Optimal Portfolio Choice with Unknown Benchmark Efficiency

References

• Ao M, Li Y, Zheng X (2019) Approaching mean-variance efficiency for large portfolios. Rev. Financial Stud. 32:2890–2919.Crossref, Google Scholar
• Black F, Litterman R (1992) Global portfolio optimization. Financial Anal. J. 48:28–43.Crossref, Google Scholar
• Brandt MW, Santa-Clara P, Valkanov R (2009) Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns. Rev. Financial Stud. 22:3411–3447.Crossref, Google Scholar
• Brown SJ (1976) Optimal portfolio choice under uncertainty. PhD dissertation, University of Chicago, Chicago.Google Scholar
• Carhart M (1997) On persistence in mutual fund performance. J. Finance 52:57–82.Crossref, Google Scholar
• Daniel K, Hirshleifer D, Sun L (2020) Short- and long-horizon behavioral factors. Rev. Financial Stud. 33:1673–1736.Crossref, Google Scholar
• DeMiguel V, Garlappi L, Uppal R (2009) Optimal vs. naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. 22:1915–1953.Crossref, Google Scholar
• DeMiguel V, Martín-Utrera A, Nogales FJ, Uppal R (2020) A transaction-cost perspective on the multitude of firm characteristics. Rev. Financial Stud. 33:2180–2222.Crossref, Google Scholar
• De Nard G, Ledoit O, Wolf M (2021) Factor models for portfolio selection in large dimensions: The good, the better and the ugly. J. Financial Econom. 19:236–257.Crossref, Google Scholar
• Dybvig PH, Ross S (1985) The analytics of performance measurement using a security market line. J. Finance 40:401–416.Crossref, Google Scholar
• Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33:3–56.Crossref, Google Scholar
• Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116:1–22.Crossref, Google Scholar
• Frost PA, Savarino JE (1986) Empirical Bayes approach to efficient portfolio selection. J. Financial Quant. Anal. 21:293–305.Crossref, Google Scholar
• Gibbons M, Ross S, Shanken J (1989) A test of the efficiency of a given portfolio. Econometrica 57:1121–1152.Crossref, Google Scholar
• Green J, Hand JRM, Zhang XF (2017) The characteristics that provide independent information about average U.S. monthly stock returns. Rev. Financial Stud. 30:4389–4436.Crossref, Google Scholar
• Haff LR (1979) An identity for the Wishart distribution with applications. J. Multivariate Anal. 9:531–554.Crossref, Google Scholar
• Hou K, Xue C, Zhang L (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28:650–705.Crossref, Google Scholar
• Jobson JD, Korkie B (1982) Potential performance and tests of portfolio efficiency. J. Financial Econom. 10:433–466.Crossref, Google Scholar
• Jorion P (1986) Bayes-Stein estimation for portfolio analysis. J. Financial Quant. Anal. 21:279–292.Crossref, Google Scholar
• Kan R, Zhou G (2007) Optimal portfolio choice with parameter uncertainty. J. Financial Quant. Anal. 42:621–656.Crossref, Google Scholar
• Kan R, Wang X, Zheng X (2022a) In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models. Working paper, University of Toronto, Toronto, Canada.Google Scholar
• Kan R, Wang X, Zhou G (2022b) Optimal portfolio choice with estimation risk: No risk-free asset case. Management Sci. 68:2047–2068.Link, Google Scholar
• Kubokawa T, Robert CP, MdEhasanes Saleh AK (1993) Estimation of noncentrality parameters. Canadian J. Statist. 21:45–57.Crossref, Google Scholar
• Ledoit O, Wolf M (2004) A well-conditioned estimator for large-dimensional covariance matrices. J. Multivariate Anal. 88:365–411.Crossref, Google Scholar
• Ledoit O, Wolf M (2017) Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. Rev. Financial Stud. 30:4349–4388.Crossref, Google Scholar
• Ledoit O, Wolf M (2020) Analytical nonlinear shrinkage of large-dimensional covariance matrices. Ann. Statist. 48:3043–3065.Crossref, Google Scholar
• Li S, DeMiguel V, Martín-Utrera A (2023) Comparing factor models with price-impact costs? Working paper, London Business School, London, UK.Google Scholar
• Lintner J (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. 47:13–37.Crossref, Google Scholar
• MacKinlay AC, Pástor Ľ (2000) Asset pricing models: Implications for expected returns and portfolio selection. Rev. Financial Stud. 13:883–916.Crossref, Google Scholar
• McLean RD, Pontiff J (2016) Does academic research destroy stock return predictability? J. Finance 71:5–32.Crossref, Google Scholar
• Muirhead RJ (1982) Aspects of Multivariate Statistical Theory (Wiley, New York).Crossref, Google Scholar
• Pástor L’ (2000) Portfolio selection and asset pricing models. J. Finance 55:179–223.Crossref, Google Scholar
• Politis DN, Romano JP (1994) The stationary bootstrap. J. Amer. Statist. Assoc. 89:1303–1313.Crossref, Google Scholar
• Raponi V, Uppal R, Zaffaroni P (2023) Robust portfolio choice. Working paper, University of Navarra, IESE Business School, Spain.Google Scholar
• Sharpe WF (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19:425–442.Google Scholar
• Stambaugh R (1997) Analyzing investments whose histories differ in length. J. Financial Econom. 45:285–331.Crossref, Google Scholar
• Ter Horst J, De Roon FA, Werker BJM (2006) Incorporating estimation risk in portfolio choice. Renneboog L, ed. Advances in Corporate Finance and Asset Pricing (Elsevier, Amsterdam), 449–472.Google Scholar
• Tu J, Zhou G (2011) Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies. J. Financial Econom. 99:204–215.Crossref, Google Scholar