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.

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    $\begingroup$ @Drew Christianson: Hi, and welcome to the site. Since your question cannot have a unique "correct" answer, I've made it community wiki. $\endgroup$
    – olaker
    Commented Sep 22, 2011 at 17:03
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    $\begingroup$ Hi Drew, welcome to quant.SE and thanks for your question. Your question is extremely vague and would benefit from narrowing in on a particular area you are interested in. For example, for quantitative equity, there is already a similar question. You also need to define "recent years". $\endgroup$ Commented Sep 22, 2011 at 17:03

3 Answers 3


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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    $\begingroup$ I wish I could give points for editing. Thanks! $\endgroup$ Commented Sep 23, 2011 at 19:28
  • $\begingroup$ Great reading list! I think I will start reading those on the list which I haven't read already. $\endgroup$ Commented Sep 26, 2011 at 15:07
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    $\begingroup$ I just got through part II of Cochrane (2011). Very long (about 100pp) but well worth reading. This has the potential to completely reshape the way we think about asset pricing (my PhD is in asset pricing, FYI). $\endgroup$ Commented Sep 28, 2011 at 9:17
  • $\begingroup$ Yes - I'm a big fan of it as well. He draws on ideas from his original text (2005) although the paper is more punchy (even at 100 pages!). $\endgroup$ Commented Sep 28, 2011 at 15:49

Grinold and Kahn (2000) remains the bible for people just starting to get into quantitative portfolio management. Some readers may prefer the treatment in Litterman (2003). Both of these, however, are thorough books covering all the foundational material.

Most of the recent work in portfolio management has built upon the research covered in those books. Here are some important recent papers:

Some important recent papers in asset pricing:


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