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Consistency Regions and Frontiers: Using Density Forecasting to Find Consistent Portfolios

https://doi.org/10.2139/ssrn.2518950
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35/35 checkable references clean · checked 2026-08-07

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 35 checked references that resolve
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Data-generating process uncertainty: What difference does it make in portfolio decisions?
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Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances
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Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970–1996
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A Shrinkage Approach to Model Uncertainty and Asset Allocation
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Shrinking the Covariance Matrix
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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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Evaluating Density Forecasts with Applications to Financial Risk Management
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Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
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Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation*
resolves10.1002/for.1023
Comparing density forecast models
resolves10.1198/07350010152596718
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A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
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Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
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The Statistics of Sharpe Ratios
resolves10.1016/j.jempfin.2008.03.002
Robust performance hypothesis testing with the Sharpe ratio
The 1 reference without a DOI — listed, not checked
no DOI — not checkedEstimation with quadratic loss
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