Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

By A. MacKinlay, Ľuboš Pástor. 2000

198 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2a8f594c821d87ce8a899a6540f348182fd02413

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Citations in the corpus

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification (2012, unknown): “We can also reduce the impact of the information 9Some recent examples of work in this area include Pastor (2000), Pastor and Stambaugh (2000), MacKinlay and Pastor (2000), Jagannathan and Ma (2003), Ledoit and Wolf (2003), (2004), Garlappi, Uppal, and Wang (2007), and Kan and Zhou (2007).”
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2007, unknown): “The above alpha-Sigma link is also explored by MacKinlay and Pástor (2000) in the frequentist set-up.”
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty (2018, unknown): “Tu and Zhou (2010) argued that the investment objective provides a useful prior for portfolio selection and proposed an optimal combination of the naive equally weighted portfolio rule with one of the four sophisticated strategies – the Markowitz rule, the Jorion (1986) rule, the MacKinlay and Pásto”
Fast and frugal forecasting (2009, unknown): “7 MacKinlay and Pastor’s (2000) missing factor model Moment restriction 8 Sample-based mean variance with shortsale constraints Portfolio constraints”
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, unknown): “…portfolio selection 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…”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “estimation error, which include “robust” portfolio allocation rules (Goldfarb and Iyengar, 2003; Garlappi, Uppal, and Wang, 2007); portfolio rules designed to optimally diversify across market and estimation risk (Kan and Zhou, 2007); portfolios that exploit the moment restrictions imposed by the fa”
On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares (2008, unknown): “For example, the statistic could be used to extend the work of Levy (1972), Cumby and Glen (1990), Jorion (1991), Grinblatt and Titman (1994) and MacKinlay and Pastor (2000) in the evaluation of multiple portfolio performance, which, in turn, could be used to test market efficiency.”
A test for the weights of the global minimum variance portfolio in an elliptical model (2008, background): “The Sharpe ratio is still one of the most popular measures for the evaluation of a portfolio and the asset performance (Cochrane 1999; MacKinley and Pastor 2000 ).”
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, unknown): “First, 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…”