• 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
  • Sneddon, L. The Dynamics of Active Portfolios (2005). Link

Drawdowns analysis

  • Rej, A. and Bouchaud J.-P. You are in a drawdown. When should you start worrying? (2017).

Markowitz Portfolio Optimization

  • Keller, W., Butler, A. and Kipnis, I. Momentum and Markowitz: A Golden Combination (2015). SSRN

Optimal Stopping Rules

  • Bailey, D. and de Prado, M. Stop-Outs Under Serial Correlation and 'The Triple Penance Rule' (2013). SSRN, presentation

Covariance Matrix Estimation

  • 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

Growth Optimal Portfolio (GOP) Theory

  • de Prado, M., Vince, R. and Zhu, Q. Optimal Risk Budgeting under a Finite Investment Horizon (2013). SSRN

Investing Styles

  • Hsu, J. Value Investing: Smart Beta vs. Style Indices (2014). SSRN

Factor Models

  • Hou, K., Xue, C. and Zhang, L. Digesting Anomalies: An Investment Approach (2014). SSRN

Fund-of-Funds Construction

  • 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