Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
Published Online:26 Jun 2019https://doi.org/10.1287/opre.2019.1858
References
- (1992) Global portfolio optimization. Financial Anal. J. 48(5):28–43.Crossref, Google Scholar
- (2009) Sparse and stable Markowitz portfolios. Proc. Natl. Acad. Sci. USA 106(30):12267–12272.Crossref, Google Scholar
- (1974) The ANOVA and multiple comparisons for data with heterogeneous variances. Biometrics 30(4):719–724.Crossref, Google Scholar
- (2006) Graph mining: Laws, generators, and algorithms. ACM Comput. Survey 38(1):2.Crossref, Google Scholar
- (1993) The effect of errors in means, variances, and covariances on optimal portfolio choice. J. Portfolio Management 19(2):249–257.Crossref, Google Scholar
- (1981) A comparative study of tests for homogeneity of variances, with applications to the outer continental shelf bidding data. Technometrics 23(4):351–361.Crossref, Google Scholar
- (2009) Portfolio selection with robust estimation. Oper. Res. 57(3):560–577.Link, Google Scholar
- (2009a) Optimal vs. naïve diversification: How inefficient is the 1/n portfolio strategy? Rev. Financial Stud. 22(5):1915–1953.Crossref, Google Scholar
- (2009b) A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Sci. 55(5):798–812.Link, Google Scholar
- (2013a) Size matters: Optimal calibration of shrinkage estimators for portfolio selection. J. Bank. Finance 37(8):3018–3034.Crossref, Google Scholar
- (2013b) Improving portfolio selection using option-implied volatility and skewness. J. Financial Quant. Anal. 48(6):1813–1845.Crossref, Google Scholar
- (2009) Markowitz vs. the Talmudic portfolio diversification strategies. J. Portfolio Management 35(2):71–74.Crossref, Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Google Scholar
- (2012) Vast portfolio selection with gross-exposure constraints. J. Amer. Statist. Assoc. 107(498):592–606.Crossref, Google Scholar
- (2010) Dominating estimators for minimum-variance portfolios. J. Econometrics 159(2):289–302.Crossref, Google Scholar
- (1986) An empirical Bayes approach to efficient portfolio selection. J. Financial Quant. Anal. 21(3):293–305.Crossref, Google Scholar
- (1988) For better performance: Constrain portfolio weights. J. Portfolio Management 15(1):29–34.Crossref, Google Scholar
- (2011) On the role of norm constraints in portfolio selection. Comput. Management Sci. 8(4):323–353.Crossref, Google Scholar
- (1992) When will mean-variance efficient portfolios be well diversified? J. Finance 47(5):1785–1809.Crossref, Google Scholar
- (2006) Realized variance and market microstructure noise. J. Bus. Econom. Statist. 24(2):127–161.Crossref, Google Scholar
- (2003) Risk reduction in large portfolios: Why imposing the wrong constraints helps. J. Finance 58(4):1651–1684.Crossref, Google Scholar
- (1980) Estimation for Markowitz efficient portfolios. J. Amer. Statist. Assoc. 75(371):544–554.Crossref, Google Scholar
- (1981) Putting Markowitz theory to work. J. Portfolio Management 7(4):70–74.Crossref, Google Scholar
- (1986) Bayes-Stein estimation for portfolio analysis. J. Financial Quant. Anal. 21(3):279–292.Crossref, Google Scholar
- (1999) Noise dressing of financial correlation matrices. Phys. Rev. Lett. 83(7):1467.Crossref, Google Scholar
- (2000) Random matrix theory and financial correlations. Internat. J. Theor. Appl. Finance 3(3):391–397.Crossref, Google Scholar
- (2001) Portfolio risk minimization under departures from normality. PhD thesis, Massachusetts Institute of Technology, Cambridge.Google Scholar
- (2003) Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J. Empirical Finance 10(5):603–621.Crossref, Google Scholar
- (2004) A well-conditioned estimator for large-dimensional covariance matrices. J. Multivariate Anal. 88(2):365–411.Crossref, Google Scholar
- (2008) Robust performance hypothesis testing with the Sharpe ratio. J. Empirical Finance 15(5):850–859.Crossref, Google Scholar
- (2012) Nonlinear shrinkage estimation of large-dimensional covariance matrices. Ann. Statist. 40(2):1024–1060.Crossref, Google Scholar
- (2017) Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. Rev. Financial Stud. 30(12):4349–4388.Crossref, Google Scholar
- (1960) Robust tests for equality of variances. Olkin I, Ghurye SG, Hoeffding W, Madow WG, Mann HB, eds. Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling (Stanford University Press, Stanford, CA), 278–292.Google Scholar
- (1996) A comparison of tests of equality of variances. Comput. Statist. Data Anal. 22(3):287–301.Crossref, Google Scholar
- (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
- (1980) On estimating the expected return on the market: An exploratory investigation. J. Financial Econom. 8(4):323–361.Crossref, Google Scholar
- (1989) The Markowitz optimization enigma: Is ‘optimized’ optimal? Financial Anal. J. 45(1):31–42.Crossref, Google Scholar
- (2002) On the eigenvalue power law. Internat. Workshop Randomization Approximation Techniques Comput. Sci. (Springer, Berlin), 254–262.Google Scholar
- (2018) Technical note: A robust perspective on transaction costs in portfolio optimization. Oper. Res. 66(3):733–739.Link, Google Scholar
- (2002) Random matrix approach to cross correlations in financial data. Phys. Rev. E 65(6):066126.Crossref, Google Scholar
- (2011) Markowitz meets Talmud: A combination of sophisticated and naïve diversification strategies. J. Financial Econom. 99(1):204–215.Crossref, Google Scholar
- (2011) How close is the sample covariance matrix to the actual covariance matrix? J. Theoret. Probab. 25(3):655–686.Crossref, Google Scholar
- (2007) Application of robust statistics to asset allocation models. REVSTAT 5(1):97–114.Google Scholar
- (2015) A useful variant of the Davis-Kahan theorem for statisticians. Biometrika 102(2):315–323.Crossref, Google Scholar

