Class information for:
Level 1: JOURNAL OF PORTFOLIO MANAGEMENT//ESTIMATION RISK//MINIMUM VARIANCE PORTFOLIO

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
18136 564 24.4 38%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
144 2             BUSINESS, FINANCE//JOURNAL OF FUTURES MARKETS//ECONOMICS 23368
18136 1                   JOURNAL OF PORTFOLIO MANAGEMENT//ESTIMATION RISK//MINIMUM VARIANCE PORTFOLIO 564

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF PORTFOLIO MANAGEMENT journal 840423 26% 11% 145
2 ESTIMATION RISK authKW 312325 3% 38% 15
3 MINIMUM VARIANCE PORTFOLIO authKW 300766 2% 56% 10
4 FINANCIAL ANALYSTS JOURNAL journal 242993 8% 10% 47
5 GLOBAL MINIMUM VARIANCE PORTFOLIO authKW 216554 1% 67% 6
6 NAIVE DIVERSIFICATION authKW 193353 1% 71% 5
7 MEAN VARIANCE ANALYSIS authKW 184615 3% 19% 18
8 QUANTITAT INVESTMENT GRP address 121812 1% 75% 3
9 BUSINESS, FINANCE WoSSC 112145 66% 1% 373
10 MARKOWITZ PORTFOLIO SELECTION authKW 108279 0% 100% 2

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 Business, Finance 112145 66% 1% 373
2 Economics 5376 34% 0% 189
3 Social Sciences, Mathematical Methods 1209 6% 0% 33
4 Operations Research & Management Science 824 9% 0% 51
5 Management 508 7% 0% 39
6 Statistics & Probability 462 7% 0% 42
7 Mathematics, Interdisciplinary Applications 302 6% 0% 32
8 Agricultural Economics & Policy 78 1% 0% 5
9 Business 35 2% 0% 10
10 Mathematics, Applied 4 2% 0% 14

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 QUANTITAT INVESTMENT GRP 121812 1% 75% 3
2 AA ADVISORS QCG ABN AMROVARIANCES 54140 0% 100% 1
3 BANK ASSETS ALLOCAT 54140 0% 100% 1
4 CADIZ ASSET MANAGEMENT 54140 0% 100% 1
5 CHAIR PL STOCHAST 54140 0% 100% 1
6 CORE EQUITIES 54140 0% 100% 1
7 CREDIT COUNTRY RISK CONTROL 54140 0% 100% 1
8 DYNAM EQU 54140 0% 100% 1
9 EQU GRP 54140 0% 100% 1
10 EQU PROPRIETARY TRADING 54140 0% 100% 1

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF PORTFOLIO MANAGEMENT 840423 26% 11% 145
2 FINANCIAL ANALYSTS JOURNAL 242993 8% 10% 47
3 JOURNAL OF RISK 44274 2% 7% 12
4 JOURNAL OF EMPIRICAL FINANCE 13303 2% 2% 12
5 JOURNAL OF FINANCE 11147 4% 1% 25
6 JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 9429 3% 1% 16
7 JOURNAL OF FINANCIAL ECONOMETRICS 9054 1% 3% 6
8 QUANTITATIVE FINANCE 8211 2% 1% 14
9 INVESTMENT ANALYSTS JOURNAL 7658 1% 4% 4
10 FINANCE RESEARCH LETTERS 6873 1% 2% 8

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 ESTIMATION RISK 312325 3% 38% 15 Search ESTIMATION+RISK Search ESTIMATION+RISK
2 MINIMUM VARIANCE PORTFOLIO 300766 2% 56% 10 Search MINIMUM+VARIANCE+PORTFOLIO Search MINIMUM+VARIANCE+PORTFOLIO
3 GLOBAL MINIMUM VARIANCE PORTFOLIO 216554 1% 67% 6 Search GLOBAL+MINIMUM+VARIANCE+PORTFOLIO Search GLOBAL+MINIMUM+VARIANCE+PORTFOLIO
4 NAIVE DIVERSIFICATION 193353 1% 71% 5 Search NAIVE+DIVERSIFICATION Search NAIVE+DIVERSIFICATION
5 MEAN VARIANCE ANALYSIS 184615 3% 19% 18 Search MEAN+VARIANCE+ANALYSIS Search MEAN+VARIANCE+ANALYSIS
6 MARKOWITZ PORTFOLIO SELECTION 108279 0% 100% 2 Search MARKOWITZ+PORTFOLIO+SELECTION Search MARKOWITZ+PORTFOLIO+SELECTION
7 MINIMUM VARIANCE PORTFOLIOS 108279 0% 100% 2 Search MINIMUM+VARIANCE+PORTFOLIOS Search MINIMUM+VARIANCE+PORTFOLIOS
8 REMOTE CLIENTS 108279 0% 100% 2 Search REMOTE+CLIENTS Search REMOTE+CLIENTS
9 RESAMPLED EFFICIENCY 108279 0% 100% 2 Search RESAMPLED+EFFICIENCY Search RESAMPLED+EFFICIENCY
10 BLACK LITTERMAN MODEL 97449 1% 60% 3 Search BLACK+LITTERMAN+MODEL Search BLACK+LITTERMAN+MODEL

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 DEMIGUEL, V , GARLAPPI, L , UPPAL, R , (2009) OPTIMAL VERSUS NAIVE DIVERSIFICATION: HOW INEFFICIENT IS THE 1/N PORTFOLIO STRATEGY?.REVIEW OF FINANCIAL STUDIES. VOL. 22. ISSUE 5. P. 1915 -1953 21 62% 305
2 JACOBS, BI , LEVY, KN , (2014) TEN INVESTMENT INSIGHTS THAT MATTER.JOURNAL OF PORTFOLIO MANAGEMENT. VOL. 40. ISSUE 5. P. 60 -67 17 94% 0
3 KOLM, PN , TUTUNCU, R , FABOZZI, FJ , (2014) 60 YEARS OF PORTFOLIO OPTIMIZATION: PRACTICAL CHALLENGES AND CURRENT TRENDS.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. VOL. 234. ISSUE 2. P. 356-371 25 52% 24
4 DEMIGUEL, V , MARTIN-UTRERA, A , NOGALES, FJ , (2013) SIZE MATTERS: OPTIMAL CALIBRATION OF SHRINKAGE ESTIMATORS FOR PORTFOLIO SELECTION.JOURNAL OF BANKING & FINANCE. VOL. 37. ISSUE 8. P. 3018-3034 21 72% 8
5 DISATNIK, D , KATZ, S , (2012) PORTFOLIO OPTIMIZATION USING A BLOCK STRUCTURE FOR THE COVARIANCE MATRIX.JOURNAL OF BUSINESS FINANCE & ACCOUNTING. VOL. 39. ISSUE 5-6. P. 806-843 18 90% 2
6 CHIU, WY , (2015) AN OPTIMAL COMBINATION OF RISK-RETURN AND NAIVE HEDGING.BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS. VOL. 29. ISSUE 3. P. 656 -676 19 79% 0
7 KOURTIS, A , DOTSIS, G , MARKELLOS, RN , (2012) PARAMETER UNCERTAINTY IN PORTFOLIO SELECTION: SHRINKING THE INVERSE COVARIANCE MATRIX.JOURNAL OF BANKING & FINANCE. VOL. 36. ISSUE 9. P. 2522-2531 19 73% 8
8 BEHR, P , GUETTLER, A , TRUEBENBACH, F , (2012) USING INDUSTRY MOMENTUM TO IMPROVE PORTFOLIO PERFORMANCE.JOURNAL OF BANKING & FINANCE. VOL. 36. ISSUE 5. P. 1414 -1423 21 66% 5
9 BEHR, P , GUETTLER, A , MIEBS, F , (2013) ON PORTFOLIO OPTIMIZATION: IMPOSING THE RIGHT CONSTRAINTS.JOURNAL OF BANKING & FINANCE. VOL. 37. ISSUE 4. P. 1232-1242 18 75% 3
10 BRENNAN, TJ , LO, AW , (2010) IMPOSSIBLE FRONTIERS.MANAGEMENT SCIENCE. VOL. 56. ISSUE 6. P. 905-923 14 100% 4

Classes with closest relation at Level 1


Rank Class id link
1 1832 BUSINESS, FINANCE//ASSET PRICING//VALUE PREMIUM
2 8841 UNCERTAINTY THEORY//PORTFOLIO SELECTION//UNCERTAIN VARIABLE
3 5243 MUTUAL FUNDS//HEDGE FUNDS//BUSINESS, FINANCE
4 28243 CAPITAL GAINS TAXATION//LOCK IN EFFECT//CAPITAL GAIN TAXATION
5 12573 ROBUST OPTIMIZATION//CHANCE CONSTRAINTS//PROBABILISTIC CONSTRAINTS
6 3582 EQUITY PREMIUM//PREDICTIVE REGRESSION//ASSET PRICING
7 15126 ECONOPHYSICS//STOCK NETWORK//FINANCIAL CORRELATIONS
8 37524 CASE BASED DECISION THEORY//EMPIRICAL SIMILARITY//CASE BASED DECISIONS
9 31130 ACT LEARNING PROGRAM//ADJUSTABLE TERM LOAN//AIR LOGISTICS SERVICE PROVIDER AIR LSP
10 5363 CONTAGION//STOCK MARKET INTEGRATION//VOLATILITY SPILLOVERS

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