Portfolio Construction, Measurement, and Efficiency

1. The Theory of Risk, Return, and Performance Measurement
John Guerard

2. Portfolio Theory: Origins, Markowitz and CAPM Based Selection
Phoebus J. Dhrymes

3. Market Timing
Ravi Jagannathan, Robert A. Korajczyk

4. Returns, Risk, Portfolio Selection, and Evaluation
Phoebus J. Dhrymes, John B. Guerard

5. Validating Return-Generating Models
Marshall E. Blume, Mustafa N. Gültekin, N. Bülent Gültekin

6. Invisible Costs and Profitability
Xiaoxia Lou, Ronnie Sadka

7. Mean-ETL Portfolio Construction in US Equity Market
Barret Pengyuan Shao

8. Portfolio Performance Assessment: Statistical Issues and Methods for Improvement
Bernell K. Stone

9. The Duality of Value and Mean Reversion
Noah Beck, Shingo Goto, Jason Hsu, Vitali Kalesnik

10. Performance of Earnings Yield and Momentum Factors in US and International Equity Markets
Jose Menchero, Zoltán Nagy

11. Alpha Construction in a Consistent Investment Process
Sebastián Ceria, Kartik Sivaramakrishnan, Robert A. Stubbs

12. Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns
Shijie Deng, Min Sim, Xiaoming Huo

13. The Behaviour of Sentiment-Induced Share Returns: Measurement When Fundamentals Are Observable
Richard A. Brealey, Ian A. Cooper, Evi Kaplanis

14. Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds
Ganlin Xu, Harry Markowitz, Minyee Wang, John B. Guerard

15. Fundamental Versus Traditional Indexation for International Mutual Funds: Evaluating DFA, WisdomTree, and RAFI PowerShares
Heehyun Lim, Edward Tower

16. Forecasting Implied Volatilities for Options on Index Futures: Time-Series and Cross-Sectional Analysis versus Constant Elasticity of Variance (CEV) Model
Tzu Tai, Cheng Few Lee

17. The Swiss Black Swan Unpegging Bad Scenario: The Losers and the Winners
Sebastien Lleo, William T. Ziemba

18. Leveling the Playing Field
Jonathan B. Berk, Jules H. Binsbergen

19. Against the ‘Wisdom of Crowds’: The Investment Performance of Contrarian Funds
Kelsey D. Wei, Russ Wermers, Tong Yao

Avainsanat: Finance, Corporate Finance, Risk Management, Corporate Governance, Macroeconomics/Monetary Economics//Financial Economics, Quantitative Finance