A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

By Victor DeMiguel, Lorenzo Garlappi, Francisco Javier Nogales, Raman Uppal. Management Sciences, 2009

1,002 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0c684e0b00e090e064b614f87db321951cfc66ff

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Citations in the corpus

Vast Portfolio Selection with Gross-exposure Constraints (2012, positive): “The result is of a similar spirit of Jagannathan and Ma (2003) and DeMiguel et al. (2008).”
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (2020, positive): “For example, DeMiguel et al. (2009) proposed the methodology of norm-constraining (i.e., using an upper bound on the norm of a portfolio weight vector, such as on the gross exposure) to construct improved portfolios, as an alternative to Markowitz’s portfolio selection based on an improved estimator”
Filtering via approximate Bayesian computation (2010, neutral): “It should be noted that the naive strategy, allocating 1/d to each asset, can often out-perform meanvariance methods, especially for equities data DeMiguel et al. (2009a).”
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2019, background): “The literature on Markowitz portfolio selection in large dimensions—that is, when the number of assets is of the same magnitude as the number of observations—has experienced a large expansion over the last decade or so and is still growing; to list only a few examples, see Ledoit and Wolf (2003); Ja”
Sparse Signals in the Cross‐Section of Returns (2018, neutral): “For example, Lo and MacKinlay (1990) and DeMiguel et al. (2014) both show that the returns of large stocks predict the future returns of small stocks, Chordia and Swaminathan (2000) shows that the returns of high-volume stocks predict the future returns of low-volume stocks, and Hou (2007) shows tha”
Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix (2012, methodology): “This result shows that portfolio optimisation can be useful in practice extending the contributions of Demiguel et al. (2009b) and Tu and Zhou (2011). We further observe that ICRETIF results in the highest Sharpe ratios among the theory-based portfolios in the majority of the datasets considered.”
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, methodology): “Second, for the covariance matrix we propose a novel calibration criterion that takes the condition number optimally into account.”
Nonparametric eigenvalue-regularized precision or covariance matrix estimator (2016, methodology): “…month, for each portfolio, we compute the total excess return, the out-of-sample variance and the mean Sharpe ratio, given respectively by (see also Demiguel and Nogales (2009)): µ̂ = 119∑ i=12 22i+22∑ t=22i+1 wTrt, σ̂ 2 = 1 2376 119∑ i=12 22i+22∑ t=22i+1 (wTrt − µ̂i) 2, ŝr = 1 108 119∑ i=12 µ̂i…”
Sparse and Stable Portfolio Selection With Parameter Uncertainty (2015, neutral): “See, for example, DeMiguel, Garlappi, and Uppal (2009), DeMiguel et al. (2009), and Kourtis, Dotsis, and Markellos (2012).”
High‐dimensional covariance matrix estimation (2019, methodology): “At the end of each month, for each portfolio, we compute the total excess return, the out-of-sample variance and the mean Sharpe ratio, given respectively by (see also Demiguel and Nogales (2009)): Table 2 shows the results.”
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013, neutral): “5% one-way in total for both shares following Dunis et al. (2010), Dunis & Ho (2005) and Alexander & Dimitriu (2002).”
Robust Performance Hypothesis Testing with the Variance (2011, neutral): “…GMV portfolio has received much renewed interest in the recent literature; for example, see Jagannathan and Ma (2003), Kempf and Memmel (2006), Garlappi et al. (2007), Elton et al. (2008), DeMiguel et al. (2009a), DeMiguel et al. (2009b), Candelou et al. (2010), and Güttler and Trübenbach (2010).”