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 …

Active portfolio management is typically conducted within constraints that do not allow managers
to fully exploit their ability to forecast returns. Constraints on short positions and turnover…

The performance of equity portfolios optimized to have the lowest possible variance has
attracted investor attention over the last several years. Minimum-variance strategies address an …

Analytic solutions to risk parity, maximum diversification, and minimum variance portfolios
provide useful perspectives about their construction and composition. Individual asset weights …

Methods We reviewed all available information on maternal and child health indicators in
the South Asian region (Bangladesh, Bhutan, India, Nepal, Pakistan, Sri Lanka, and the …

Combining long-only-constrained factor subportfolios is generally not a mean–variance-efficient
way to capture expected factor returns. For example, a combination of four fully invested …

Recently, we and others have isolated a candidate gene for X linked Norrie disease (ND)
which was found to be deleted or disrupted in several patients. As a prerequisite for the …

One of the ongoing debates in equity market research is the set of common factors that
explains the cross section of individual stock returns. With the influential backing of Fama and …

The cross-sectional variation of US stock returns has been unusually high in the past few
years. The wide dispersion in security returns has led to correspondingly wide dispersion in …

Armed combat in childhood is a form of child abuse. It may lead to serious consequences,
including post‐traumatic stress disorder. The inherent emotional abuse and acts or omissions …