Journal Article10.2139/ssrn.4406953
The Development and Evolution of Mean-Variance Efficient Portfolios in the US and Japan: 30 Years After the Markowitz and Ziemba Applications
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About: This article is published in Social Science Research Network. The article was published on 01 Jan 2023.
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Citations
Improving estimation of portfolio risk using new statistical factors
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References
Controlling the false discovery rate: a practical and powerful approach to multiple testing
Yoav Benjamini,Yosef Hochberg +1 more
TL;DR: In this paper, a different approach to problems of multiple significance testing is presented, which calls for controlling the expected proportion of falsely rejected hypotheses -the false discovery rate, which is equivalent to the FWER when all hypotheses are true but is smaller otherwise.
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
The control of the false discovery rate in multiple testing under dependency
Yoav Benjamini,Daniel Yekutieli +1 more
TL;DR: In this paper, it was shown that a simple FDR controlling procedure for independent test statistics can also control the false discovery rate when test statistics have positive regression dependency on each of the test statistics corresponding to the true null hypotheses.
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
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