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Optimal Conditional Mean-Variance Portfolio Averaging

https://doi.org/10.2139/ssrn.4764036
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The role of time‐varying return forecasts for improving international diversification benefits
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Optimal Portfolio Choice Under Decision‐Based Model Combinations
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Risk and Asset Allocation
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Shrinkage averaging estimation
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Model averaging estimator in ridge regression and its large sample properties
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Portfolio Choice Problems
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
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Model averaging for interval-valued data
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Portfolio Efficiency with High-Dimensional Data As Conditioning Information
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Do return prediction models add economic value?
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Asset allocation strategies, data snooping, and the 1 / N rule
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A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
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Least-squares forecast averaging
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Predictable returns and asset allocation: Should a skeptical investor time the market?
inferredcites →https://doi.org/10.1016/j.jeconom.2014.07.002openalex-extracted
Distribution theory of the least squares averaging estimator
inferredcites →https://doi.org/10.1016/j.jeconom.2014.11.005openalex-extracted
Jackknife model averaging for quantile regressions
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Forecasting with factor-augmented regression: A frequentist model averaging approach
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Model averaging based on leave-subject-out cross-validation
inferredcites →https://doi.org/10.1016/j.jeconom.2016.05.009openalex-extracted
Semiparametric dynamic portfolio choice with multiple conditioning variables
inferredcites →https://doi.org/10.1016/j.jeconom.2018.10.007openalex-extracted
Model averaging based on leave-subject-out cross-validation for vector autoregressions
inferredcites →https://doi.org/10.1016/j.jeconom.2019.04.025openalex-extracted
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
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Large-scale portfolio allocation under transaction costs and model uncertainty
inferredcites →https://doi.org/10.1016/j.jeconom.2020.10.004openalex-extracted
Model averaging prediction for time series models with a diverging number of parameters
inferredcites →https://doi.org/10.1016/j.jeconom.2022.03.010openalex-extracted
Optimal model averaging based on forward-validation
inferredcites →https://doi.org/10.1016/j.jeconom.2022.04.007openalex-extracted
Model averaging prediction by K-fold cross-validation
inferredcites →https://doi.org/10.1016/j.jempfin.2015.05.003openalex-extracted
Modern portfolio management with conditioning information
inferredcites →https://doi.org/10.1016/j.jempfin.2023.06.006openalex-extracted
When “time varying” volatility meets “transaction cost” in portfolio selection
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Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
inferredcites →https://doi.org/10.1016/s0304-405x(02)00131-9openalex-extracted
Stock return predictability and model uncertainty
inferredcites →https://doi.org/10.1016/s0304-405x(02)00259-3openalex-extracted
The economic value of volatility timing using “realized” volatility
inferredcites →https://doi.org/10.1017/s0022109000003136openalex-extracted
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.1017/s0022109000004129openalex-extracted
Optimal Portfolio Choice with Parameter Uncertainty
inferredcites →https://doi.org/10.1017/s0022109013000616openalex-extracted
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
inferredcites →https://doi.org/10.1017/s0022109016000338openalex-extracted
Understanding Portfolio Efficiency with Conditioning Information
inferredcites →https://doi.org/10.1017/s0266466618000269openalex-extracted
INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
inferredcites →https://doi.org/10.1017/s0266466619000434openalex-extracted
OPTIMAL MULTISTEP VAR FORECAST AVERAGING
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/10.1080/01621459.2013.838168openalex-extracted
A Model-Averaging Approach for High-Dimensional Regression
inferredcites →https://doi.org/10.1080/07350015.2014.954708openalex-extracted
Sparse and Stable Portfolio Selection With Parameter Uncertainty
inferredcites →https://doi.org/10.1080/07350015.2017.1345683openalex-extracted
Large Dynamic Covariance Matrices
inferredcites →https://doi.org/10.1080/07350015.2017.1383262openalex-extracted
Multiple Regression Model Averaging and the Focused Information Criterion With an Application to Portfolio Choice
inferredcites →https://doi.org/10.1080/07350015.2020.1870477openalex-extracted
Model Averaging for Nonlinear Regression Models
inferredcites →https://doi.org/10.1080/07350015.2021.2004897openalex-extracted
Optimal Shrinkage-Based Portfolio Selection in High Dimensions
inferredcites →https://doi.org/10.1080/07350015.2022.2110880openalex-extracted
Bagged Pretested Portfolio Selection
inferredcites →https://doi.org/10.1093/acprof:oso/9780190241148.001.0001openalex-extracted
Asset Pricing and Portfolio Choice Theory
inferredcites →https://doi.org/10.1093/jjfinec/nbab001openalex-extracted
Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix
inferredcites →https://doi.org/10.1093/rfs/12.2.405openalex-extracted
Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?
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/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/hhu002openalex-extracted
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
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/10.1093/rfs/hhy105openalex-extracted
Approaching Mean-Variance Efficiency for Large Portfolios
inferredcites →https://doi.org/10.1093/rof/rfac035openalex-extracted
On the Economic Significance of Stock Return Predictability
inferredcites →https://doi.org/10.1111/0022-1082.00327openalex-extracted
The Economic Value of Volatility Timing
inferredcites →https://doi.org/10.1111/1540-6261.00580openalex-extracted
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.1111/j.1468-0262.2007.00785.xopenalex-extracted
Least Squares Model Averaging
inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-extracted
PORTFOLIO SELECTION*
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04683.xopenalex-extracted
When Will Mean-Variance Efficient Portfolios be Well Diversified?
inferredcites →https://doi.org/10.1111/jofi.12080openalex-extracted
Dynamic Trading with Predictable Returns and Transaction Costs
inferredcites →https://doi.org/10.1146/annurev-financial-120209-133947openalex-extracted
Bayesian Portfolio Analysis
inferredcites →https://doi.org/10.1214/17-aos1538openalex-extracted
A weight-relaxed model averaging approach for high-dimensional generalized linear models
inferredcites →https://doi.org/10.1214/19-aoas1303openalex-extracted
Optimal asset allocation with multivariate Bayesian dynamic linear models
inferredcites →https://doi.org/10.1214/aos/1176342709openalex-extracted
Consistent Autoregressive Spectral Estimates
inferredcites →https://doi.org/10.1257/jel.20191385openalex-extracted
Model Averaging and Its Use in Economics
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.2017.2829openalex-extracted
Bond Return Predictability: Economic Value and Links to the Macroeconomy
inferredcites →https://doi.org/10.1287/mnsc.2020.3876openalex-extracted
Portfolio Choices with Many Big Models
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.39.7.845openalex-extracted
Massaging Mean-Variance Inputs: Returns from Alternative Global Investment Strategies in the 1980s
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/10.2139/ssrn.1474212openalex-extracted
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
inferredcites →https://doi.org/10.2139/ssrn.1944052openalex-extracted
Do Return Prediction Models Add Economic Value?
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.2387669openalex-extracted
The Markowitz Optimization Enigma: Is 'Optimized' Optimal?
inferredcites →https://doi.org/10.2139/ssrn.2407034openalex-extracted
Distribution Theory of the Least Squares Averaging Estimator
inferredcites →https://doi.org/10.2139/ssrn.241213openalex-extracted
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.2139/ssrn.2516950openalex-extracted
Optimal Portfolio Choice under Decision-Based Model Combinations
inferredcites →https://doi.org/10.2139/ssrn.276921openalex-extracted
The Economic Value of Volatility Timing Using 'Realized' Volatility
inferredcites →https://doi.org/10.2139/ssrn.3043216openalex-extracted
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
inferredcites →https://doi.org/10.2139/ssrn.687535openalex-extracted
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
inferredcites →https://doi.org/10.2469/faj.v45.n1.31openalex-extracted
The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
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.2021.1.207openalex-extracted
Managing Portfolio Volatility
inferredcites →https://doi.org/10.48550/arxiv.2006.13570openalex-extracted
Hyperparameter Ensembles for Robustness and Uncertainty Quantification
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