References

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

Ang, Andrew, and Joseph Chen. 2002. “Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63 (3): 443–94.

Best, Michael J, and Robert R Grauer. 1991. “Sensitivity Analysis for Mean-Variance Portfolio Problems.” Management Science 37 (8): 980–89.

Bodnar, Taras, Yarema Okhrin, Valdemar Vitlinskyy, and Taras Zabolotskyy. 2018. “Determination and Estimation of Risk Aversion Coefficients.” Computational Management Science 15 (2): 297–317.

Chen, Liang, J. Juan Dolado, and Jesus Gonzalo. 2019. “Quantile Factor Models.”

Clarke, Roger, Harindra De Silva, and Steven Thorley. 2011. “Minimum-Variance Portfolio Composition.” The Journal of Portfolio Management 37 (2): 31–45.

Clarke, Roger G, Harindra De Silva, and Steven Thorley. 2006. “Minimum-Variance Portfolios in the Us Equity Market.” The Journal of Portfolio Management 33 (1): 10–24.

DeMiguel, Victor, Lorenzo Garlappi, and Raman Uppal. 2007. “Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?” The Review of Financial Studies 22 (5): 1915–53.

Flint, Emlyn James, and Simon Du Plooy. 2018. “Extending Risk Budgeting for Market Regimes and Quantile Factor Models.” Available at SSRN 3141739.

Friedman, Jerome, Trevor Hastie, and Robert Tibshirani. 2001. The Elements of Statistical Learning. Vol. 1. 10. Springer series in statistics New York.

Hadamard, J. 1923. Lectures on Chacy’s Problem in Linear Partial Differential Equations. Yale University Press.

Haugen, Robert A, and Nardin L Baker. 1991. “The Efficient Market Inefficiency of Capitalization–Weighted Stock Portfolios.” The Journal of Portfolio Management 17 (3): 35–40.

Jagannathan, Ravi, and Tongshu Ma. 2003. “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.” The Journal of Finance 58 (4): 1651–83.

Jobson, J David, and Robert M Korkie. 1981. “Putting Markowitz Theory to Work.” The Journal of Portfolio Management 7 (4): 70–74.

Jurczenko, Emmanuel, Thierry Michel, and Jerome Teiletche. 2013. “Generalized Risk-Based Investing.” Available at SSRN 2205979.

Kinn, Daniel. 2018. “Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning.” arXiv Preprint arXiv:1804.01764.

Koenker, Roger, and Gilbert Bassett Jr. 1978. “Regression Quantiles.” Econometrica: Journal of the Econometric Society, 33–50.

Kritzman, Mark, Sebastien Page, and David Turkington. 2012. “Regime Shifts: Implications for Dynamic Strategies (Corrected).” Financial Analysts Journal 68 (3): 22–39.

Kritzman, Mark, Sébastien Page, and David Turkington. 2010. “In Defense of Optimization: The Fallacy of 1/N.” Financial Analysts Journal 66 (2): 31–39.

Ledoit, Olivier, and Michael Wolf. 2004. “Honey, I Shrunk the Sample Covariance Matrix.” The Journal of Portfolio Management 30 (4): 110–19.

Ma, Lingjie, and Larry Pohlman. 2008. “Return Forecasts and Optimal Portfolio Construction: A Quantile Regression Approach.” The European Journal of Finance 14 (5): 409–25.

Magdon-Ismail, Malik, and Amir F Atiya. 2004. “Maximum Drawdown.” Risk Magazine 17 (10): 99–102.

Maillard, Sébastien, Thierry Roncalli, and Jérôme Teı̈letche. 2010. “The Properties of Equally Weighted Risk Contribution Portfolios.” The Journal of Portfolio Management 36 (4): 60–70.

Markowitz, Harry. 1952. “Portfolio Selection.” The Journal of Finance 7 (1): 77–91.

Meucci, Attilio. 2010. “Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders.” Risk 23 (7): 84–89.

Michaud, Richard O. 1989. “The Markowitz Optimization Enigma: Is ’Optimized’optimal?” Financial Analysts Journal 45 (1): 31–42.

Perold, André F. 2007. “Fundamentally Flawed Indexing.” Financial Analysts Journal 63 (6): 31–37.

Plessis, Hannes du, and Paul van Rensburg. 2017. “Diversification and the Realised Volatility of Equity Portfolios.” Investment Analysts Journal 46 (3): 213–34.

Rabiner, Lawrence R. 1989. “A Tutorial on Hidden Markov Models and Selected Applications in Speech Recognition.” In Proc. IEEE.

Richard, Jean-Charles, and Thierry Roncalli. 2015. “Smart Beta: Managing Diversification of Minimum Variance Portfolios.” In Risk-Based and Factor Investing, 31–63. Elsevier.

Scherer, Bernd. 2007. “Can Robust Portfolio Optimisation Help to Build Better Portfolios?” Journal of Asset Management 7 (6): 374–87.

Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” The Journal of Finance 19 (3): 425–42.

Shen, Weiwei, and Jun Wang. 2017. “Portfolio Selection via Subset Resampling.” In Thirty-First Aaai Conference on Artificial Intelligence.

Treynor, Jack, and Kay Mazuy. 1966. “Can Mutual Funds Outguess the Market.” Harvard Business Review 44 (4): 131–36.