References
Aronson, D. (2007). Evidence-Based Technical
Analysis. Wiley.
Black, F. & Litterman, R. (1991). Asset
allocation. Journal of Fixed Income,
1, 7–18.
———. (1992). Global portfolio optimization.
Financial Analysts Journal, 48, 28–43.
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.
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
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
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.
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.
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.
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
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
Onnela, J. P., Kaski, K., & Kertész, J. (2004). Clustering and information in correlation based financial
networks. European Physical Journal B,
38, 353–362.
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.
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
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