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How Dividend Discount Models Can Be Used to Add Value
The Successful Use of Benchmark Portfolios
Exploring Factor Optimization
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alpha analysis Arnott asset allocation average backtest results BARRA factor Bell Atlantic benchmark portfolio process beta biases Book/Price Brignoli capitalization-weighted coefficient coins companies constraints correlation Cowhey DDM expected return dividend discount model Dividend Yield earnings Earnings/Price equally weighted equity attributes equity managers estimates example excess return f-statistic factor model factor optimization factor returns Fogler forecast Foreign Income growth rate growth stocks impact important index funds indicates input investment manager investment manager's investment process investment style investors issues Jacobs and Levy January effects large-capitalization linear low-P/E M-V efficient frontier M-V optimization M-V optimized portfolios measure Michaud multifactor model Nagorniak normal portfolio outperform P/E ratios percent level performance period portfolio construction Portfolio Management predictive problem quantitative models ranked rebalancing regression relative residual risk risk premium sector shows small-capitalization Source standard deviation stock selection subset Table techniques transaction costs universe valuation versus volatility zero