References
Aronson, D. (2007). Evidence-Based Technical
Analysis. Wiley.
Ayyala, D. N. (2020). High-dimensional statistical
inference: Theoretical development to data analytics. In A. S. R.
S. Rao & C. R. Rao (Eds.), Handbook of
Statistics (pp. 289–335). Elsevier.
Bailey, D. (2013). An open-source implementation of
the critical-line algorithm for portfolio optimization.
Algorithms, 6, 169–196. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2197616
Bax, K., Taufer, E., & Paterlini, S. (2022). A
generalized precision matrix for t-Student distributions in portfolio
optimization. https://arxiv.org/abs/2203.13740
Bessembinder, H. & Chan, K. (1998). Market
efficiency and the returns to technical analysis. Financial
Management, 27, 5–17. https://www.jstor.org/stable/3666289
Black, F. & Litterman, R. (1991). Asset
allocation. Journal of Fixed Income,
1, 7–18.
———. (1992). Global portfolio optimization.
Financial Analysts Journal, 48, 28–43.
Bodnar, T., Mazur, S., & Podgórski, K. (2016). Singular inverse Wishart distribution and its application
to portfolio theory. Journal of Multivariate Analysis,
143, 314–326. https://www.sciencedirect.com/science/article/pii/S0047259X15002353
Bodnar, T. & Schmid, W. (2011). On the exact
distribution of the estimated expected utility portfolio weights: Theory
and applications. Statistics & Risk Modeling,
28, 319–342.
Boyd, S. & Vandenberghe, L. (2004). Convex
Optimization. Cambridge University Press. https://web.stanford.edu/~boyd/cvxbook/
Brinson, G. P., Hood, L. R., & Beebower, G. L. (1986). Determinants of portfolio performance.
Financial Analysts Journal, 42, 39–44.
Brinson, G. P., Singer, B. D., & Beebower, G. L. (1991). Determinants of portfolio performance II: An
update. Financial Analysts Journal,
47, 40–48.
Cass, D. & Stiglitz, J. E. (1970). The
structure of investor preferences and asset returns, and separability in
portfolio allocation: A contribution to the pure theory of mutual
funds. Journal of Economic Theory,
2.
Chamberlain, G. (1983). A characterization of the
distributions that imply mean-variance utility functions.
Journal of Economic Theory, 29, 185–201.
Chan, T. F., Golub, G. H., & LeVeque, R. J. (1979). Updating formulae and a pairwise algorithm for computing
sample variances. Stanford University. Technical
Report STAN-CS-79-773. http://infolab.stanford.edu/pub/cstr/reports/cs/tr/79/773/CS-TR-79-773.pdf
Coqueret, G. & Milhau, V. (2014). Estimating
covariance matrices for portfolio optimization. https://web.archive.org/web/20230928050136/https://www.gcoqueret.com/files/Estim_cov.pdf
Das, S. (2016). Data Science: Theories, Models,
Algorithms, and Analytics. http://srdas.github.io/Papers/DSA_Book.pdf
Dutta, S. & Jain, S. (2023). Precision versus
shrinkage: A comparative analysis of covariance estimation methods for
portfolio allocation. https://arxiv.org/abs/2305.11298
Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N.
(2014). Modern Portfolio Theory and Investment
Analysis (9th ed.). Wiley.
Fama, E. F. (1970). Efficient capital markets: A
review of theory and empirical work. Journal of Finance,
25, 383–417. http://www.e-m-h.org/Fama70.pdf
Fama, E. F. & French, K. R. (1992). The
cross-section of expected stock returns. Journal of
Finance, 47, 427. https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1992.tb04398.x
Fan, J., Liao, Y., & Liu, H. (2015). An
overview on the estimation of large covariance and precision
matrices. https://arxiv.org/abs/1504.02995
Finch, T. (2009). Incremental calculation of
weighted mean and variance. https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=5f77d0594f66e49cc0e8c2b8177ead33b7137183
Galloway, M. (2019). Shrinking characteristics of
precision matrix estimators: An illustration via regression. https://mattxgalloway.com/oral_manuscript/
Gibbons, M., Ross, S., & Shanken, J. (1989). A
test of the efficiency of a given portfolio.
Econometrica, 57, 1121–1152. https://www.jstor.org/stable/1913625
Graham, B. (2003). The Intellegent Investor,
Revised ed. Harper. (Originally published in
1949).
Hood, R. L. (2005). Determinants of portfolio
performance: 20 years later. Financial Analysts Journal,
61, 6–8.
Hudson & Thames. (2024). The Modern Guide to
Portfolio Optimization. https://github.com/hudson-and-thames/guide_to_modern_portfolio_optimization
Jagannathan, R. & Ma, T. (2003). Risk reduction
in large portfolios: Why imposing the wrong constraints helps.
Journal of Finance, 58, 1651–1683. https://www.jstor.org/stable/3648224
Jensen, M. (1968). The performance of mutual funds
in the period 1945-1964. Journal of Finance,
23, 389–416. https://www.jstor.org/stable/2325404
Karatzas, I., Lehoczky, J. P., Sethi, S. P., & Shreve, S. (1986).
Explicit solution of a general
consumption/investment problem. Mathematics of Operations
Research, 11, 261–294. https://www.jstor.org/stable/3689808
Kelly, J. L. (1956). A new interpretation of
information rate. Bell System Technical Journal,
35, 917–926. https://www.princeton.edu/~wbialek/rome/refs/kelly_56.pdf
Kwok, Y. K. (2017). Lecture notes: Fundamentals of
Mathematical Finance. https://www.math.hkust.edu.hk/~maykwok/MATH4512.htm
Ledoit, O. & Wolf, M. (2001). Honey, I shrunk
the sample covariance matrix. http://www.ledoit.net/honey.pdf
———. (2003). Improved estimation of the covariance
matrix of stock returns with an application to portfolio
selection. Journal of Empirical Finance,
10, 603–621. http://www.ledoit.net/ole2.pdf
Levy, H. & Markowitz, H. M. (1979). Approximating expected utility by a function of mean and
variance. American Economic Review,
69, 308–317.
Ling, R. F. (1974). Comparison of several
algorithms for computing sample means and variances. Journal
of the American Statistical Association, 69,
859–866.
Lo, A. W. (2002). The statistics of Sharpe
ratios. Financial Analysts Journal,
58, 36–52. https://www.jstor.org/stable/4480405
Lohre, H., Rother, C., & Schäfer, K. A. (2020). Hierarchical Risk Parity: Accounting for tail
dependencies in multi-asset multi-factor allocations. In E.
Jurczenko (Ed.), Machine Learning and Asset
Management (pp. 332–368). Iste and Wiley. https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3513399
López de Prado, M. (2016). Building diversified
portfolios that outperform out-of-sample. Journal of
Portfolio Management. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2708678
———. (2018). Advances in Financial Machine
Learning. Wiley.
Luenberger, D. G. (1998). Investment Science.
Oxford University Press.
Mantegna, R. N. (1998). Hierarchical structure in
financial markets. https://arxiv.org/abs/cond-mat/9802256
Markowitz, H. M. (1952). Portfolio
selection. Journal of Finance, 7,
77–91. https://www.jstor.org/stable/2975974
———. (1956). The optimization of a quadratic
function subject to linear constraints. Naval Research
Logistics Quarterly, 3, 111–133.
———. (1959). Portfolio Selection: Efficient
Diversification of Investments. Wiley.
———. (1990). Nobel lecture: Foundations of
portfolio theory. https://www.nobelprize.org/uploads/2018/06/markowitz-lecture.pdf
———. (2005). Market efficiency: A theoretical
distinction and so what? Financial Analysts Journal,
61, 17–30.
Markowitz, H. M., Starer, D., Fram, H., & Gerber, S. (2019). Avoiding the downside: A practical review of the Critical
Line Algorithm for mean-semivariance portfolio optimization. https://www.hudsonbaycapital.com/documents/FG/hudsonbay/research/599440_paper.pdf
Marsaglia, G. (1964). Conditional means and
covariances of normal variables with singular covariance matrix.
Journal of the American Statistical Association,
59, 1203–1204.
Meng, X. (2015). Simpler online updates for
arbitrary-order central moments. https://arxiv.org/abs/1510.04923
Merton, R. C. (1969). Lifetime portfolio selection
under uncertainty: The continuous-time case. Review of
Economics and Statistics, 51, 247–257. https://www.jstor.org/stable/1926560
———. (1972). An analytic derivation of the
efficient portfolio frontier. Journal of Financial and
Quantitative Analysis, 7, 1851–1872. https://www.jstor.org/stable/2329621
Neely, P. M. (1966). Comparison of several
algorithms for computation of means, standard deviations and correlation
coefficients. Communications of the ACM,
9, 496–499. https://dl.acm.org/doi/pdf/10.1145/365719.365958
Onnela, J. P., Kaski, K., & Kertész, J. (2004). Clustering and information in correlation based financial
networks. European Physical Journal B,
38, 353–362. https://link.springer.com/article/10.1140/epjb/e2004-00128-7
Onnela, J.P. et al. (2003). Dynamics of market
correlations: Taxonomy and portfolio analysis. http://arXiv.org/abs/cond-mat/0302546v1
Owen, J. & Rabinovitch, R. (1983). On the class
of elliptical distributions and their applications to the theory of
portfolio choice. Journal of Finance,
38, 745–752.
Pébay, P. (2008). Formulas for robust, one-pass
parallel computation of covariances and arbitrary-order statistical
moments. Sandia National Laboratories. Technical
Report SAND2008-6212. https://www.osti.gov/servlets/purl/1028931
Pébay, P., Terriberry, T. B., Kolla, H., & Bennett, J. (2016). Numerically stable, scalable formulas for parallel and
online computation of higher-order multivariate central moments with
arbitrary weights. Computational Statistics,
31, 1305–1325. https://link.springer.com/article/10.1007/s00180-015-0637-z
Raffinot, T. (2018a). Hierarchical clustering-based
asset allocation. Journal of Portfolio Management,
44, 89–99. https://www.proquest.com/docview/2196551795
———. (2018b). The hierarchical equal risk
contribution portfolio. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3237540
Rockafellar, R. T. & Uryasev, S. (2000). Optimization of conditional value-at-risk.
Journal of Risk, 2, 21–42. https://sites.math.washington.edu/~rtr/papers/rtr179-CVaR1.pdf
Rom, B. M. & Ferguson, K. (1993). Post-modern
portfolio theory comes of age. Journal of Investing.
Winter 1993.
Roy, A. D. (1952). Safety first and the holding of
assets. Econometrica, 20, 431–449.
https://www.jstor.org/stable/1907413
Schubert, E. & Gertz, M. (2018). Numerically
stable parallel computation of (co-)variance. Proceedings of
the 30th International Conference on Scientific and Statistical Database
Management, SSDBM18.
Sharpe, W. F. (1963). A simplified model for
portfolio analysis. Management Science,
9, 277–293.
———. (1964). Capital asset prices: A theory of
market equilibrium under conditions of risk. Journal of
Finance, 19, 425–442.
———. (1990). Nobel lecture: Capital asset prices
with and without negative holdings. https://www.nobelprize.org/uploads/2018/06/sharpe-lecture.pdf
———. (1999). Portfolio Theory and Capital
Markets. McGraw-Hill. (Originally published in
1970).
Sortino, F. (2010). The Sortino Framework for
Constructing Portfolios. Elsevier.
Tobin, J. (1958). Liquidity preference as behavior
towards risk. Review of Economic Studies,
25, 65–86. https://doi.org/10.2307/2296205