EDHEC-Risk Institute October 2016

Multi-Dimensional Risk and Performance Analysis for Equity Portfolios — October 2016

References

• Maeso, J.-M. and L. Martellini. 2016. Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting. EDHEC-Risk Institute Publication (June). • Martellini, L. and V. Milhau. 2015. Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad? EDHEC-Risk Institute Publication (July). • Menchero, J. and A. Morozov. 2011. The Relative Strengths of Industry and Country Factors in Global Equity Markets. MSCI Working Paper. • Menchero J. and V. Poduri. 2008. Custom Factor Attribution. Financial Analysts Journal 64(2): 81- 92. • Menzly, L., T. Santos and P. Veronesi. 2004. Understanding Predictability. Journal of Political Economy 112(1): 1-47. • Merton, R. 1987. A Simple Model of Capital Market Equilibrium with Incomplete Information. The Journal of Finance 42(3): 483-510. • Merton, R. 1973. An Intertemporal Capital Asset Pricing Model. Econometrica 41(5): 867-887. • Qian, E. 2006. On The Financial Interpretation of Risk Contributions: Risk Budgets do Add Up. The Journal of Investment Management 4(4): 41-51. •  Roncalli, T. 2013. Introduction to Risk Parity and Budgeting. Chapman and Hall. •  Roncalli, T. and G. Weisang. 2012. Risk Parity Portfolios with Risk Factors, Working Paper. •  Rosenberg, B. and V. Marathe. 1976. Common Factors in Security Returns: Microeconomic Determinants and Macroeconomic Correlates. University of California Institute of Business and Economic Research, Research Program in Finance. Working paper No. 44. •  Ross, S.A. 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory 13: 341-360. •  Shanken, J. 1990. Intertemporal Asset Pricing: An Empirical Investigation. Journal of Econometrics 45(1): 99-120. •  Sharpe, W. F. 1964. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk . The Journal of Finance 19(3): 425-442. •  Sharpe, W. 1963. A Simplified Model for Portfolio Analysis. Management Science 9(2): 277-293. •  Stattman, D. 1980. Book Value and Stock Returns. The Chicago MBA: A Journal of Selected Papers 4(1): 25-45. •  Stock, J. and M. Watson. 1989. New Indexes of Coincident and Leading Economic Indicators. NBER Macroeconomics Annual : 351-393. •  Treynor, J. L. 1961. Market Value, Time, and Risk. Unpublished manuscript. Rough Draft dated 8 August 1961: 95-209.

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