Portfolio Selection and Asset Pricing Models

By Ľuboš Pástor. 2000

570 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/299b87dfdb6d8d2f07e78d8035793aab1b3bac7b

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Citations in the corpus

Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, methodology): “…we ask whether any of the four sophisticated rules, namely, the Markowitz rule as well as its extensions proposed by Jorion (1986), MacKinlay and Pástor (2000), and Kan and Zhou (2007), can be combined with the naive 1/N rule to obtain better portfolio rules that can perform consistently well.”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, methodology): “A.4 MKT, SMB, and HML portfolios The “MKT/SMB/HML” dataset is an updated version of the one used by Pástor (2000) for evaluating the Bayesian “Data-and-Model” approach to asset allocation.”
Uncertainty, Time-Varying Fear, and Asset Prices (2013, background): “Pástor (2000), Pástor and Stambaugh (2000), and Avramov (2004) use a Bayesian approach to asset allocation.”
Home Bias in International Equity Portfolios: A Review (2007, methodology): “…(1) the purely model-based international CAPM, (2) the purely data-based mean-variance optimization approach, (3) the Bayesian approach of Pástor (2000) where the investor has some degree of distrust in the asset pricing model, (4) the Multi-Prior technique of Garlappi et al. (2007)…”
Data-generating process uncertainty: What difference does it make in portfolio decisions? (2004, methodology): “Hence, in a certain sense, this paper complements to the earlier work of Pástor and Stambaugh (2000).”
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2009, unknown): “Theoretically motivated shrinkage targets are advocated by Black and Litterman (1992); Kandel and Stambaugh (1996); Pastor (2000); and Pastor and Stambaugh (2000).”
Shrinking the Cross Section∗ (2017, unknown): “To compare the effect of our shrinkage method to that of Pástor and Stambaugh (2000), we additionally plot the OOS performance of their method as a dotted yellow line in Fig-”
Investing in Mutual Funds when Returns are Predictable (2006, unknown): “Observe from Table 3 that incorporating predictability in fund risk-loadings leaves optimal asset allocations nearly (16)This is similar to Pastor and Stambaugh (2002b). Specifically, γ = 2.”
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2007, methodology): “(52) Again, following Pástor and Stambaugh (2000) and Pástor (2000), we can use the following priors to reflect the degree of mispricing uncertainty, αst |Σst ∼ N ( 0, σ2α ( 1 s2(st) Σst )) .”
Predicting stock returns (2006, unknown): “Recent advances in Bayesian asset allocation include Kandel and Stambaugh (1996), Barberis (2000), Pastor (2000), Pastor and Stambaugh (2000, 2002), Avramov (2002, 2004), Tu and Zhou (2004), and Avramov and Wermers (2006).”
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, methodology): “…include: Bayesian methods (Barry (1974), Bawa et al. (1979)), Bayesian methods with priors obtained from asset pricing models (MacKinlay and Pastor (2000), Pastor (2000), Pastor and Stambaugh (2000)), robust optimization methods (Cornuejols and Tutuncu (2007), Goldfarb and Iyengar (2003),…”
Information Immobility and the Home Bias Puzzle (2009, unknown): “Thanks to Dave Backus, Chris Sims, Eric Van Wincoop, Mark Wright, and seminar participants at the Prague workshop in macroeconomic theory, the Budapest SED, the CEPR Asset Pricing meetings in Gerzensee, Ohio State, Illinois, Iowa, Princeton, Virginia, GWU and NYU, and to our anonymous referees and…”
Bayesian Estimates for Vector Autoregressive Models (2005, background): “In recent Bayesian studies, Pastor (2000) and Pastor and Stambaugh (2000) used finance theory for elicitation of informative priors.”