Portfolio Choice Problems

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Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, neutral): “3For a comprehensive overview of portfolio choice problems see, Brandt (2010) and the references therein.”
Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix (2012, background): “Unsurprisingly, a vast literature has grown around improving portfolio performance using various statistical techniques for the reduction of estimation errors (Brandt 2009 provides a comprehensive review).”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, neutral): “For a general survey of the literature on portfolio selection, see Campbell and Viceira (2002) and Brandt (2007).”
Sparse and Stable Portfolio Selection With Parameter Uncertainty (2015, neutral): “It has been documented that in mean-variance efficient portfolios, extreme positions are usually observed, and portfolio weights may change dramatically when new return information is used, as well as when a set of assets becomes unavailable for trading (Garlappi, Uppal, and Wang 2007; Brandt 2009).”