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rreece merged 1 commit into from
Jul 25, 2026
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backtesting #136

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1 change: 1 addition & 0 deletions bibs/finance.txt
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Anarkulova, A., Cederburg, S., & O'Doherty, M.S. (2025). Beyond the status quo: A critical assessment of lifecycle investment advice. https://ssrn.com/abstract=4590406
Arnott, R., Harvey, C.R., & Markowitz, H. (2019). A backtesting protocol in the era of machine learning. *The Journal of Financial Data Science*, 1, 64--74.
Aronson, D. (2007). *Evidence-Based Technical Analysis*. Wiley.
Asness, C.S. (1996). Why not 100% equities. *The Journal of Portfolio Management*, 22, 29--34. https://doi.org/10.3905/jpm.1996.29
Asness, C.S. (2014). Our model goes to six and saves value from redundancy along the way. https://www.aqr.com/Insights/Perspectives/Our-Model-Goes-to-Six-and-Saves-Value-From-Redundancy-Along-the-Way
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10 changes: 10 additions & 0 deletions portfolio-theory.qmd
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Expand Up @@ -807,6 +807,16 @@ whereas $d_{ij}$ is defined for asset pairs.
[^Raffinot2018b]: @Raffinot_2018_The_hierarchical_equal_risk_contribution_portfolio\.


Backtesting
--------------------------------------------

- Palomar, D.P. (2025). [*Portfolio Optimization: Theory and Application*](https://portfoliooptimizationbook.com/). [^Palomar2025ch8]
- Arnott, R., Harvey, C.R., & Markowitz, H. (2019). A backtesting protocol in the era of machine learning. [^Arnott2019]

[^Arnott2019]: @Arnott_2019_A_backtesting_protocol_in_the_era_of_machine\.
[^Palomar2025ch8]: @Palomar_2025_Portfolio_Optimization_Theory_and_Application\, ch. 8.


Forecasting
--------------------------------------------

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