xu, Simon ; Hwang, In Chang ; In, Francis.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

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6. The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Hsu, Yuan-Teng ; Lai, Kin Keung ; Wang, Jying-Nan ; Du, Jiangze.
   In: Economic Modelling.
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7. Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin.
   In: BAFFI CAREFIN Working Papers.
   RePEc:baf:cbafwp:cbafwp1885.

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

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9. 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.

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10. Generalized Information Ratio. (2018). He, Zhongzhi Lawrence.
    In: Papers.
    RePEc:arx:papers:1803.01381.

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11. Mispricing Factors. (2017). Yuan, Yu ; Stambaugh, Robert.
    In: The Review of Financial Studies.
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12. Mean-variance versus naïve diversification: The role of mispricing. (2017). Zhang, Huazhu ; Yan, Cheng.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

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13. Bootstrap estimation of the efficient frontier. (2016). Font, Begoa .
    In: Computational Management Science.
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14. The large-sample distribution of the maximum Sharpe ratio with and without short sales. (2016). Roberts, Steven ; Maller, Ross ; Tourky, Rabee.
    In: Journal of Econometrics.
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15. A Combination Rule for Portfolio Selection with Transaction Costs. (2016). Suh, Sangwon.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:16:y:2016:i:3:p:393-420.

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16. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit.
    In: European Journal of Operational Research.
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17. A Robust Statistics Approach to Minimum Variance Portfolio Optimization. (2015). Couillet, Romain ; McKay, Matthew R. ; Yang, Liusha.
    In: Papers.
    RePEc:arx:papers:1503.08013.

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18. An empirical investigation of methods to reduce transaction costs. (2014). Moorman, Ted.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:230-246.

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

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20. Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach. (2013). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-28.

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21. Parameter uncertainty in multiperiod portfolio optimization with transaction costs. (2013). Demiguel, Victor ; Nogales, Francisco J. ; Utrera, Alberto Martin .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws132119.

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22. Forecasting Stock Returns under Economic Constraints. (2013). Valkanov, Rossen ; Pettenuzzo, Davide ; Timmermann, Allan G.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9377.

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23. Forecasting Stock Returns under Economic Constraints. (2013). Valkanov, Rossen ; Pettenuzzo, Davide ; Timmermann, Allan.
    In: Working Papers.
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24. DIVERSIFICATION STRATEGIES: DO LIMITED DATA CONSTRAIN INVESTORS?. (2013). Murtazashvili, Irina ; Vozlyublennaia, Nadia .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:36:y:2013:i:2:p:215-232.

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

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26. Predictive regressions with time-varying coefficients. (2012). Dangl, Thomas ; Halling, Michael.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:1:p:157-181.

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27. Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies. (2011). Zhou, Guofu ; Tu, Jun.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:1:p:204-215.

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28. A conditional asset-pricing model with the optimal orthogonal portfolio. (2011). Asgharian, Hossein.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1027-1040.

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29. Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?. (2011). Fletcher, Jonathan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:5:p:375-385.

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30. Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions. (2010). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:763-782.

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31. Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty. (2010). Zhou, Guofu ; Tu, Jun.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:45:y:2010:i:04:p:959-986_00.

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32. Bayesian Portfolio Analysis. (2010). Zhou, Guofu ; Avramov, Doron.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:2:y:2010:p:25-47.

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33. Statistical inference of the efficient frontier for dependent asset returns. (2009). Schmid, Wolfgang ; Zabolotskyy, Taras ; Bodnar, Taras.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:50:y:2009:i:3:p:593-604.

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34. Portfolio Selection with Robust Estimation. (2009). Demiguel, Victor ; Nogales, Francisco J.
    In: Operations Research.
    RePEc:inm:oropre:v:57:y:2009:i:3:p:560-577.

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35. Fast and frugal forecasting. (2009). Goldstein, Daniel ; Gigerenzer, Gerd.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:4:p:760-772.

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36. Estimation of optimal portfolio compositions for Gaussian returns. (2009). Wolfgang, Schmid ; Taras, Bodnar .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:26:y:2009:i:3:p:179-201:n:1.

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37. On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio. (2008). Schmid, Wolfgang ; Zabolotskyy, Taras.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:92:y:2008:i:1:p:29-34.

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38. Best ideas. (2008). Polk, Christopher ; Cohen, Randolph B ; Silli, Bernhard .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24471.

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39. It takes a model to beat a model: Volatility bounds. (2008). Liu, Ludan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:80-110.

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40. Covariance complexity and rates of return on assets. (2007). Ziemba, William T. ; Foster, Michael E. ; MacLean, Leonard C..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:11:p:3503-3523.

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41. Home bias among European investors from a Bayesian perspective. (2006). Hansson, Björn ; Asgharian, Hossein.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:5:p:397-410.

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42. Distributional properties of portfolio weights. (2006). Okhrin, Yarema ; Schmid, Wolfgang.
    In: Journal of Econometrics.
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43. Arbitrage pricing theory. (2005). Wang, Zhenyu ; Huberman, Gur.
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44. Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach. (2005). Hansson, Björn ; Asgharian, Hossein.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:4:p:556-575.

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45. Exchange rate regimes and the price of exchange rate risk. (2004). priestley, richard ; Ødegaard, Bernt.
    In: Economics Letters.
    RePEc:eee:ecolet:v:82:y:2004:i:2:p:181-188.

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46. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio. (2003). Robotti, Cesare.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2003-6.

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47. Asymmetric Volatility of Exchange Rate Returns Under The EMS: Some Evidence From Quantile Regression Approach for Tgarch Models. (2002). Park, Beum Jo.
    In: International Economic Journal.
    RePEc:taf:intecj:v:16:y:2002:i:1:p:105-125.

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48. Stock Return Predictability: A Bayesian Model Selection Perspective. (2002). K. J. Martijn Cremers, .
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    RePEc:oup:rfinst:v:15:y:2002:i:4:p:1223-1249.

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49. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. (2002). Jagannathan, Ravi ; Ma, Tongshu.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8922.

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50. On the usefulness of linear factor models in predicting expected returns in mean-variance analysis. (2002). Fletcher, Jonathan ; Hillier, Joe.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:4:p:449-466.

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51. The Federal Reserve banks imputed cost of equity capital. (2001). Wang, Zhenyu ; Lopez, Jose ; Green, Edward J..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2001-01.

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52. Comparing asset pricing models: an investment perspective. (2000). Stambaugh, Robert ; Pastor, Lubos ; Lubos, Pastor.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:56:y:2000:i:3:p:335-381.

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53. Comparing Asset Pricing Models: An Investment Perspective. (1999). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7284.

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54. Comparing Asset Pricing Models: An Investment Perspective. (1999). Stambaugh, Robert ; Pastor, Lubos.
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:16-99.

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