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Part 1
Asset Allocation and Institutional Investors
CHAPTER 1
Asset Allocation Processes and the Mean-Variance Model
References

Оглавление

Ang, A. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford: Oxford University Press.

Brinson, G. P., L. R. Hood, and G. L. Beebower. 1986. “Determinants of Portfolio Performance.” Financial Analysts Journal 42 (4): 39–44.

Cox, J., J. Ingersoll, and S. A. Ross. 1985. “An Intertemporal General Equilibrium Model of Asset Prices.” Econometrica 53 (2): 363–84.

Eychenne, K., S. Martinetti, and T. Roncalli. 2011. “Strategic Asset Allocation.” Lyxor Asset Management, Paris.

Eychenne, K., and T. Roncalli. 2011. “Strategic Asset Allocation – An Update Following the Sovereign Debt Crisis.” Lyxor Asset Management, Paris.

Ibbotson, R. G., and P. D. Kaplan. 2000. “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal 56 (1): 26–33.

Maginn, J. L., D. L. Tuttle, J. E. Pinto, and D. W. McLeavey. 2007. Managing Investment Portfolios. 3rd ed. Hoboken, NJ: John Wiley & Sons.

Alternative Investments

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