Minimum-Variance Portfolios in the U.S. Equity Market

By Roger Clarke, Harindra de Silva, Steven Thorley. 2006

312 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1d4cbfd0accb1e5e7cb2754b2566d84d3e42ee1a

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In Finance

1. Tristan Froidure
2. Julien Reynier
3. Yves Choueifaty
4. Thierry Roncalli
5. Roger Clarke
6. Harindra de Silva
7. Steven Thorley

Citations in the corpus

• The properties of equally-weighted risk contributions portfolios (2010, background): “To elaborate further this point of view, let us consider a modi ed version of the optimization problem (7):”
• Properties of the Most Diversified Portfolio (2013, methodology): “Next, we compare theMDPwith threewell-known long-only quantitative portfolio construction approaches: the equal-weighted (EW), equal-risk-contribution (ERC) (Maillard et al 2010) and minimum-variance (MV) portfolios (Haugen and Baker 1991; Clarke et al 2006).”
• A Survey of Alternative Equity Index Strategies (2011, unknown): “In Appendix C, we show the same analysis by using the Fama–French threefactor model and reach a similar conclusion.”
• Minimum-Variance Portfolio Composition (2010, background): “The empirical observation that high-market-beta stocks are not rewarded with correspondingly higher returns is a long-standing empirical critique of the CAPM, as summarized by Fama and French [1992]. More recently, Ang et al. [2006] documented a low-risk, high-return empirical anomaly that they asso”