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Reappraise the Maximum-Sharpe Portfolio

https://doi.org/10.2139/ssrn.3497169
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What this work says

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

inferredcites →https://doi.org/10.1007/978-1-4612-0919-5_30openalex-extracted
Estimation with Quadratic Loss
inferredcites →https://doi.org/10.1007/s10959-010-0338-zopenalex-extracted
How Close is the Sample Covariance Matrix to the Actual Covariance Matrix?
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/j.ejor.2020.11.052openalex-extracted
Parameter-free robust optimization for the maximum-Sharpe portfolio problem
inferredcites →https://doi.org/10.1073/pnas.0904287106openalex-extracted
Sparse and stable Markowitz portfolios
inferredcites →https://doi.org/10.1080/01621459.2012.682825openalex-extracted
Vast Portfolio Selection With Gross-Exposure Constraints
inferredcites →https://doi.org/10.1086/295508openalex-extracted
How to Use Security Analysis to Improve Portfolio Selection
inferredcites →https://doi.org/10.1093/rfs/4.2.315openalex-extracted
On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-extracted
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1111/0022-1082.00074openalex-extracted
On the Inverse of the Covariance Matrix in Portfolio Analysis
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted
The Cross-Section of Expected Stock Returns
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/mnsc.2016.2644openalex-extracted
Machine Learning and Portfolio Optimization
inferredcites →https://doi.org/10.1287/opre.2017.1699openalex-extracted
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
inferredcites →https://doi.org/10.1287/opre.2019.1858openalex-extracted
Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
inferredcites →https://doi.org/10.2139/ssrn.2387669openalex-extracted
The Markowitz Optimization Enigma: Is 'Optimized' Optimal?
inferredcites →https://doi.org/10.2307/2329621openalex-extracted
An Analytic Derivation of the Efficient Portfolio Frontier
inferredcites →https://doi.org/10.2307/2331042openalex-extracted
Bayes-Stein Estimation for Portfolio Analysis
inferredcites →https://doi.org/10.2307/2331043openalex-extracted
An Empirical Bayes Approach to Efficient Portfolio Selection
inferredcites →https://doi.org/10.2307/2977928openalex-extracted
inferredcites →https://doi.org/10.2469/faj.v45.n1.31openalex-extracted
The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
inferredcites →https://doi.org/10.2469/faj.v48.n5.28openalex-extracted
Global Portfolio Optimization
inferredcites →https://doi.org/10.3386/w0444openalex-extracted
On Estimating the Expected Return on the Market: An Exploratory Investigation
inferredcites →https://doi.org/10.3905/jpm.1981.408816openalex-extracted
Putting Markowitz theory to work
inferredcites →https://doi.org/10.3905/jpm.1988.409181openalex-extracted
For better performance
inferredcites →https://doi.org/10.3905/jpm.1993.409440openalex-extracted
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
inferredcites →https://doi.org/10.3905/jpm.1994.409501openalex-extracted
The Sharpe Ratio
inferredcites →https://doi.org/10.3905/jpm.2009.35.2.071openalex-extracted
Markowitz Versus the Talmudic Portfolio Diversification Strategies
inferredcites →https://doi.org/10.1111/1540-6261.00580openalex-snapshot
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

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inferred← citeshttps://doi.org/10.2139/ssrn.3991393openalex-extracted
Leveraging Latent Factors Using the Equally Weighted Portfolio
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