Advanced search
Publication Cover
Applied Economics Letters Volume 23, 2016 - Issue 13
Submit an article Journal homepage
352
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

Shortfall minimization and the Naive (1/N) portfolio: an out-of-sample comparison

M. Ryan HaleyDepartment of Economics, University of Wisconsin Oshkosh, Oshkosh, WI, USACorrespondence[email protected]
Pages 926-929 | Published online: 10 Dec 2015

References

  • DeMiguel, V., L. Garlappi, and R. Uppal. 2009. “Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?” Review of Financial Studies 22: 1915–1953. doi:10.1093/rfs/hhm075.
  • Fishburn, P. 1977. “Mean-Risk Analysis with Risk Associated with Below-Target Returns.” American Economic Review 67: 116–126.
  • Haley, M. 2014. “Gaussian and Logistic Adaptations of Smoothed Safety First.” Annals of Finance 10: 333–345.
  • Haley, M., H. Paarsch, and C. Whiteman. 2013. “Smoothed Safety First and the Holding of Assets.” Quantitative Finance 13: 167–176. doi:10.1080/14697688.2012.713113.
  • Haley, M., and C. Whiteman. 2008. “Generalized Safety First and a New Twist on Portfolio Performance.” Econometric Reviews 27: 457–483. doi:10.1080/07474930801960360.
  • Jorion, P. 2000. Value at Risk: The New Benchmark for Managing Financial Risk. 2nd ed. New York: McGraw-Hill.
  • Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7: 77–91.
  • Markowitz, H. 1970. Portfolio Selection: Efficient Diversification of Investments. 2nd ed. New York: Yale University Press.
  • Markowitz, H. 1999. “The Early History of Portfolio Theory: 1600–1960.” Financial Analysts Journal 55: 5–16. doi:10.2469/faj.v55.n4.2281.
  • Roy, A. 1952. “Safety First and the Holding of Assets.” Econometrica 20: 431–449. doi:10.2307/1907413.
  • Sharpe, W. 1994. “The Sharpe Ratio.” The Journal of Portfolio Management 21 (1): 49–58. doi:10.3905/jpm.1994.409501.
  • Sortino, F., and L. Price. 1994. “Performance Measurement in a Downside Risk Framework.” The Journal of Investing 3 (3): 59–64. doi:10.3905/joi.3.3.59.
  • Stutzer, M. 2000. “A Portfolio Performance Index.” Financial Analysts Journal 56 (May/June): 52–61. doi:10.2469/faj.v56.n3.2360.
  • Stutzer, M. 2003. “Portfolio Choice with Endogenous Utility: A Large Deviations Approach.” Journal of Econometrics 116: 365–386. doi:10.1016/S0304-4076(03)00112-X.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.