On the public citation graph

Any Role for Mean Reversion in Short Term Asset Allocation?

https://doi.org/10.2139/ssrn.1343705
0 signed · 28 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(80)90007-0openalex-extracted
On estimating the expected return on the market
inferredcites →https://doi.org/10.1016/s0047-259x(03)00096-4openalex-extracted
A well-conditioned estimator for large-dimensional covariance matrices
inferredcites →https://doi.org/10.1080/01621459.1980.10477507openalex-extracted
Estimation for Markowitz Efficient Portfolios
inferredcites →https://doi.org/10.1086/296296openalex-extracted
International Portfolio Diversification with Estimation Risk
inferredcites →https://doi.org/10.1093/rfs/13.4.883openalex-extracted
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
inferredcites →https://doi.org/10.1093/rfs/hhl003openalex-extracted
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
inferredcites →https://doi.org/10.1111/0022-1082.00204openalex-extracted
Portfolio Selection and Asset Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb04891.xopenalex-extracted
Performance Hypothesis Testing with the Sharpe and Treynor Measures
inferredcites →https://doi.org/10.1142/9789814578059_0015openalex-extracted
Factor Estimation: Filtering and Black-Litterman
inferredcites →https://doi.org/10.1287/mnsc.1080.0986openalex-extracted
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
inferredcites →https://doi.org/10.1287/moor.28.1.1.14260openalex-extracted
Robust Portfolio Selection Problems
inferredcites →https://doi.org/10.2139/ssrn.2387669openalex-extracted
The Markowitz Optimization Enigma: Is 'Optimized' Optimal?
inferredcites →https://doi.org/10.2139/ssrn.433840openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.671981openalex-extracted
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
inferredcites →https://doi.org/10.2139/ssrn.985038openalex-extracted
Robust Performance Hypothesis Testing with the Sharpe Ratio
inferredcites →https://doi.org/10.2143/ast.30.1.504632openalex-extracted
Portfolio Optimization
inferredcites →https://doi.org/10.2307/2327477openalex-extracted
Estimation Risk and Optimal Portfolio Choice.
inferredcites →https://doi.org/10.2307/2331042openalex-extracted
Bayes-Stein Estimation for Portfolio Analysis
inferredcites →https://doi.org/10.2307/2331138openalex-extracted
Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns
inferredcites →https://doi.org/10.2469/faj.v45.n1.31openalex-extracted
The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
inferredcites →https://doi.org/10.3386/w0444openalex-extracted
On Estimating the Expected Return on the Market: An Exploratory Investigation
inferredcites →https://doi.org/10.3386/w7284openalex-extracted
Comparing Asset Pricing Models: An Investment Perspective
inferredcites →https://doi.org/10.3386/w8922openalex-extracted
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.3905/joi.2.3.51openalex-extracted
Improving Optimization
inferredcites →https://doi.org/10.1016/s0304-405x(00)00044-1openalex-snapshot
Comparing asset pricing models: an investment perspective
inferredcites →https://doi.org/10.1093/rfs/12.5.937openalex-snapshot
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
inferredcites →https://doi.org/10.2139/ssrn.1693837openalex-snapshot
Robust Performance Hypothesis Testing with the Variance
inferredcites →https://doi.org/10.3905/jpm.2004.110openalex-snapshot
Honey, I Shrunk the Sample Covariance Matrix
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.