Andersen TG, Bollerslev T (1998) Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. Int Econ Rev 885–905.
Bali TG, Peng L (2006) Is there a risk-return trade-off? Evidence from high-frequency data, Journal of Applied Econometrics 21:1169–1198.
Bird R, Pellizzari P, Yeung D, Woolley P, et al (2012) The strategic implementation of an investment process in a funds management firm. Technical report.
Blume ME, Friend I (1975) The asset structure of individual portfolios and some implications for utility functions. The Journal of Finance 30:585–603.
Brands S, Brown SJ, Gallagher DR (2005) Portfolio concentration and investment manager performance. International Review of Finance 5:149–174.
- Buffett W (1994) Letter to shareholders, Berkshire Hathaway Annual Report.
Paper not yet in RePEc: Add citation now
Buser SA (1977) Mean-variance portfolio selection with either a singular or nonsingular variance-covariance matrix. Journal of Financial and Quantitative Analysis 12:347–361.
- Campbell JY (2018) Financial Decisions and Market - A Course in Asset Pricing. Princeton.
Paper not yet in RePEc: Add citation now
Campbell R, Huisman R, Koedijk K (2001) Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking & Finance 25:1789–1804.
Caselli F, Ventura J (2000) A representative consumer theory of distribution. The American Economic Review 90:909–926.
- Chen T, Yang F (2020) Think outside the envelop—efficiency bound estimation through extreme value theory, Working Paper.
Paper not yet in RePEc: Add citation now
Choi N, Fedenia M, Skiba H, Sokolyk T (2017) Portfolio concentration and performance of institutional investors worldwide. Journal of Financial Economics 123:189–208.
- Daniels MJ, Kass RE (1999) Nonconjugate Bayesian estimation of covariance matrices and its use in hierarchical models. Journal of the American Statistical Association 94:1254–1263.
Paper not yet in RePEc: Add citation now
- Dekkers AL, Einmahl JH, De Haan L et al (1989) A moment estimator for the index of an extreme-value distribution. The Annals of Statistics 17:1833–1855.
Paper not yet in RePEc: Add citation now
- Dietrich, D., L. Haan, and J. Hüsler (2002): Testing extreme value conditions, Extremes, 5, 71–85.
Paper not yet in RePEc: Add citation now
Ekholm A, Maury B (2014) Portfolio concentration and firm performance. Journal of Financial and Quantitative Analysis 49:903–931.
Evans JL, Archer SH (1968) Diversification and the reduction of dispersion: An empirical analysis. J Finance 23:761–767.
Fang C-R, You S-Y (2014) “The impact of oil price shocks on the large emerging countries’ stock prices: Evidence from China. India and Russia”, International Review of Economics 29:330–338.
- Feibel BJ (2003) Investment performance measurement, Vol 116, Wiley.
Paper not yet in RePEc: Add citation now
Fisher L, Lorie JH (1970) Some studies of variability of returns on investments in common stocks. The Journal of Business 43:99–134.
Floros C (2005) Price linkages between the US, Japan and UK stock markets. Financial Markets and Portfolio Management 19:169–178.
- Gay Jr RD et al (2008) Effect of macroeconomic variables on stock market returns for four emerging economies: Brazil, Russia, India, and China. Int Business Econ Res J (IBER), 7.
Paper not yet in RePEc: Add citation now
Ghysels E, Santa-Clara P, Valkanov R (2005) There is a risk-return trade-off after all. Journal of Financial Economics 76:509–548.
Goetzmann WN, Kumar A (2008) Equity portfolio diversification. Review of Finance 12:433–463.
- Goetzmann WN, Li L, Rouwenhorst KG et al (2005) Long-term global market correlations. The Journal of Business 78:1–38.
Paper not yet in RePEc: Add citation now
- Goldman E, Sun Z, Zhou X (2016) The effect of management design on the portfolio concentration and performance of mutual funds. Financial Analysts Journal 72:49–61.
Paper not yet in RePEc: Add citation now
Hamao Y, Masulis RW, Ng V (1990) Correlations in price changes and volatility across international stock markets. The Review of Financial Studies 3:281–307.
Ivković Z, Sialm C, Weisbenner S (2008) Portfolio concentration and the performance of individual investors. Journal of Financial and Quantitative Analysis 43:613–655.
- Jenkinson AF (1955) The frequency distribution of the annual maximum (or minimum) values of meteorological elements. Quarterly Journal of the Royal Meteorological Society 81:158–171.
Paper not yet in RePEc: Add citation now
- Jorion P (2010) Financial risk manager handbook. Wiley.
Paper not yet in RePEc: Add citation now
Kacperczyk M, Sialm C, Zheng L (2005) On the industry concentration of actively managed equity mutual funds. The Journal of Finance 60:1983–2011.
- Kent, J. T. (1983): Information gain and a general measure of correlation, Biometrika, 70, 163–173.
Paper not yet in RePEc: Add citation now
- Keynes JM, Moggridge DE, Johnson ES et al (1983) The collected writings of John Maynard Keynes, vol. XII, Macmillan, London.
Paper not yet in RePEc: Add citation now
Ledoit O, Wolf M (2003) Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance 10:603–621.
- Ledoit O, Wolf M (2012) Nonlinear shrinkage estimation of large-dimensional covariance matrices. The Annals of Statistics 40:1024–1060.
Paper not yet in RePEc: Add citation now
Ledoit O, Wolf M (2017) Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. The Review of Financial Studies 30:4349–4388.
- Leonard T, Hsu JS et al (1992) Bayesian inference for a covariance matrix. The Annals of Statistics 20:1669–1696.
Paper not yet in RePEc: Add citation now
Liu EX (2016) Portfolio diversification and international corporate bonds. Journal of Financial and Quantitative Analysis 51:959–983.
- Liu K (2017) Effective dimensionality control in quantitative finance and insurance, PhD thesis, University of Waterloo.
Paper not yet in RePEc: Add citation now
- Loeb GM (2007) Battle for investment survival, Vol 36, Wiley.
Paper not yet in RePEc: Add citation now
- Longin F (2016) Extreme events in finance: a handbook of extreme value theory and its applications. Wiley.
Paper not yet in RePEc: Add citation now
Longin FM (2000) From Value-at-Risk to stress testing: The extreme value approach. Journal of Banking & Finance 24:1097–1130.
Madaleno M, Pinho C (2012) International stock market indices comovements: A new look. International Journal of Finance & Economics 17:89–102.
- Markowitz H (1952) Portfolio selection, The. Journal of Finance 7:77–91.
Paper not yet in RePEc: Add citation now
McNeil AJ, Frey R (2000) Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of Empirical Finance 7:271–300.
- Mehra R (2008) Handbook of the equity risk premium. Elsevier.
Paper not yet in RePEc: Add citation now
Mehra R, Prescott EC (1985) The equity premium: A puzzle. Journal of Monetary Economics 15:145–161.
Merton R (1972) An analytic derivation of the efficient portfolio frontier. Journal of Financial and Quantitative Analysis 7:1851–1872.
- Mises RV (1954) La distribution de la plus grande de n valeurs. American Mathematical Society, Providence. RI. II:271–294.
Paper not yet in RePEc: Add citation now
- Modigliani F, Leah M (1997) Risk-adjusted performance. Journal of Portfolio Management 23:45–54.
Paper not yet in RePEc: Add citation now
Oyenubi A (2019) Diversification measures and the optimal number of stocks in a portfolio: An information theoretic explanation. Computational Economics 54:1443–1471.
- Pappas D, Kiriakopoulos K, Kaimakamis G (2010) Optimal portfolio selection with singular covariance matrix. International Mathematical Forum 5:2305–2318.
Paper not yet in RePEc: Add citation now
Pownall RA, Koedijk KG (1999) Capturing downside risk in financial markets: The case of the Asian Crisis. J Int Money Finance 18:853–870.
Rocco M (2014) Extreme value theory in finance: A survey. Journal of Economic Surveys 28:82–108.
Saranya K, Prasanna PK (2014) Portfolio selection and optimization with higher moments: evidence from the Indian stock market. Asia Pac FinanMarkets 21:133–149.
Sharkasi A, Crane M, Ruskin HJ, Matos JA (2006) The reaction of stock markets to crashes and events: A comparison study between emerging and mature markets using wavelet transforms. Physica A: Statistical Mechanics and its Applications 368:511–521.
Statman M (1987) How many stocks make a diversified portfolio? Journal of Financial and Quantitative Analysis 22:353–363.
- Yang R, Berger JO (1994) Estimation of a covariance matrix using the reference prior. Ann Statist 1195–1211.
Paper not yet in RePEc: Add citation now
Yeung D, Pellizzari P, Bird R, Abidin S, et al (2012) Diversification versus concentration.. and the Winner is? Technical report.