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A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1

https://doi.org/10.3386/w10447
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What this work says

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

inferredcites →https://doi.org/10.1016/0304-405x(82)90002-2openalex-snapshot
On the exclusion of assets from tests of the two-parameter model
inferredcites →https://doi.org/10.1016/0304-405x(82)90028-9openalex-snapshot
Multivariate tests of financial models
inferredcites →https://doi.org/10.1016/0304-405x(85)90002-9openalex-snapshot
Multivariate tests of the zero-beta CAPM
inferredcites →https://doi.org/10.1016/0304-405x(85)90003-0openalex-snapshot
A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
inferredcites →https://doi.org/10.1016/0304-405x(87)90044-4openalex-snapshot
On multivariate tests of the CAPM
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.004openalex-snapshot
Predicting volatility: getting the most out of return data sampled at different frequencies
inferredcites →https://doi.org/10.1016/s0304-405x(02)00259-3openalex-snapshot
The economic value of volatility timing using “realized” volatility
inferredcites →https://doi.org/10.1016/s0927-5398(03)00007-0openalex-snapshot
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
inferredcites →https://doi.org/10.1080/00401706.1975.10489285openalex-snapshot
An Introduction to Bayesian Inference in Econometrics
inferredcites →https://doi.org/10.1080/00401706.1994.10485869openalex-snapshot
Introduction to Multiple Time Series Analysis (2nd Ed.)
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/10.1111/1540-6261.00580openalex-snapshot
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.1198/073500102288618487openalex-snapshot
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1198/073500102288618496openalex-snapshot
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
inferredcites →https://doi.org/10.1287/mnsc.9.2.277openalex-snapshot
A Simplified Model for Portfolio Analysis
inferredcites →https://doi.org/10.2139/ssrn.276921openalex-snapshot
The Economic Value of Volatility Timing Using 'Realized' Volatility
inferredcites →https://doi.org/10.2139/ssrn.440941openalex-snapshot
Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies
inferredcites →https://doi.org/10.2307/1268117openalex-snapshot
Aspects of Multivariate Statistical Theory
inferredcites →https://doi.org/10.2307/2171927openalex-snapshot
Continuous Record Asymptotics for Rolling Sample Variance Estimators
inferredcites →https://doi.org/10.2307/2344559openalex-snapshot
An Introduction to Bayesian Inference in Econometrics.
inferredcites →https://doi.org/10.2469/faj.v45.n1.31openalex-snapshot
The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
inferredcites →https://doi.org/10.3386/t0163openalex-snapshot
Continuous Record Asymptotics for Rolling Sample Variance Estimators
inferredcites →https://doi.org/10.3386/w7039openalex-snapshot
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
inferredcites →https://doi.org/10.3386/w8554openalex-snapshot
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
inferredcites →https://doi.org/10.3386/w8922openalex-snapshot
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.3905/jpm.1981.408816openalex-snapshot
Putting Markowitz theory to work
inferredcites →https://doi.org/10.3905/jpm.1988.409181openalex-snapshot
For better performance
inferredcites →https://doi.org/10.3905/jpm.2004.110openalex-snapshot
Honey, I Shrunk the Sample Covariance Matrix

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2899431openalex-extracted
Analytic Solution to Variance Optimization with No Short-Selling
inferred← citeshttps://doi.org/10.1146/annurev.financial.050708.144317openalex-snapshot
Life-Cycle Finance and the Design of Pension Plans
inferred← citeshttps://doi.org/10.3390/e23070805openalex-snapshot
Aspects of a Phase Transition in High-Dimensional Random Geometry
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