Most significant research articles for practical investors with research perspectivesMulti asset option...
Make me a metasequence
Canadian citizen, on US no-fly list. What can I do in order to be allowed on flights which go through US airspace?
What is this waxed root vegetable?
Is there a math equivalent to the conditional ternary operator?
What are all the squawk codes?
Skis versus snow shoes - when to choose which for travelling the backcountry?
How do you say "powers of ten"?
Wiring up text parts
What could trigger powerful quakes on icy world?
Are paired adjectives bad style?
How can I handle a player who pre-plans arguments about my rulings on RAW?
I encountered my boss during an on-site interview at another company. Should I bring it up when seeing him next time?
What is a term for a function that when called repeatedly, has the same effect as calling once?
What does 'acting greedily' mean?
Can I become debt free or should I file for bankruptcy? How do I manage my debt and finances?
Filling in Area Under Curve Causes Alignment Issues
How to deal with being jealous of your own players?
Plagiarism of code by other PhD student
Can we carry rice to Japan?
All possible A of Ax=b with constraints on A
How to lift/raise/repair a segment of concrete slab?
Conditional expectation of uniform random variable given order statistics
What is knowledge and vision?
If a set is open, does that imply that it has no boundary points?
Most significant research articles for practical investors with research perspectives
Multi asset option portfolio risk management (greeks and FX exposure)Electricity market : how to design an optimal hedging strategy using spot and futures markets for an industrial consumer?What are the canonical books for statistics applied to finance?What does an optimized portfolio really tell us?what would be the most parsimonous sequence of study?Is a linear hedge sufficient for most purposes?Why did Markowitz not derive an equation for the efficient frontier?Dmat argument in solve.QP R function: Cov or 2*Cov?Reference request for arbitrage pricing with martingale theoryValue-at-Risk for a portfolio model with Gearing
$begingroup$
I am an applied mathematician and recently I have decided to study the portfolio management theory. As a final objective, I want to manage my own portfolio and to try make some money on it using my mathematical background. But at the same time, I would like to have a general understanding of this field to be able to contribute at some stage.
In this connection, I would like to ask for the most significant research articles that are worth reading. I have already started with the great work (Markowitz, 1952) where the foundations of the modern portfolio theory were established and the next article in my list is (Sharpe, 1964) for the foundations of CAPM.
I already have some background in mathematical finance. At the university I had an course on financial mathematics where I had an assignment on pricing and hedging of European rainbow options using discrete-time models. But for me this remained disconnected from the real world.
portfolio-management modern-portfolio-theory reference-request asset-pricing
asked 21 hours ago
AppliquéAppliqué
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
add a comment |
$begingroup$
I am an applied mathematician and recently I have decided to study the portfolio management theory. As a final objective, I want to manage my own portfolio and to try make some money on it using my mathematical background. But at the same time, I would like to have a general understanding of this field to be able to contribute at some stage.
In this connection, I would like to ask for the most significant research articles that are worth reading. I have already started with the great work (Markowitz, 1952) where the foundations of the modern portfolio theory were established and the next article in my list is (Sharpe, 1964) for the foundations of CAPM.
I already have some background in mathematical finance. At the university I had an course on financial mathematics where I had an assignment on pricing and hedging of European rainbow options using discrete-time models. But for me this remained disconnected from the real world.
portfolio-management modern-portfolio-theory reference-request asset-pricing
asked 21 hours ago
AppliquéAppliqué
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
2
$begingroup$
Maybe not a perfectly related paper, but Cochrane (2006) The dog that did not bark: A Defense of Return Predictability, is one of the few papers which emphasizes the "econ-" in econometrics the most: The absence of certain effects (dividend predictability) can be exploited to get a more precise estimator for other effects (return predictability). The described approach may be interesting to develop tests for certain strategies.
$endgroup$
– skoestlmeier
7 hours ago
add a comment |
$begingroup$
I am an applied mathematician and recently I have decided to study the portfolio management theory. As a final objective, I want to manage my own portfolio and to try make some money on it using my mathematical background. But at the same time, I would like to have a general understanding of this field to be able to contribute at some stage.
In this connection, I would like to ask for the most significant research articles that are worth reading. I have already started with the great work (Markowitz, 1952) where the foundations of the modern portfolio theory were established and the next article in my list is (Sharpe, 1964) for the foundations of CAPM.
I already have some background in mathematical finance. At the university I had an course on financial mathematics where I had an assignment on pricing and hedging of European rainbow options using discrete-time models. But for me this remained disconnected from the real world.
portfolio-management modern-portfolio-theory reference-request asset-pricing
asked 21 hours ago
AppliquéAppliqué
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
I am an applied mathematician and recently I have decided to study the portfolio management theory. As a final objective, I want to manage my own portfolio and to try make some money on it using my mathematical background. But at the same time, I would like to have a general understanding of this field to be able to contribute at some stage.
In this connection, I would like to ask for the most significant research articles that are worth reading. I have already started with the great work (Markowitz, 1952) where the foundations of the modern portfolio theory were established and the next article in my list is (Sharpe, 1964) for the foundations of CAPM.
I already have some background in mathematical finance. At the university I had an course on financial mathematics where I had an assignment on pricing and hedging of European rainbow options using discrete-time models. But for me this remained disconnected from the real world.
portfolio-management modern-portfolio-theory reference-request asset-pricing
portfolio-management modern-portfolio-theory reference-request asset-pricing
asked 21 hours ago
AppliquéAppliqué
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 21 hours ago
AppliquéAppliqué
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 21 hours ago
AppliquéAppliqué
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 21 hours ago
AppliquéAppliqué
1214
asked 21 hours ago
AppliquéAppliqué
1214
1214
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Appliqué is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
2
$begingroup$
Maybe not a perfectly related paper, but Cochrane (2006) The dog that did not bark: A Defense of Return Predictability, is one of the few papers which emphasizes the "econ-" in econometrics the most: The absence of certain effects (dividend predictability) can be exploited to get a more precise estimator for other effects (return predictability). The described approach may be interesting to develop tests for certain strategies.
$endgroup$
– skoestlmeier
7 hours ago
add a comment |
2
$begingroup$
Maybe not a perfectly related paper, but Cochrane (2006) The dog that did not bark: A Defense of Return Predictability, is one of the few papers which emphasizes the "econ-" in econometrics the most: The absence of certain effects (dividend predictability) can be exploited to get a more precise estimator for other effects (return predictability). The described approach may be interesting to develop tests for certain strategies.
$endgroup$
– skoestlmeier
7 hours ago
2
2
$begingroup$
Maybe not a perfectly related paper, but Cochrane (2006) The dog that did not bark: A Defense of Return Predictability, is one of the few papers which emphasizes the "econ-" in econometrics the most: The absence of certain effects (dividend predictability) can be exploited to get a more precise estimator for other effects (return predictability). The described approach may be interesting to develop tests for certain strategies.
$endgroup$
– skoestlmeier
7 hours ago
$begingroup$
Maybe not a perfectly related paper, but Cochrane (2006) The dog that did not bark: A Defense of Return Predictability, is one of the few papers which emphasizes the "econ-" in econometrics the most: The absence of certain effects (dividend predictability) can be exploited to get a more precise estimator for other effects (return predictability). The described approach may be interesting to develop tests for certain strategies.
$endgroup$
– skoestlmeier
7 hours ago
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work.
Here are a few more recent articles about portfolio theory, in no particular order (all accessible online):
Jorion: Bayes-Stein Estimation for Portfolio Analysis, JFQA, 1986
Ledoit, Wolf: Honey, I Shrunk the Sample Covariance Matrix, 2003
DeMiguel, Garlappi, Uppal: Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, RFS, 2009
Fama, French: A Five-Factor Asset Pricing Model, 2014
Maillard, Roncalli, Teiletche: On the properties of equally-weighted risk contributions portfolios, 2009
He, Litterman: The Intuition Behind Black-Litterman Model Portfolios, GS, December 1999
Hurst, Johnson, Ooi: Undertanding Risk Parity, AQR Capital Management, Fall 2010
answered 20 hours ago
Alex CAlex C
6,31911023
$endgroup$
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "204"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: false,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: null,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Appliqué is a new contributor. Be nice, and check out our Code of Conduct.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fquant.stackexchange.com%2fquestions%2f44419%2fmost-significant-research-articles-for-practical-investors-with-research-perspec%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work.
Here are a few more recent articles about portfolio theory, in no particular order (all accessible online):
Jorion: Bayes-Stein Estimation for Portfolio Analysis, JFQA, 1986
Ledoit, Wolf: Honey, I Shrunk the Sample Covariance Matrix, 2003
DeMiguel, Garlappi, Uppal: Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, RFS, 2009
Fama, French: A Five-Factor Asset Pricing Model, 2014
Maillard, Roncalli, Teiletche: On the properties of equally-weighted risk contributions portfolios, 2009
He, Litterman: The Intuition Behind Black-Litterman Model Portfolios, GS, December 1999
Hurst, Johnson, Ooi: Undertanding Risk Parity, AQR Capital Management, Fall 2010
answered 20 hours ago
Alex CAlex C
6,31911023
$endgroup$
add a comment |
$begingroup$
A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work.
Here are a few more recent articles about portfolio theory, in no particular order (all accessible online):
Jorion: Bayes-Stein Estimation for Portfolio Analysis, JFQA, 1986
Ledoit, Wolf: Honey, I Shrunk the Sample Covariance Matrix, 2003
DeMiguel, Garlappi, Uppal: Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, RFS, 2009
Fama, French: A Five-Factor Asset Pricing Model, 2014
Maillard, Roncalli, Teiletche: On the properties of equally-weighted risk contributions portfolios, 2009
He, Litterman: The Intuition Behind Black-Litterman Model Portfolios, GS, December 1999
Hurst, Johnson, Ooi: Undertanding Risk Parity, AQR Capital Management, Fall 2010
answered 20 hours ago
Alex CAlex C
6,31911023
$endgroup$
add a comment |
$begingroup$
A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work.
Here are a few more recent articles about portfolio theory, in no particular order (all accessible online):
Jorion: Bayes-Stein Estimation for Portfolio Analysis, JFQA, 1986
Ledoit, Wolf: Honey, I Shrunk the Sample Covariance Matrix, 2003
DeMiguel, Garlappi, Uppal: Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, RFS, 2009
Fama, French: A Five-Factor Asset Pricing Model, 2014
Maillard, Roncalli, Teiletche: On the properties of equally-weighted risk contributions portfolios, 2009
He, Litterman: The Intuition Behind Black-Litterman Model Portfolios, GS, December 1999
Hurst, Johnson, Ooi: Undertanding Risk Parity, AQR Capital Management, Fall 2010
answered 20 hours ago
Alex CAlex C
6,31911023
$endgroup$
A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work.
Here are a few more recent articles about portfolio theory, in no particular order (all accessible online):
Jorion: Bayes-Stein Estimation for Portfolio Analysis, JFQA, 1986
Ledoit, Wolf: Honey, I Shrunk the Sample Covariance Matrix, 2003
DeMiguel, Garlappi, Uppal: Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, RFS, 2009
Fama, French: A Five-Factor Asset Pricing Model, 2014
Maillard, Roncalli, Teiletche: On the properties of equally-weighted risk contributions portfolios, 2009
He, Litterman: The Intuition Behind Black-Litterman Model Portfolios, GS, December 1999
Hurst, Johnson, Ooi: Undertanding Risk Parity, AQR Capital Management, Fall 2010
answered 20 hours ago
Alex CAlex C
6,31911023
edited 20 hours ago
answered 20 hours ago
Alex CAlex C
6,31911023
answered 20 hours ago
Alex CAlex C
6,31911023
answered 20 hours ago
Alex CAlex C
6,31911023
6,31911023
add a comment |
add a comment |
Appliqué is a new contributor. Be nice, and check out our Code of Conduct.
Appliqué is a new contributor. Be nice, and check out our Code of Conduct.
Appliqué is a new contributor. Be nice, and check out our Code of Conduct.
Appliqué is a new contributor. Be nice, and check out our Code of Conduct.
Thanks for contributing an answer to Quantitative Finance Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fquant.stackexchange.com%2fquestions%2f44419%2fmost-significant-research-articles-for-practical-investors-with-research-perspec%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
2
$begingroup$
Maybe not a perfectly related paper, but Cochrane (2006) The dog that did not bark: A Defense of Return Predictability, is one of the few papers which emphasizes the "econ-" in econometrics the most: The absence of certain effects (dividend predictability) can be exploited to get a more precise estimator for other effects (return predictability). The described approach may be interesting to develop tests for certain strategies.
$endgroup$
– skoestlmeier
7 hours ago