Portfolio Management (papers)


 * Stivers, C. and Sun, L. Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification (2015). SSRN
 * Homescu, C. Many Risks, One (Optimal) Portfolio (2014). SSRN
 * Skachkov, I. Statistical Arbitrage: Medium Frequency Portfolio Trading (2013). SSRN
 * Chow, T. et. al. A Study of Low Volatility Portfolio Construction Methods (2013). SSRN
 * Bailey, D. and de Prado, M. The Sharpe Ratio Efficient Frontier (2011). SSRN

Drawdowns analysis Markowitz Portfolio Optimization Optimal Stopping Rules Covariance Matrix Estimation Growth Optimal Portfolio (GOP) Theory Investing Styles Factor Models Fund-of-Funds Construction
 * Sneddon, L. The Dynamics of Active Portfolios (2005). Link
 * Rej, A. and Bouchaud J.-P. You are in a drawdown. When should you start worrying? (2017). arXiv.org
 * Keller, W., Butler, A. and Kipnis, I. Momentum and Markowitz: A Golden Combination (2015). SSRN
 * Bailey, D. and de Prado, M. Stop-Outs Under Serial Correlation and 'The Triple Penance Rule' (2013). SSRN, presentation
 * Bai, J. and Shi, S. Estimating High Dimensional Covariance Matrices and its Applications (2011). Link
 * Vershynin, R. Estimation of covariance matrices (2010). Link
 * Gatheral, J. Random Matrix Theory and Covariance Estimation (2008). Link
 * de Prado, M., Vince, R. and Zhu, Q. Optimal Risk Budgeting under a Finite Investment Horizon (2013). SSRN
 * Hsu, J. Value Investing: Smart Beta vs. Style Indices (2014). SSRN
 * Hou, K., Xue, C. and Zhang, L. Digesting Anomalies: An Investment Approach (2014). SSRN
 * Harvey, C. and Liu, Y. Rethinking Performance Evaluation (2016). SSRN
 * Zhang, J. Hedge Fund Portfolio Strategy Based on Performance Persistence and Portfolio Theory (2016). SSRN
 * Tuzov, N. Applied Fund-of-Funds Construction: A Robust Approach (2011). SSRN
 * Wolf, M. and Wunderli, D. Fund-of-Funds Construction by Statistical Multiple Testing Methods (2009). SSRN