My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in Derivatives, and other sources.
However, the body of research is immense, especially in recent years, so I'm interested in what the professionals are reading/building their work off of. Any references the community could offer would be much appreciated.
EDIT: As per the comments I'll define recent years as post 2000 with an emphasis on research after the crash of 2008. In particular, I'm seeking papers on quantitative management of portfolios and asset pricing.
Answer
Ledoit and Wolf shrinkage methods ("Honey I shrunk the sample covariance matrix")
Ceria and Stubbs - Robust optimization literature (2006)
Stock & Watson (2002ab) - papers on large N small P estimation
Rockafellar & Uryasev (2000) - "Optimization of CVaR and coherent risk measures"
Sorensen, Qian, Hua - "Quantitative Portfolio Management"
Ang and Bekaert - International Asset Allocation with Regime Shifts
Cochrane, "Asset Pricing" (2005)
Cochrane, "Discount Rates", (2011)
Bernd Scherer, Portfolio Construction and Risk Budgeting 4th Edition
Robertson et al, "Forecasting Using Relative Entropy" (2002)
Here are recent picks that I believe will be looked on as major contributions:
"Robust Bayesian Allocation", Attillio Meucci (2010)
"Dynamic stock selection - A structured factor model framework", Lopes Carvallho Aguilar (2011)
"A New Breed of Copulas for Risk and Portfolio Management", Atillio Meucci (2011)
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