Historical Portfolio Optimization: Domestic REITs
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-15286-3_4
Reference17 articles.
1. Brodie, J., Daubechies, I., De Mol, C., Giannone, D., & Loris, I. (2009). Sparse and stable Markowitz portfolios. Proceedings of the National Academy of Sciences, 106(30), 12267–12272.
2. Cheridito, P., & Kromer, E. (2013). Reward–risk ratios. Journal of Investment Strategies, 3, 1–16.
3. Cogneau, P., & Hũbner, G. (2009). The 101 ways to measure portfolio performance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1326076
4. DeMiguel, V., Garlappi, L., Nogales, F. J., & Uppal, R. (2009). A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Science, 55(5), 798–812.
5. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56.
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