Black, Jensen, and Scholes [BJS, 1972] and Miller and Scholes [1972] find that in the period
from 1931 through 1965 low-beta stocks in the United States did better than the capital asset …

Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

Abstract The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk
and return, but empirical studies find the actual relation to be flat, or even negative. This …

Second moments of asset returns are important for risk management and portfolio selection.
The problem of estimating second moments can be approached from two angles: time series …

portfolio selection requires an estimator of the covariance matrix of returns. To address this
problem, we promote a nonlinear shrinkage estimator that is more flexible than previous …

At the beginning of each month from January 1968 through December 2005 (456 months),
we estimate a covariance matrix for the 1,000 largest market capitalization US stocks with 60 …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

Cryptocurrencies (CCs) have risen rapidly in market capitalization over the past years.
Despite striking volatility, their high average returns and low correlations have established …

The popularity of downside risk among investors is growing and mean return–downside risk
portfolio selection models seem to oppress the familiar mean–variance approach. The …

Our objective in this paper is to examine whether one can use option-implied information to
improve the selection of mean-variance portfolios with a large number of stocks, and to …