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type_genre:"Article in journal"
subject:"CAPM"
~isPartOf:"The journal of portfolio management : a publication of Institutional Investor"
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The journal of portfolio management : a publication of Institutional Investor
Journal of financial economics
153
The journal of finance : the journal of the American Finance Association
153
The review of financial studies
139
Journal of banking & finance
122
Journal of economic dynamics & control
116
Mathematical finance : an international journal of mathematics, statistics and financial theory
77
Journal of empirical finance
75
Finance research letters
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Economics letters
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59
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International review of economics & finance : IREF
46
International review of financial analysis
45
Journal of econometrics
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International journal of theoretical and applied finance
43
The North American journal of economics and finance : a journal of financial economics studies
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Journal of international money and finance
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
40
Review of quantitative finance and accounting
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Annals of finance
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Advances in futures and options research : a research annual
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The journal of futures markets
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Economic theory : official journal of the Society for the Advancement of Economic Theory
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Journal of mathematical economics
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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The European journal of finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of political economy
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Journal of international financial markets, institutions & money
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The financial review : the official publication of the Eastern Finance Association
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The journal of real estate finance and economics
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ECONIS (ZBW)
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1
Great expectations : a tactical asset allocation framework for diversified real asset portfolios
Simonian, Joseph
;
Wu, Chenwei
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
2
,
pp. 38-45
Persistent link: https://www.econbiz.de/10012016812
Saved in:
2
Multi-asset volatility premiums or anomalies?
Jacobsen, Brian
;
Cheng, Eddie
;
Lee, Wai
- In:
The journal of portfolio management : a publication of …
45
(
2018
)
2
,
pp. 47-57
Persistent link: https://www.econbiz.de/10012016819
Saved in:
3
Asset allocation and factor investing : an integrated approach
Bergeron, Alain
;
Kritzman, Mark
;
Sivitsky, Gleb
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
4
,
pp. 32-38
Persistent link: https://www.econbiz.de/10011878269
Saved in:
4
Optimal blending of smart beta and multifactor portfolios
Dopfel, Frederick E.
;
Lester, Ashley
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
4
,
pp. 93-105
Persistent link: https://www.econbiz.de/10011878340
Saved in:
5
Black-Litterman with a factor strucure applied to multi-asset portfolios
Figelman, Ilya
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
2
,
pp. 136-155
Persistent link: https://www.econbiz.de/10011880130
Saved in:
6
Equilibrium analysis of asset prices : lessons from CIR and APT
Kogan, Leonid
;
Papanikolaou, Dimitris
- In:
The journal of portfolio management : a publication of …
44
(
2018
)
6
,
pp. 59-69
Persistent link: https://www.econbiz.de/10011916019
Saved in:
7
Behavioral asset pricing : asset pricing for normal people
Statman, Meir
- In:
The journal of portfolio management : a publication of …
44
(
2017
)
1
,
pp. 5-9
Persistent link: https://www.econbiz.de/10011877397
Saved in:
8
From risk premia to smart betas : a unified framework
Da Silva, Alexandre Schutel
;
Lee, Wai
- In:
The journal of portfolio management : a publication of …
44
(
2017
)
1
,
pp. 44-54
Persistent link: https://www.econbiz.de/10011877512
Saved in:
9
The Black-Litterman approach and views from predictive regressions : theory and implementation
Geyer, Alois
;
Lučivjanská, Katarína
- In:
The journal of portfolio management : a publication of …
42
(
2016
)
4
,
pp. 38-48
Persistent link: https://www.econbiz.de/10011686085
Saved in:
10
Alpha signals, smart betas, and factor model alignment
Marsh, Terry Alan
;
Pfleiderer, Paul
- In:
The journal of portfolio management : a publication of …
42
(
2016
)
5
,
pp. 51-66
Persistent link: https://www.econbiz.de/10011686687
Saved in:
11
Implied expected returns and the choice of a mean-variance efficient portfolio proxy
Ardia, David
;
Boudt, Kris
- In:
The journal of portfolio management : a publication of …
41
(
2015
)
4
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011432240
Saved in:
12
A penalty cost approach to strategic asset allocation with illiquid asset classes
Hayes, Mark H.
;
Primbs, James A.
;
Chiquoine, Ben
- In:
The journal of portfolio management : a publication of …
41
(
2015
)
2
,
pp. 33-41
Persistent link: https://www.econbiz.de/10011294207
Saved in:
13
Explanations for the volatility effect : an overview based on the CAPM assumptions
Blitz, David
;
Falkenstein, Eric G.
;
Vliet, Willem …
- In:
The journal of portfolio management : a publication of …
40
(
2014
)
3
,
pp. 61-76
Persistent link: https://www.econbiz.de/10010365501
Saved in:
14
Demystifying equity risk-based strategies : a simple alpha plus beta description
Carvalho, Raul Leote de
;
Lu, Xiao
;
Moulin, Pierre
- In:
The journal of portfolio management : a publication of …
38
(
2012
)
3
,
pp. 56-70
Persistent link: https://www.econbiz.de/10009669691
Saved in:
15
Quantitative equity investing : out of style?
Kahn, Ronald N.
- In:
The journal of portfolio management : a publication of …
36
(
2009/10
)
2
,
pp. 5-6
Persistent link: https://www.econbiz.de/10009520391
Saved in:
16
An asset-liability version of the capital asset pricing model with a multi-period two-fund theorem
Waring, M. Barton
;
Whitney, Duane
- In:
The journal of portfolio management : a publication of …
35
(
2008/09
)
4
,
pp. 111-130
Persistent link: https://www.econbiz.de/10009520447
Saved in:
17
A modern theory of security analysis : how Ben Graham's wisdom translates in today's stock market
Fogler, H. R.
- In:
The journal of portfolio management : a publication of …
19
(
1993
)
3
,
pp. 6-14
Persistent link: https://www.econbiz.de/10001140857
Saved in:
18
What price growth? : A paradox revisited
Durand, David
- In:
The journal of portfolio management : a publication of …
19
(
1992
)
1
,
pp. 84-91
Persistent link: https://www.econbiz.de/10001132239
Saved in:
19
Arbitrage-free spread : a consistent measure of relative value
Finnerty, John D.
- In:
The journal of portfolio management : a publication of …
17
(
1991
)
3
,
pp. 65-77
Persistent link: https://www.econbiz.de/10001103968
Saved in:
20
Corporate bond valution and the term structure of credit spreads
Litterman, Robert Bruce
- In:
The journal of portfolio management : a publication of …
17
(
1991
)
3
,
pp. 52-64
Persistent link: https://www.econbiz.de/10001103970
Saved in:
21
Atomic bombs, the depression, and equilibrium : can equilibrium pricing models be tested with historical data?
Miller, Edward M.
- In:
The journal of portfolio management : a publication of …
16
(
1990
)
4
,
pp. 37-41
Persistent link: https://www.econbiz.de/10001112344
Saved in:
22
The complexity of the stock market : "... a web of interrelated return effects"
Jacobs, Bruce I.
- In:
The journal of portfolio management : a publication of …
16
(
1989
)
1
,
pp. 19-27
Persistent link: https://www.econbiz.de/10001112368
Saved in:
23
A CAPM-based analysis of stock index futures : this is primarily for investors who hope to use futures to make money rather than as hedges to reduce risk
Gressis, Nicolas
- In:
The journal of portfolio management : a publication of …
10
(
1986
)
3
,
pp. 47-52
Persistent link: https://www.econbiz.de/10001114340
Saved in:
24
Portfolio shares as "beta breakers"
Frankel, Jeffrey A.
- In:
The journal of portfolio management : a publication of …
11
(
1985
)
4
,
pp. 18-23
Persistent link: https://www.econbiz.de/10001114311
Saved in:
25
A mean-variance approach to fundamental valuations : they depend on probability distributions of assets' earnings, not on the beauty contest
Tobin, James
- In:
The journal of portfolio management : a publication of …
11
(
1984
)
1
,
pp. 26-32
Persistent link: https://www.econbiz.de/10001114317
Saved in:
26
Factor models, CAPMs, and the ABT : linking them together provides a valuable framework
Sharpe, William F.
- In:
The journal of portfolio management : a publication of …
11
(
1984
)
1
,
pp. 21-25
Persistent link: https://www.econbiz.de/10001114319
Saved in:
27
The "two beta" trap : it lies in differing but specific assumptions about what beliefs investors do and do not hold
Markowitz, Harry
- In:
The journal of portfolio management : a publication of …
11
(
1984
)
1
,
pp. 12-20
Persistent link: https://www.econbiz.de/10001114322
Saved in:
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