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~subject:"Portfolio selection"
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Portfolio selection
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Fabozzi, Frank J.
123
Maurer, Raimond
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Platen, Eckhard
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Gollier, Christian
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Korn, Ralf
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Uppal, Raman
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Mitchell, Olivia S.
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Lioui, Abraham
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Lucas, André
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Başak, Suleyman
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Kane, Alex
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Sass, Jörn
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Schmid, Wolfgang
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Wang, Ruodu
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Bernard, Carole
26
Jarrow, Robert A.
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Račev, Svetlozar T.
26
Shleifer, Andrei
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Gouriéroux, Christian
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Ledoit, Olivier
25
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National Bureau of Economic Research
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Institute of Finance and Accounting <London>
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Frank J. Fabozzi Associates <New Hope, Pa.>
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Center for Economic Research <Tilburg>
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
8
Springer Fachmedien Wiesbaden
7
Universität Zürich / Institut für Schweizerisches Bankwesen
7
European University Institute / Department of Law
6
International Center for Financial Asset Management and Engineering
6
Rodney L. White Center for Financial Research
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Association of European Operational Research Societies / Working Group on Financial Modelling
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Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
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Friedrich-Schiller-Universität Jena
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Goethe-Universität Frankfurt am Main
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Judge Institute of Management Studies
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Nationalekonomiska Institutionen <Lund>
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Pensions Institute
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
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Universität Mannheim
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World Bank
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Bonn Graduate School of Economics
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Erasmus Research Institute of Management
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International Association for the Study of Insurance Economics
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Johannes Gutenberg-Universität Mainz
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Martin-Luther-Universität Halle-Wittenberg / Wirtschaftswissenschaftliche Fakultät
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Springer-Verlag GmbH
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The Wharton Financial Institutions Center
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
3
Banco Central do Brasil
2
Bank für Internationalen Zahlungsausgleich
2
Basel Committee on Banking Supervision
2
Birkbeck College / Department of Economics
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Books on Demand GmbH <Norderstedt>
2
Chambre de commerce et d'industrie de Paris
2
Christian-Albrechts-Universität zu Kiel
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European journal of operational research : EJOR
282
Insurance / Mathematics & economics
280
Journal of banking & finance
257
NBER working paper series
240
Finance research letters
205
Working paper / National Bureau of Economic Research, Inc.
193
NBER Working Paper
190
Journal of economic dynamics & control
170
Mathematical finance : an international journal of mathematics, statistics and financial theory
154
Finance and stochastics
153
International journal of theoretical and applied finance
149
Quantitative finance
135
Research paper series / Swiss Finance Institute
123
Journal of empirical finance
107
Journal of financial economics
106
Management science : journal of the Institute for Operations Research and the Management Sciences
106
Risks : open access journal
106
The review of financial studies
106
The journal of portfolio management : a publication of Institutional Investor
104
The journal of finance : the journal of the American Finance Association
96
Economic modelling
88
Discussion paper / Centre for Economic Policy Research
87
Economics letters
83
Swiss Finance Institute Research Paper
83
The European journal of finance
81
The journal of asset management
78
Computational economics
77
International review of economics & finance : IREF
77
International review of financial analysis
74
Mathematics and financial economics
74
Mathematical methods of operations research
68
Discussion paper / Tinbergen Institute
67
Journal of risk and financial management : JRFM
67
The North American journal of economics and finance : a journal of financial economics studies
67
SpringerLink / Bücher
66
Applied economics
64
The journal of portfolio management : JPM
64
Annals of finance
61
Journal of economic theory
61
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ECONIS (ZBW)
19,186
RePEc
1
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1
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
2
Advances in estimating covariance matrices
Menchero, Jose
;
Ji, Lei
- In:
Journal of investment management : JOIM
19
(
2021
)
3
,
pp. 60-80
Persistent link: https://www.econbiz.de/10013041084
Saved in:
3
On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models
Berger, Theo
;
Fieberg, Christian
- In:
Journal of risk finance : the convergence of financial …
17
(
2016
)
3
,
pp. 295-309
Persistent link: https://www.econbiz.de/10011628354
Saved in:
4
An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan
;
Shu, Lianjie
;
Gu, Xinhua
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
Saved in:
5
Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Alves, Rafael P.
;
Brito, Diego S. de
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 696-742
Persistent link: https://www.econbiz.de/10015045177
Saved in:
6
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
7
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
8
Option-implied correlations, factor models, and market risk
Buss, Adrian
;
Schönleber, Lorenzo
;
Vilkov, Grigory
-
2017
Persistent link: https://www.econbiz.de/10011696363
Saved in:
9
Correlation
matrix of equi-correlated normal population : fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market
Akama, Yohji
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014365670
Saved in:
10
Sparse approximate factor estimation for high-dimensional covariance matrices
Daniele, Maurizio
;
Pohlmeier, Winfried
;
Zagidullina, Aygul
-
2020
Persistent link: https://www.econbiz.de/10012317378
Saved in:
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