The purpose of this paper is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their...

Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Section One: Basics of Asset Allocation -- Chapter 1: What Is an Asset Class? -- Stable Aggregation -- Investable -- Internally Homogeneous -- Externally Heterogeneous -- Expected Utility -- Selection Skill -- Cost-Effective...

Some analysts view risk as the Achilles Heel of employee ownership and to some extent variable pay plans such as profit sharing and gainsharing. Workers in such "shared capitalist" firms may invest too much of their wealth in the firm, contrary to the principle of diversification. This paper...

Stock selection models often use analysts' expectations, momentum, and fundamental data. We found support for composite modeling using these sources of data for global stocks during 1997-2011. We found additional evidence to support the use of SunGard APT and Axioma multi-factor models for...

"An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the...

Some analysts view risk as the Achilles Heel of employee ownership and to some extent variable pay plans such as profit sharing and gainsharing. Workers in such quot;shared capitalistquot; firms may invest too much of their wealth in the firm, contrary to the principle of diversification. This...