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]