<P>Topics:</P>
<P>1.Introduction and portfolio return decomposition</P>
<P>2.Estimation Risk</P>
<P>3.Computing long-run expected returns and portfolios</P>
<P>1)Expected Returns on Stocks and bonds-By Antti ilmanen</P>
<P>2)What practitioners need to know -aobut time diversification-Mark Kritzman</P>
<P>3)The Persistence of risk of stocks versus bonds over the long term-Martin L. Leibowitz and William S.Krasker</P>
<P>4)The equity premium- Fama French</P>
<P>5)Risk, diversification ,and the investmen horizon -Krit C.Butler and Dale L.Doian</P>
<P>4. Time-varying expected returns and market timing</P>
<P>1)Market Timing Strategies That worked--By Pu Shen</P>
<P> Based on the E/P ratio of the S&amp;P500 and interest rates</P>
<P>2)A Comprehensive Look at The Emprical Performance of Equity Premium Prediction-By Amit Goval ,Ivo Welch</P>
<P>National Bureau of Economic Research</P>
<P>3)Business Conditions and Expected Returns on Stocks and Bonds-By Fama, French</P>
<P>压缩包内没有,在下面留言已经补充好了!</P>
<P>5.Equilibrium asset pricing</P>
<P>Handbook-Asset Pricing Theory(共110页)</P>
<P>6.Cross-sectional predictability</P>
<P>1)Contrarian Investment,Extraplation,and Risk-By Josef Lakonishok, Andrei Shleifer, Rober W. Vishny</P>
<P>2)Common Risk factors in the returns on stocks and bonds-By Fama, French</P>
<P>3)Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.-By Narasimhan Jegadeesh</P>
<P>7.Active portfolio management</P>
<P>1) How to Use Security Analysis to Improve Portfolio Selection-By Jack L. Treynor, Fischer Black</P>
<P>2) The Intuition Behind Black-Litterman Model Portfolios</P>
<P>Investment Management Research(Goldman Sachs) -By Guangliang He, Robert Litterman</P>
<P>8.Generating alphas</P>
<P>1)Simple Technical Trading Rules and the Stochastic Properties of Stock Return</P>
<P>--By William Brock, Josef Lakonishok, Blake LeBaron</P>
<P>2)Valuing the Dow: A Bottom-Up Approach-By Charles M.C. Lee and Bheaskaran Swaminathan</P>
<P>3)How to Do Analysts Use Their Earnings Forecasts in Generating Stock Recommendations?-By Mark T. Bradshaw</P>
<P>9.Performance analysis</P>
<P>1)Asset Allocation Dynamics and Pension Fund Performance-By David Blake,Bruce N.Lehmann; Allan Timmermann</P>
<P>2)Asset Allocation:Management style and performance mearsurement-William F. Sharp</P>
<P>3)On Persistence in Mutual Fund Performance-Mark M. Carhart</P>
<P>4)Measuring Fund Strategy and Performance in Changing Economic Conditions</P>
<P>5)The value of asset allocation advice: Evidence from The Economist's quarterly portfolio poll</P>
<P> --By Jan Annaert, Marc J.K. De Ceuster, Wim Van Hyfte</P>
<P>6)Hedge Fund Benchemarks: A Risk-Based Approach-BY William Fung and David A. Hsieh</P>
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[此贴子已经被作者于2007-5-26 0:53:20编辑过]