Handbook of Finance: Investment Management and Financial Management

REFERENCES

F. Black, and R. Litterman (1992). Global portfolio optimization. Financial Analysts Journal 58, 5: 28–43.

S. Ceria, and R. Stubbs (2006). Incorporating estimation errors into portfolio selection: Robust portfolio construction. Journal of Asset Management 7, 2: 109–127.

R. Clark, H. de Silva, and S. Thorley (2002). Portfolio constraints and the fundamental law of active management. Financial Analysts Journal 58, 5: 48–66.

R. Davies, H. Kat, and S. Lu (2004). Fund of hedge funds portfolio selection: A multiple-objective approach, AIRC working paper no. 18.

A. Gelman, J. Carlin, H. Stern, and D. Rubin (2004). Bayesian Data Analysis, 2nd edition. Boca Raton, FL: Chapman & Hall/CRC.

K. Grant (2004).Trading Risk: Enhanced Profitability Through Risk Control. Hoboken, NJ: John Wiley & Sons.

R. Grinold, and R. Kahn (1999). Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk. New York: McGraw-Hill.

C. Harvey, J. Liechty, M. Liechty, and P. Mueller (2004). Portfolio selection with higher moments. Faculty research paper FRPS04-123, Duke University, Fuqua School of Business.

O. Ledoit, and M. Wolf (2004). Honey, I shrunk the sample covariance matrix. Journal of Portfolio Management 30, 4: 110–119.

H. Markowitz (1959). Portfolio Selection. New Haven, CT: Yale University Press.

A. Meucci (2005). Risk and Asset Allocation. New York: Springer Finance.

R. Michaud (1998). Efficient Asset Management. Boston: Harvard ...