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