- 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). arXiv.org
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