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Addressing Short-Term Momentum Uncertainty in the Mean-Variance Portfolio Theory

https://doi.org/10.2139/ssrn.4689283
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Managing portfolio diversity within the mean variance theory
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Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
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Time Series Momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2014.11.010openalex-extracted
Momentum has its moments
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Responsible Investing: The ESG-Efficient Frontier
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
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Rational choice and the structure of the environment.
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Comparing Mean-Variance Portfolios and Equal-Weight Portfolios for Major US Equity Indexes
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Enhanced Portfolio Optimization
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Optimal ESG Portfolios: An Example for the Dow Jones Index
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1093/rfs/hhx052openalex-extracted
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
inferredcites →https://doi.org/10.1111/0022-1082.00342openalex-extracted
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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On Persistence in Mutual Fund Performance
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.2023.00178openalex-extracted
The Risk of Expected Utility Under Parameter Uncertainty
inferredcites →https://doi.org/10.21314/jois.2020.122openalex-extracted
What’s so special about time series momentum?
inferredcites →https://doi.org/10.2139/ssrn.1474212openalex-extracted
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
inferredcites →https://doi.org/10.2139/ssrn.166840openalex-extracted
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
inferredcites →https://doi.org/10.2139/ssrn.1968996openalex-extracted
Momentum Strategies in Futures Markets and Trend-following Funds
inferredcites →https://doi.org/10.2139/ssrn.2383361openalex-extracted
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
inferredcites →https://doi.org/10.2139/ssrn.2436478openalex-extracted
Portfolio Theory in Terms of Partial Covariance
inferredcites →https://doi.org/10.2139/ssrn.4139807openalex-extracted
News-Based ESG Ratings for Optimal Portfolios: SASB vs SDG
inferredcites →https://doi.org/10.2307/2327857openalex-extracted
Modern Portfolio Theory and Investment Analysis.
inferredcites →https://doi.org/10.2307/2331042openalex-extracted
Bayes-Stein Estimation for Portfolio Analysis
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.2004.110openalex-extracted
Honey, I Shrunk the Sample Covariance Matrix
inferredcites →https://doi.org/10.3905/jpm.2009.35.2.071openalex-extracted
Markowitz Versus the Talmudic Portfolio Diversification Strategies
inferredcites →https://doi.org/10.3905/jpm.2021.1.316openalex-extracted
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization
inferredcites →https://doi.org/10.3905/jpm.2023.1.522openalex-extracted
Robustness in Portfolio Optimization
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