|
1. Black, F., & Litterman, R. (1990). Asset allocation: combining investor views with market equilibrium. Goldman Sachs Fixed Income Research, 115. 2. Breiman, L., Friedman, J., Olshen, R. and Stone, C. (1984). Classification and Regression Trees. Wadsworth. 3. Breiman, L. (2001). Random forests. Machine learning, 45(1), 5-32. 4. Connor, G. (1995). The three types of factor models: A comparison of their explanatory power. Financial Analysts Journal, 51(3), 42-46. 5. Fama, E. F., & French, K. R. (1998). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465. 6. Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. Journal of finance, 53(6), 1975-1999. 7. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22. 8. Figelman, I. (2017). Black–Litterman with a Factor Structure Applied to Multi-Asset Portfolios. The Journal of Portfolio Management, 44(2), 136-155. 9. Frost, P. A., & Savarino, J. E. (1988). For better performance: Constrain portfolio weights. Journal of Portfolio Management, 15(1), 29. 10. Grinold, R. C., and Kahn, R. N. (2000). Active Portfolio Management. New York: McGraw-Hill. 11. Ho, T. K. (1998). The random subspace method for constructing decision forests. IEEE transactions on pattern analysis and machine intelligence, 20(8), 832-844. 12. Hodges, P., Hogan, K., Peterson, J. R., & Ang, A. (2017). Factor timing with cross-sectional and time-series predictors. The Journal of Portfolio Management, 44(1), 30-43. 13. Idzorek, T. (2007). A step-by-step guide to the Black-Litterman model: Incorporating user-specified confidence levels. In Forecasting expected returns in the financial markets (pp. 17-38). Academic Press. 14. Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, The Review of Economics and Statistics, 47(1), 13-37. 15. Markowitz, H. (1952). Portfolio selection, Journal of Finance, 7(1), 77-91. 16. Miller, K. L., Li, H., Zhou, T. G., & Giamouridis, D. (2015). A risk-oriented model for factor timing decisions. The Journal of Portfolio Management, 41(3), 46-58. 17. Mossin, J. (1966). Equilibrium in a Capital Asset Market, Econometrica, 34(4), 768-783. 18. Rosenberg, B. (1974). Extra-market components of covariance in security returns. Journal of Financial and quantitative analysis, 263-274. 19. Ross , S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13(3), 341-360. 20. Sharpe, W. F. (1964), Capital Asset Price: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19(3), 425-442. 21. Theil, H. (1971). Principles of Econometrics. New York: Wiley and Sons. 22. Theil, H. (1978). Introduction to Econometrics. New Jersey: Prentice-Hall, Inc.
|