extra_reading.txt

Convex Optimization by Boyd and Vandenberghe
http://stanford.edu/~boyd/cvxbook/bv_cvxbook.pdf

The Statistics of Sharpe Ratios by Andrew W. Lo
https://www.researchgate.net/publication/228139699_The_Statistics_of_Sharpe_Ratios

Maximizing the Sharpe ratio
http://people.stat.sc.edu/sshen/events/backtesting/reference/maximizing%20the%20sharpe%20ratio.pdf

Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1585031

Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
https://www.nber.org/papers/w8922

Honey, I Shrunk the Sample Covariance Matrix
https://repositori.upf.edu/bitstream/handle/10230/560/691.pdf?sequence=1

A Step-by-Step Guide to the Black-Litterman Model
https://faculty.fuqua.duke.edu/~charvey/Teaching/BA453_2006/Idzorek_onBL.pdf

The Black-Litterman Approach: Original Model and Extensions
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1117574