 |
Intertemporal Asset Pricing Theory, Darrell Due, Stanford University, July 2002.
|
|
Bayesian Analysis for Simulation Input and Output, Stephen E. Chick, Proceedings of 1997 Winter simulation Conference.
|
|
Consistent Return Estimates in the Asset Allocation Process – The Black-Litterman Approach, Dr. Werner Koch, CEFA, COMINVEST, PM Hedge Fund, October 2008.
|
|
Portfolio Theory Diversification, Marcel Rindisbacher, October 29, 2002.
|
|
Controlled Markov Chains with Risk-Sensitive Exponential Average Cost Criterion, Agustin Brau and Emmanuel Fernandez-Gaucherand, Proceedings of the 36th Conference on Decision and Control, December 1997.
|
|
Cross-sectional Forecasts of the Equity Premium, Christopher Polk, Samuel Thompson, and Tuomo Vuolteenaho1 April 13, 2004.
|
|
Efficient Frontier Bounds Under Stochastic Covariances, Alexander Philipov, December 17, 2003.
|
|
The Game-Theoretic Capital Asset Pricing Model, Glenn Shafer, Rutgers Business School, February 11, 2002.
|
|
Benchmarks, Tracking, Active Management, and Performance, Heinz Zimmermann, Swiss Institute of Banking and Finance, University of St. Gallen, 9 November, 2000.
|
|
Risk-Adjusted Performance Analysis, Andreas Steiner, Zurich, May 2001.
|
|
Estimating Equity Risk Premiums, Aswath Damodaran, Stern School of Business.
|
|
A Comparison of Some New Measures of Skewness, G. Brys, M. Hubert, and A. Struyf, Department of Mathematics and Computer Science, University of Antwerp (UIA), Belgium
|
|
The Relation between Tracking Error and Tactical Asset Allocation, Manuel Ammann, Heinz Zimmermann, Swiss Institute of Banking and Finance, University of St. Gallen, April 1999, Revised March 2000
|
|
Diversification, Antonios Sangvinatsos.
|
|
Honey, I Shrunk the Sample Covariance Matrix, Olivier Ledoit and Michael Wolf, 2004.
|
|
Global Portfolio Optimization, Black, Fischer; Litterman, Robert, Financial Analysts Journal, Sep/Oct 1992
|
|
The Intuition Behind Black-Litterman Model Portfolios, Guangliang He, Robert Litterman, Goldman Sachs, Investment Management Division, December 1999
|
|
Global Asset Allocation With Equities, Bonds, and Currencies, Fischer Black, Robert Litterman, Goldman Sachs, Fixed Income Research, October 1991.
|
|
A Step-by-Step Guide to the Black-Litterman Model, Incorporating user-specified confidence levels, Thomas M. Idzorek, April 26, 2005
|
|
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model, Louis K. C. Chan, Jason Karceski, Josef Lakonishok, The Review of Financial Studies, Vol. 12, No. 5, Winter 1999
|
|
A Multivariate Model of Strategic Asset Allocation, John Y. Campbell, Yeung Lewis Chang, Luis M. Viceira, February 2002.
|
|
Appendix to A Multivariate Model of Strategic Asset Allocation, John Y. Campbell, Yeung Lewis Chang, Luis M. Viceira, February 2002.
|
|
Foreign Currency For Long Term Investors, John Y. Campbell, Luis M. Viceira, Joshua S. White, February 2002.
|
|
Strategic Asset Allocation in a Continuous-Time VAR, Model, John Y. Campbell, George Chacko, Jorge Rodriguez, Luis M. Viceira
|
|
Testing for Structural Change in the Predictability of Asset Returns, Luis M. Viceira, April 1997.
|
|
Stock Return Predictability and Model Uncertainty, Doron Avramov, January 12, 2000.
|
|
Predicting Financial Crashes Using Discrete Scale Invariance, Anders Johansen, Didier Sornette and Olivier Ledoit, November 9, 2000
|
|
Long-Horizon Mean-Variance Analysis: A User Guide, John Y. Campbell, and Luis M. Viceira, September 2004
|
|
The Risk and Return from Factors, Louis K. C. Chan, Jason Karceski, Josef Lakonishok, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 2, June 1998.
|
|
Portfolio Choice Problems, Michael W. Brandt, Fuqua School of Business, Duke University and NBER, August 2004
|
|
Portfolio Resampling: Review and Critique, Bernd Scherer, 2002, AIMR
|
|
Resampled Efficiency vs. Bayes: Implications for Asset Management, Richard Michaud and Robert Michaud, New Frontier Advisors, LLC Boston, February 2004
|
|
Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, Olivier Ledoit, Michael Wolf, September 2002
|
|
Bayesian estimation.
|
|
Bayesian Approach to statistics.
|
|
The Bayesian Approach to Statistical Modeling, Rob Nowak, Clayton Scott, 2003/08/01.
|
|
Understanding the Bayesian Approach: A Nondogmatic Perspective, Kathryn Blackmond Laskey, Department of Systems Engineering, George Mason University, October 10, 1997.
|
|
A Bayesian approach to Markov modelling in cost-effectiveness analyses: application to taxane use in advanced breast cancer, Nicola J. Cooper, Keith R. Abrams, Alex J. Sutton, David Turner and Paul C. Lambert, University of Leicester, UK, November 2002.
|
|
A Bayesian Approach to Uncertainty Aversion, Yoram Halevy, Vincent Feltkamp, June 8, 2004.
|
|
A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models, Chang-Jin Kim and Charles R. Nelson, August 25, 1998.
|
|
Portfolio Selection Using Bayesian Analysis and Gibbs Sampling, Alex Greyserman, Douglas H. Jones, William E. Strawderman
|
|
Bayesian Optimal Portfolio Selection: the Black-Litterman Approach, George A Christodoulakis, Faculty of Finance, Sir John Cass Business School, City University, London, Notes for Quantitative Asset Pricing, November 2002
|
|
Bayes-Stein Estimation for Portfolio Analysis, Philippe Jorion, The Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, September 1986.
|
|
The Second Fundamental Theorem of Asset Pricing: A New Approach, Robert J. Battig, Robert A. Jarrow, The Review of Financial Studies, Vol. 12, No. 5, Winter 1999.
|
