Fragility of Minimum-Variance Portfolios | Paper Citation Record

Observation a36c4672-d9b3-432e-a1a0-e637ebb28219 · outbound

This paper cites Portfolio selection.Journal of Finance, 7(1):77–91, 1952.

Fragility of Minimum-Variance Portfolios Portfolio selection.Journal of Finance, 7(1):77–91, 1952

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Observation e9624775-83ff-4136-8d97-635edac48385 · outbound

This paper cites The markowitz optimization enigma: Is ‘optimized’optimal?Financial analysts journal, 45(1):31–42, 1989.

Fragility of Minimum-Variance Portfolios The markowitz optimization enigma: Is ‘optimized’optimal?Financial analysts journal, 45(1):31–42, 1989

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Observation 28853043-dbaf-47a6-9700-ca79b4a6efd6 · outbound

This paper cites On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results.The review of financial studies, 4(2):315–342, 1991.

Fragility of Minimum-Variance Portfolios On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results.The review of financial studies, 4(2):315–342, 1991

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Observation a0be6226-65b6-43ff-869a-5019992be449 · outbound

This paper cites The effect of errors in means, variances, and covariances on optimal portfolio choice.Journal of Portfolio Management, 19(2):6–11, 1993.

Fragility of Minimum-Variance Portfolios The effect of errors in means, variances, and covariances on optimal portfolio choice.Journal of Portfolio Management, 19(2):6–11, 1993

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Observation ad67bc40-66e5-44f5-8c7b-3cb67e388ab3 · outbound

This paper cites Cambridge University Press Cambridge, UK, 1993.

Fragility of Minimum-Variance Portfolios Cambridge University Press Cambridge, UK, 1993

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Observation f836f8cf-2783-401c-87f1-584cde93efde · outbound

This paper cites Efficient asset management: a practical guide to stock portfolio optimization and asset allocation., 2001.

Fragility of Minimum-Variance Portfolios Efficient asset management: a practical guide to stock portfolio optimization and asset allocation., 2001

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Observation e3706260-0296-4067-b6e7-06df193a2444 · outbound

This paper cites Portfolio choice problems.

Fragility of Minimum-Variance Portfolios Portfolio choice problems

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Observation 8095383b-f6b7-4efb-bb96-dc71686d5973 · outbound

This paper cites Efficient portfolio selection in a large market.Journal of Financial Econometrics, 14(3):496–524, 2016.

Fragility of Minimum-Variance Portfolios Efficient portfolio selection in a large market.Journal of Financial Econometrics, 14(3):496–524, 2016

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Observation 4ecdfaf7-4c02-43ec-ac48-0550cca4ebfd · outbound

This paper cites Minimum-variance portfolios in the us equity market.Journal of Portfolio Management, 33(1):10, 2006.

Fragility of Minimum-Variance Portfolios Minimum-variance portfolios in the us equity market.Journal of Portfolio Management, 33(1):10, 2006

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Observation b401dc78-ec9f-4664-aec7-15726ebea22c · outbound

This paper cites Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?The review of Financial studies, 22(5):1915–1953, 2009.

Fragility of Minimum-Variance Portfolios Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?The review of Financial studies, 22(5):1915–1953, 2009

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Observation 1d70b4ce-e254-4158-80cf-7ffbc7a5341e · outbound

This paper cites Balanced baskets: A new approach to trading and hedging risks.Journal of Investment Strategies (Risk Journals), 1(4), 2012.

Fragility of Minimum-Variance Portfolios Balanced baskets: A new approach to trading and hedging risks.Journal of Investment Strategies (Risk Journals), 1(4), 2012

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Observation e668464b-5d99-44f0-ae42-c93a2e8ec30f · outbound

This paper cites Building diversified portfolios that outperform out-of-sample.Journal of Portfolio Management, 2016.

Fragility of Minimum-Variance Portfolios Building diversified portfolios that outperform out-of-sample.Journal of Portfolio Management, 2016

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Observation 28d2cb22-a0e6-4761-b301-0c2fc2f841b1 · outbound

This paper cites CRC press, 2013.

Fragility of Minimum-Variance Portfolios CRC press, 2013

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Observation 3d5d153e-1f6a-4ea6-99ae-d997e8614467 · outbound

This paper cites Minimum-variance portfolio composition.Journal of Portfolio Management, 37(2):31, 2011.

Fragility of Minimum-Variance Portfolios Minimum-variance portfolio composition.Journal of Portfolio Management, 37(2):31, 2011

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Observation fa7922d5-a774-4351-9c16-e8029d6ced4e · outbound

This paper cites Enhanced portfolio optimization.Financial Analysts Journal, 77(2):124–151, 2021.

Fragility of Minimum-Variance Portfolios Enhanced portfolio optimization.Financial Analysts Journal, 77(2):124–151, 2021

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Observation 253c3b17-9c1d-4224-84be-a48426238370 · outbound

This paper cites Spectrum estimation for large dimensional covariance matrices using random matrix theory.The Annals of Statistics, pages 2757–2790, 2008.

Fragility of Minimum-Variance Portfolios Spectrum estimation for large dimensional covariance matrices using random matrix theory.The Annals of Statistics, pages 2757–2790, 2008

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Observation fb643a37-8248-4e7c-88bc-ed27780570ef · outbound

This paper cites Cleaning large correlation matrices: tools from random matrix theory.Physics Reports, 666:1–109, 2017.

Fragility of Minimum-Variance Portfolios Cleaning large correlation matrices: tools from random matrix theory.Physics Reports, 666:1–109, 2017

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Observation 2014129f-44cc-4b06-b063-0e777622497b · outbound

This paper cites Geometric representation of high dimension, low sample size data.Journal of the Royal Statistical Society Series B: Statistical Methodology, 67(3): 427–444, 2005.

Fragility of Minimum-Variance Portfolios Geometric representation of high dimension, low sample size data.Journal of the Royal Statistical Society Series B: Statistical Methodology, 67(3): 427–444, 2005

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Observation 802b700a-4747-4018-8169-d71b9fa261fd · outbound

This paper cites Thestatisticsandmathematicsofhighdimension low sample size asymptotics.Statistica Sinica, 26(4):1747, 2016.

Fragility of Minimum-Variance Portfolios Thestatisticsandmathematicsofhighdimension low sample size asymptotics.Statistica Sinica, 26(4):1747, 2016

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Observation 56b9e995-ef01-4dcc-9fd7-58802260eab5 · outbound

This paper cites A survey of high dimension low sample size asymptotics.Australian & New Zealand journal of statistics, 60(1):4–19, 2018.

Fragility of Minimum-Variance Portfolios A survey of high dimension low sample size asymptotics.Australian & New Zealand journal of statistics, 60(1):4–19, 2018

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Observation 3ab40892-ef19-4d58-b79d-73e6e42a9d20 · outbound

This paper cites High-dimensionality effects in the markowitz problem and other quadratic programs with linear constraints: Risk underestimation.Ann.

Fragility of Minimum-Variance Portfolios High-dimensionality effects in the markowitz problem and other quadratic programs with linear constraints: Risk underestimation.Ann

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Observation f413d718-d2e8-473f-9656-07d0bd731e99 · outbound

This paper cites On the realized risk of high-dimensional markowitz portfolios.SIAM Journal on Financial Mathematics, 4(1):737–783, 2013.

Fragility of Minimum-Variance Portfolios On the realized risk of high-dimensional markowitz portfolios.SIAM Journal on Financial Mathematics, 4(1):737–783, 2013

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Observation 2d88b2f7-66bb-48fe-b391-43ed5237be7f · outbound

This paper cites Tractable stochastic analysis in high dimensions via robust optimization.Mathematical programming, 134(1):23–70, 2012.

Fragility of Minimum-Variance Portfolios Tractable stochastic analysis in high dimensions via robust optimization.Mathematical programming, 134(1):23–70, 2012

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Observation 49b6767d-7117-4773-83cb-45bf6c23e396 · outbound

This paper cites The dispersion bias.SIAM Journal on Financial Mathematics, 13(2):521–550, 2022.

Fragility of Minimum-Variance Portfolios The dispersion bias.SIAM Journal on Financial Mathematics, 13(2):521–550, 2022

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Observation 8222f468-f926-4ce9-8be0-a7219e312273 · outbound

This paper cites The Quadratic Optimization Bias Of Large Covariance Matrices.

Fragility of Minimum-Variance Portfolios The Quadratic Optimization Bias Of Large Covariance Matrices

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Observation c892effd-73d7-4115-8801-80eaaa42bf8e · outbound

This paper cites Portfolio selection revisited.Annals of Operations Research, 346(1):137–155, 2025.

Fragility of Minimum-Variance Portfolios Portfolio selection revisited.Annals of Operations Research, 346(1):137–155, 2025

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Observation 49697bbf-f27d-462b-9c5f-4e0c183ac4b8 · outbound

This paper cites A tool for filtering information in complex systems.Proceedings of the National Academy of Sciences, 102(30):10421–10426, 2005.

Fragility of Minimum-Variance Portfolios A tool for filtering information in complex systems.Proceedings of the National Academy of Sciences, 102(30):10421–10426, 2005

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Observation 10cf12e4-3e52-40a4-8e82-b0fcff742995 · outbound

This paper cites Community characterization of heterogeneous complex systems.Journal of Statistical Mechanics: Theory and Experiment, 2011(01):P01019, 2011.

Fragility of Minimum-Variance Portfolios Community characterization of heterogeneous complex systems.Journal of Statistical Mechanics: Theory and Experiment, 2011(01):P01019, 2011

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Fragility of Minimum-Variance Portfolios Relation between financial market structure and the real economy: comparison between clustering methods.PloS one, 10(3):e0116201, 2015

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This paper cites Robust optimization–methodology and applications.Mathe- matical Programming, 92(3):453–480, 2002.

Fragility of Minimum-Variance Portfolios Robust optimization–methodology and applications.Mathe- matical Programming, 92(3):453–480, 2002

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Fragility of Minimum-Variance Portfolios Theory and applications of robust optimization.SIAM review, 53(3):464–501, 2011

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Fragility of Minimum-Variance Portfolios Robust mean-covariance solutions for stochastic optimization.Operations Research, 55 (1):98–112, 2007

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Fragility of Minimum-Variance Portfolios Robust portfolio selection problems.Mathematics of operations research, 28(1):1–38, 2003

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Fragility of Minimum-Variance Portfolios Robust portfolio control with stochastic factor dynamics.Operations Research, 61(4):874–893, 2013

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Fragility of Minimum-Variance Portfolios Tütüncü and Mark Koenig

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Fragility of Minimum-Variance Portfolios Worst-case value-at-risk and robust portfolio optimization: A conic programming approach.Operations research, 51(4):543–556, 2003

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Observation 5a74a2b3-9d19-4109-ad88-425785c6c6f8 · outbound

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Fragility of Minimum-Variance Portfolios Markowitz Portfolio Construction at Seventy

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Fragility of Minimum-Variance Portfolios Addressing estimation errors on expected asset returns through robust portfolio optimization.Quantitative Finance, pages 1–14, 2026

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Fragility of Minimum-Variance Portfolios Fabozzi, Dashan Huang, and Guofu Zhou

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Observation df46574e-6436-450a-a4d0-785476f90e79 · outbound

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Fragility of Minimum-Variance Portfolios Data-driven robust optimization.Mathematical Programming, 167(2):235–292, 2018

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Fragility of Minimum-Variance Portfolios Computing return estimation error matrices for robust optimization.Axioma Research Papers, 1:1–9, 2005

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Fragility of Minimum-Variance Portfolios Distributionally robust optimization under moment uncertainty with application to data-driven problems.Operations research, 58(3):595–612, 2010

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Fragility of Minimum-Variance Portfolios Incorporating asymmetric distributional information in robust value-at-risk optimization.Management Science, 54(3):573–585, 2008

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Fragility of Minimum-Variance Portfolios Quantifying distributional model risk via optimal transport

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Fragility of Minimum-Variance Portfolios Distributionally robust stochastic optimization with wasserstein distance

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Fragility of Minimum-Variance Portfolios Honey, I Shrunk the Sample Covariance Matrix.The Journal of Portfolio Management, 30(4):110–119, 2004

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Fragility of Minimum-Variance Portfolios A test for the number of factors in an approximate factor model.the Journal of Finance, 48(4):1263–1291, 1993

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Fragility of Minimum-Variance Portfolios Estimation with quadratic loss

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Fragility of Minimum-Variance Portfolios Awell-conditionedestimatorforlarge-dimensionalcovariancematrices

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Fragility of Minimum-Variance Portfolios Shrinkage algorithms for mmse covariance estimation.IEEE transactions on signal processing, 58(10):5016–5029, 2010

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Observation ce2cafa2-520a-421e-9d71-8bb7cdf331df · outbound

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Fragility of Minimum-Variance Portfolios Riskmetricstm—technical document.Morgan Guaranty Trust Company of New York: New York, 51:54, 1996

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Fragility of Minimum-Variance Portfolios Nonlinear shrinkage estimation of large-dimensional covariance ma- trices.The Annals of Statistics, pages 1024–1060, 2012

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Fragility of Minimum-Variance Portfolios Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets goldilocks.The Review of Financial Studies, 30(12):4349–4388, 2017

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Fragility of Minimum-Variance Portfolios Analytical nonlinear shrinkage of large-dimensional covariance matri- ces.The Annals of Statistics, 48(5):3043–3065, 2020

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Observation 7342da83-6020-4068-b431-d2d40d7f1548 · outbound

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Fragility of Minimum-Variance Portfolios A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms.Management science, 55(5):798–812, 2009

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Observation e5cf541a-674e-44ad-bd67-69c1b52850cc · outbound

This paper cites Machine learning and portfolio optimization.

Fragility of Minimum-Variance Portfolios Machine learning and portfolio optimization

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Resolution: unresolved; no resolver link, observed 2026-08-01T14:55:57.151598Z

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Observation 382a4438-1070-441b-8c2c-95c46ab8cddf · outbound

This paper cites A scalable algorithm for sparse portfolio selection.IN- FORMS Journal on Computing, 34(3):1489–1511, 2022.

Fragility of Minimum-Variance Portfolios A scalable algorithm for sparse portfolio selection.IN- FORMS Journal on Computing, 34(3):1489–1511, 2022

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Observation 55043d11-9588-4a90-9f0e-32fcc6f76040 · outbound

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Fragility of Minimum-Variance Portfolios Inverse optimization: A new perspective on the black-litterman model.Operations research, 60(6):1389–1403, 2012

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Observation 6a94f13a-2f42-42e6-b3e3-cea1d50a318d · outbound

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Fragility of Minimum-Variance Portfolios A review of two decades of correlations, hierarchies, networks and clustering in financial markets.Progress in information geometry: Theory and applications, pages 245–274, 2021

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Source-reported events for the cited work

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Observation 7dda0c9e-9b34-4e24-85c9-ba5650cc318e · outbound

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Fragility of Minimum-Variance Portfolios Can machine learning-based portfolios outperform traditional risk-based portfolios? the need to account for covariance misspecification.Risks, 7(3):74, 2019

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Observation a581e4c2-2dda-46d8-afaa-470f96c77f92 · outbound

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Fragility of Minimum-Variance Portfolios Cross asset portfolios of tradable risk premia indices.Global Quantitative and Derivatives Strategy, JP Morgan, 2017

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Observation 1bf280ed-f053-4ab7-a41f-66bd2107a25d · outbound

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Fragility of Minimum-Variance Portfolios The hierarchical equal risk contribution portfolio.Available at SSRN 3237540, 2018

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Observation 129ebea5-7423-4caa-986d-7680384ae217 · outbound

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Fragility of Minimum-Variance Portfolios Hierarchical clustering-based asset allocation.Journal of portfolio management, 44 (2):89–99, 2018

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Source-reported events for the cited work

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Observation 9bf4d561-6567-4859-aec6-9b0db3460bf4 · outbound

This paper cites Hierarchical structure in financial markets.The European Physical Journal B- Condensed Matter and Complex Systems, 11(1):193–197, 1999.

Fragility of Minimum-Variance Portfolios Hierarchical structure in financial markets.The European Physical Journal B- Condensed Matter and Complex Systems, 11(1):193–197, 1999

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Unavailable: canonical work link unavailable.

Observation 0af0b209-c232-4e48-9857-4c26b2cd2752 · outbound

This paper cites Common risk factors in the returns on stocks and bonds.

Fragility of Minimum-Variance Portfolios Common risk factors in the returns on stocks and bonds

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Observation f0a918a5-4e20-4ac7-aea2-d5ee3bdce825 · outbound

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Fragility of Minimum-Variance Portfolios Returns to buying winners and selling losers: Implications for stock market efficiency.The Journal of finance, 48(1):65–91, 1993

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Observation 59857da1-6bd6-4906-bd56-f805d6ab5e47 · outbound

This paper cites Value and momentum everywhere.

Fragility of Minimum-Variance Portfolios Value and momentum everywhere

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Observation 5eb20de6-2f7e-4fab-8828-398c53957a2c · outbound

This paper cites Time series momentum.Journal of financial economics, 104(2):228–250, 2012.

Fragility of Minimum-Variance Portfolios Time series momentum.Journal of financial economics, 104(2):228–250, 2012

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Observation f67eeafc-a964-478b-902a-78bf116946cf · outbound

This paper cites Springer, 2021.

Fragility of Minimum-Variance Portfolios Springer, 2021

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Unavailable: canonical work link unavailable.

Observation 53830962-857c-4687-b6f1-6900ee5c362e · outbound

This paper cites On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming.Mathematical programming, 106(1):25–57, 2006.

Fragility of Minimum-Variance Portfolios On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming.Mathematical programming, 106(1):25–57, 2006

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