History Class

  • Efficient Frontier Markowitz, 1952
  • The Capital Asset Pricing Model Treynor, 1962, Sharpe 1964, Linter 1965
  • Margin CAPMBlack, 1972
  • Arbitrage Pricing(APT)Ross, 1976
  • The Three-factor modelFama and French, 1993

Investment Practice and Capital Markets

  • Ang, Goetzmann, Schaefer, 2009, Evaluation of Active Management of Norwegian Government Pension Fund Global

Papers

  • Evaluation of Active Investment
  • Lewellen, J. (2011). Institutional investors and the limits of arbitrage. Journal of Financial Economics, 102(1), pp.62-80.
  • Edelen, R., Ince, O. and Kadlec, G. (2014). Institutional Investors and Stock Return Anomalies. SSRN Electronic Journal.
  • Akbas, F., Armstrong, W., Sorescu, S. and Subrahmanyam, A. (2015). Smart money, dumb money, and capital market anomalies. Journal of Financial Economics, 118(2), pp.355-382.
  • Calluzzo, P., Moneta, F. and Topaloglu, S. (2015). Anomalies are Publicized Broadly, Institutions Trade Accordingly, and Returns Decay Correspondingly.

Diversification

  • Why Not 100% Equities Clifford AsnessDive
  • The 5 Percent SolutionClifford Asness and Antti IImanen

Demystify Hedge Fund (Alpha)

  • The Great Divide Asness and Liew, 2014Market Efficiency
  • Buffet's Alpha, Frazzini, Kabiller, Pedersen, 2018
  • Do Hedge Fund Hedge Asness, Krail, LiewCharacters of Risk and Return in Risk ArbitrageMIchell, Pulvino
  • An Alternative Future: Part IAsness, 2004a
  • Evaluation of Active Management of Norweign Government Pension Fund GlobalAng, Goetzmann, Schaefer, 2009
  • Demystifying CTAsHurst, Ooi, Pedersen, 2013

Factor to Real World

  • The Devil in HML DetailsAsness, FrazzniHML
  • Fact, Fiction and Momentum InvestingAsness, Frazzini, Israel, Moskowitz
  • Fact, Fiction and Value Investing, Asness, Frazzini, Israel
  • Craftsmanship Alpha,Israel, Jiang, Ross

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