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https://doi.org/10.2139/ssrn.4319598
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/9780470061602.eqf14009openalex-extracted
Black–Litterman Approach
inferredcites →https://doi.org/10.1002/9781119751182.ch1openalex-extracted
Time‐series and Cross‐sectional Stock Return Forecasting: New Machine Learning Methods
inferredcites →https://doi.org/10.1002/for.3980030207openalex-extracted
Improved methods of combining forecasts
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Time Variation in Diversification Benefits of Commodity, REITs, and TIPS
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Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis
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Mean-variance optimization using forward-looking return estimates
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Financial econometrics, mathematics, statistics, and financial technology: an overall view
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Intertemporal asset pricing with bitcoin
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Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm
inferredcites →https://doi.org/10.1007/s11156-021-00973-6openalex-extracted
Optimizing candlesticks patterns for Bitcoin's trading systems
inferredcites →https://doi.org/10.1007/s11156-022-01086-4openalex-extracted
Investor sentiment and bitcoin prices
inferredcites →https://doi.org/10.1007/s11156-023-01139-2openalex-extracted
Intraday algorithmic trading strategies for cryptocurrencies
inferredcites →https://doi.org/10.1007/s11156-023-01148-1openalex-extracted
Nowcasting bitcoin’s crash risk with order imbalance
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.bar.2019.100837openalex-extracted
Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach
inferredcites →https://doi.org/10.1016/j.econlet.2018.07.020openalex-extracted
Optimal vs naïve diversification in cryptocurrencies
inferredcites →https://doi.org/10.1016/j.econlet.2019.108728openalex-extracted
Momentum trading in cryptocurrencies: Short-term returns and diversification benefits
inferredcites →https://doi.org/10.1016/j.ejor.2020.05.043openalex-extracted
Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection
inferredcites →https://doi.org/10.1016/j.ejor.2021.02.058openalex-extracted
Diversification benefits in the cryptocurrency market under mild explosivity
inferredcites →https://doi.org/10.1016/j.frl.2015.10.008openalex-extracted
Bitcoin, gold and the dollar – A GARCH volatility analysis
inferredcites →https://doi.org/10.1016/j.irfa.2018.03.004openalex-extracted
Portfolio diversification with virtual currency: Evidence from bitcoin
inferredcites →https://doi.org/10.1016/j.irfa.2018.10.003openalex-extracted
The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study
inferredcites →https://doi.org/10.1016/j.jbankfin.2011.02.022openalex-extracted
Should investors include commodities in their portfolios after all? New evidence
inferredcites →https://doi.org/10.1016/j.jbankfin.2015.06.021openalex-extracted
Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies
inferredcites →https://doi.org/10.1016/j.jbankfin.2023.107052openalex-extracted
Salience theory and cryptocurrency returns
inferredcites →https://doi.org/10.1016/j.jempfin.2018.11.002openalex-extracted
Conditional Tail-Risk in Cryptocurrency Markets
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.12.004openalex-extracted
Price manipulation in the Bitcoin ecosystem
inferredcites →https://doi.org/10.1017/s002210901700103xopenalex-extracted
Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments
inferredcites →https://doi.org/10.1023/b:real.0000036675.46796.21openalex-extracted
The Role of Real Estate in an Institutional Investor's Portfolio Revisited
inferredcites →https://doi.org/10.1057/jam.2015.5openalex-extracted
Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins
inferredcites →https://doi.org/10.1057/palgrave.jam.2240011openalex-extracted
A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction
inferredcites →https://doi.org/10.1080/1351847x.2015.1071714openalex-extracted
Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS
inferredcites →https://doi.org/10.1080/1351847x.2022.2033806openalex-extracted
The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19
inferredcites →https://doi.org/10.1086/296296openalex-extracted
International Portfolio Diversification with Estimation Risk
inferredcites →https://doi.org/10.1093/rfs/hhl003openalex-extracted
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-extracted
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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/10.1093/rfs/hhp063openalex-extracted
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-extracted
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhu080openalex-extracted
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
inferredcites →https://doi.org/10.1111/eufm.12081openalex-extracted
Investing in Systematic Factor Premiums
inferredcites →https://doi.org/10.1111/eufm.12264openalex-extracted
How to build a factor portfolio: Does the allocation strategy matter?
inferredcites →https://doi.org/10.1111/eufm.12431openalex-extracted
On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
inferredcites →https://doi.org/10.1111/j.1467-9868.2005.00503.xopenalex-extracted
Regularization and Variable Selection Via the Elastic Net
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/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01371.xopenalex-extracted
Dissecting Anomalies
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-extracted
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1111/jofi.12041openalex-extracted
International Stock Return Predictability: What Is the Role of the United States?
inferredcites →https://doi.org/10.1111/jofi.13099openalex-extracted
Anomalies and the Expected Market Return
inferredcites →https://doi.org/10.1287/mnsc.1100.1191openalex-extracted
International Diversification with Factor Funds
inferredcites →https://doi.org/10.1287/mnsc.2013.1838openalex-extracted
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.1287/mnsc.2021.3989openalex-extracted
Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case
inferredcites →https://doi.org/10.1287/mnsc.40.4.516openalex-extracted
Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
inferredcites →https://doi.org/10.1287/opre.2019.1893openalex-extracted
A Generalized Black–Litterman Model
inferredcites →https://doi.org/10.2139/ssrn.1508484openalex-extracted
International Stock Return Predictability: What is the Role of the United States?
inferredcites →https://doi.org/10.2139/ssrn.1568267openalex-extracted
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.2139/ssrn.4229499openalex-extracted
When Bayes-Stein Meets Machine Learning: A Generalized Approach for Portfolio Optimization
inferredcites →https://doi.org/10.2139/ssrn.671981openalex-extracted
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
inferredcites →https://doi.org/10.2307/2331042openalex-extracted
Bayes-Stein Estimation for Portfolio Analysis
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/jpm.1993.409440openalex-extracted
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
inferredcites →https://doi.org/10.3905/jpm.2009.35.2.061openalex-extracted
The Black–Litterman Model for Active Portfolio Management
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