ENDNOTES

FOR QUANTITATIVE ASSET MANAGEMENT

BY MICHAEL ROBBINS

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PART 1: PLANNING YOUR WORK

CHAPTER 1: INTRODUCTION

OPPORTUNITY

WHAT YOU’LL LEARN

KEY CONCEPTS

Risk Is Easier to Estimate than Return

V. K. Chopra, W. T. Ziemba, “The effect of errors in means, variances, and covariances on optimal portfolio choice,” Journal of Portfolio Management, 19, 6–11., 1993.

R.C. Merton, “On estimating the expected return on the market: An exploratory investigation,”Journal of Financial Economics, 8, 323–361., 1980.

Active Management

Theodore Roosevelt, “Citizenship in a Republic,” April 23, 1910.

BOOK STRUCTURE

CHAPTER 2: CHOOSING YOUR PRODUCT

THE VALUE PROPOSITION

FIRM TYPE

PROPRIETARY TRADING FIRMS

HEDGE FUNDS

WEALTH MANAGEMENT ADVISORIES

Advisor Conflicts

Daren Fonda,”Independent Advisors Can Still Have Conflicts of Interest. How to Protect Your Finances,” Barrons, January 3rd, 2020.

“Frequently Asked Questions Regarding Disclosure of Certain Financial Conflicts Related to Investment Adviser Compensation,” Division of Investment Management, U.S. Securities and Exchange Commission, retrieved February 9th, 2021.

FAMILY OFFICES

INVESTMENT BANKS, PRIVATE BANKS, AND INSURANCE COMPANIES

PENSIONS, GOVERNMENTS, ENDOWMENTS, CHARITIES, SOVEREIGN WEALTH FUNDS, AND CORPORATE PLANS

INVESTMENT SKILL

Russ Wermers, “Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses,” Journal of Finance , August 2000. https://www.jstor.org/stable/222375

Laurent Barras, Oliver Scaillet, and Russ Wermers, “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,” Journal of Finance, February 2021. https://www.jstor.org/stable/25656289

Ronald Kahn, “Seven Quantitative Insights into Active Management Part 3: The Fundamental Law of Active Management,” BARRA Newsletter, Winter 1997.

PURPOSE

CLIENT SEGMENTATION

Fee Scrutiny for Institutions

Martin Z. Braun, “South Carolina Pension’s Hedge-Fund Bet Trails as Fees Soar,” Bloomberg News, February 28th, 2013.

Jan Alexander, “Showdown at South Carolina’s Pension Fund, CIO Hershel Harper will defend the state retirement system’s investment strategy and performance results in upcoming meeting,” Institutional Investor, February 26, 2013.

Retrocession

Baptiste Aboulian, “Court tells UBS it must pay back fees,” Financial Times, November 11th, 2012.

FUND STRUCTURE

“FCA Handbook,” Financial Conduct Authority, Accessed January 19th, 2020.

Lemke, Lins, Hoenig and Rube, “Hedge Funds and Other Private Funds: Regulation and Compliance,” Thomson West, 2017-2018.

ETF Redemptions vs. Mutual Fund Redemptions

Karamfil Todorov, “The anatomy of bond ETF arbitrage,” BIS Quarterly Review, March 1st, 2021. https://www.bis.org/publ/qtrpdf/r_qt2103d.pdf

Matt Levine, “SPACSs Aren’t a Guarantee CF Finance III and AEye Are Proof,” Bloomberg Opinion, May 3rd, 2021.

Shim, J and K Todorov, “Runs on ETFs”, working paper, University of Notre Dame and BIS, 2021.

CLIENT FACING SKILL

INCENTIVES

Waving Fees

Susan E. K. Christoffersen, “Why Do Money Fund Managers Voluntarily Waive Their Fees?” The Journal of Finance, June, 2001, Vol. 56, No. 3.

Option-Like Payouts

J. Carpenter, “Does option compensation increase managerial appetite?” Journal of Finance, 2000.

Value-at-Risk (VaR)

S. Basak, A. and Shapiro, “Value‐at‐Risk based risk management: Optimal policies and asset prices,” Review of Financial Studies, 2001.

Hedge Funds

–,Hedge Fund Fees, Hedge Fund Marketing Association.

Harry M. Kat and Chris Brooks “The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors,” Journal of Alternative Investments, 2002. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=289299

E.J. Elton, M.J. Gruber, and C.R. Blake, “Incentive fees and mutual funds,” Journal of Finance, 2003.J.E. Hodder and J.C. Jackwerth, “Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure,” 2003 C.

Y. Li and H. Kazemi, “Conditional properties of hedge funds: evidence from daily returns,” 2007.

David Kirkman, “Fee Adjustments in StyleADVISOR,” December 5, 2014.

L.R. McFall, “Asymmetric returns and optimal hedge fund portfolios,” Journal of Alternative Investments 6, Fall 2003.

CASE STUDY: FEE ENGINEERING

CASE STUDY: GATES, LOCK-UPS, SETTLEMENT PERIODS, ETC.

George O. Aragon, and J Spencer Martin, 2012, “A unique view of hedge fund derivatives usage: Safeguard or speculation?,” Journal of Financial Economics 105, 436–456.

Ben-David, I., Franzoni, F., Moussawi, R., 2012, Hedge Fund Stock Trading in the Financial Crisis of 2007-2009, Review of Financial Studies 25, 1-54., May 2010.

Melvyn Teo, “Liquidity and Hedge Funds. Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU,” April 2011.

(Shleifer and Vishny, 1997), (Brunnermeier and Pedersen, 2009)

CHAPTER 3: THE INVESTMENT PROCESS

The Skorina Letter, 8/5/2020.

STRATEGIC ASSET ALLOCATION

Farshid M. Asl and Erkko Etula, “Advancing Strategic Asset Allocation in a Multi-Factor World,” The Journal of Portfolio Management, Vol. 39 Number 1, Fall 2012.

Asset Allocation is Important

Gary Brinson, Randolph Hood, and Gilbert Beebower, “Determinants of Portfolio Performance,” The Financial Analysts Journal, July-August, 1986.

Gary Brinson, Brian Singer, and Gilbert Beebower, “Determinants of Portfolio Performance II: An Update,” The Financial Analysts Journal, 1991.

Roger Ibbotson, Paul Kaplan, “Does Asset Allocation Policy Explain 40, 90 or 100 Percent of Performance?,” The Financial Analysts Journal, January-February, 2000.

William Sharpe, “The Arithmetic of Active Management,” The Financial Analysts Journal, 1991.

Yesim Tokat, Nelson Wicas, Francis Kinniry, “The Asset allocation Debate: A Review and Reconciliation,” FPA Journal, 2006). James Xiong, Roger Ibbotson, Thomas Idzorek, Peng Chen, “The Equal Importance of Asset Allocation and Active Management,” The Financial Analysts Journal, 2010.

Yesim Tokat, Nelson Wicas, Francis Kinniry, “The Asset allocation Debate: A Review and Reconciliation,” FPA Journal, 2006).

James Xiong, Roger Ibbotson, Thomas Idzorek, Peng Chen, “The Equal Importance of Asset Allocation and Active Management,” The Financial Analysts Journal, 2010.

Mark Kritzman, Sébastien Page, and David Turkington, “In Defense of Optimization: The Fallacy of 1/ N, Financial Analysts Journal, Vol. 66, No. 2, March/April, 2010.

Mark Kritzman, L. Randolph Hood, and Gary P. Brinson, “Determinants of Portfolio Performance: 20 Years Later,” Financial Analysts Journal, Vol. 62, No. 1, Jan/Feb, 2006.

Mark Kritzman and Sébastien Page, “The Hierarchy of Investment Choice,” Journal of Portfolio Management, 29, no. 4, 2003.

Kodjovi Assoe, Jean-François L’Her, and Jean-François Plante, “The Relative Performance of Asset Allocation and Security Selection,” Journal of Portfolio Management, 33, no. 1, 2006.

Paul Samuleson, ‘‘Summing up on Business Cycles: Opening Address,’’ in Beyond Shocks: What Causes Business Cycles, edited by Jeffrey C. Fuhrer and Scott Schuh, Federal Reserve Bank of Boston, 1998.

Robert J. Shiller and Jeeman Jung, “Samuelson’s Dictum and the Stock Market,” Cowles Foundation Paper, 2006.

Dorsey D. Farr, “Dynamic Factor Approaches to Equity Portfolio Management,” edited by Frank J. Fabozzi and Harry. M. Markowitz, John Wiley & Sons, 2011.

Some Still Resist

Rob Arnott, “The Biggest Urban Legend in Finance,” 2011/

No Cushion

“The State Pension Funding Gap: 2016 Investment shortfalls, insufficient contributions reduced funded levels for public worker retirement plans.” Pew Charitable Trust, April 12, 2018

TACTICAL ASSET ALLOCATION

FACTOR INVESTING

Pablo Fernández, Javier Aguirreamalloa, and Luis Corres, “Market Risk Premium Used in 56 Countries in 2011: A Survey with 6,014 Answers.” Working Paper WP-920, IESE Business School, May 2011.

Roger G. Ibbotson and Laurence B. Siegel. 1988. “How to Forecast Long-Run Asset Returns.” Investment Management Review (September/October).

Antti Ilmanen, “Expected Returns on Major Asset Classes,” June 5, 2012.

Ross M. Miller, “Stansky’s Monster: A Critical Examination of Fidelity’ Magellan’s ‘Frankenfund’,” February, 2007.

“Evaluation of the Riksbank’s forecasts,” Riksbank Studies, April 2020.

THE ROLE OF THEORY

John B. Taylor, “Discretion versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy 39, 1993.

Robert Shiller, “Is economics a science,” The Guardian, November 6th, 2013.

Adrian Wong, “Is The S&P 500 Guided By Fundamentals Or Behavioral Tendencies?” Mar. 22, 2015.

SECURITY SELECTION

Charles M. Cottle, Options Trading: The Hidden Reality, RiskDoctor, 1996.

PORTFOLIO CONSTRUCTION

Revers Optimization and Implied Parameters

Fischer Black, Robert Litterman, “Global Asset Allocation with Equities, Bonds, and Currencies,” Fixed Income Research, Goldman Sachs & Company, 1991.

William Sharpe, “Imputing Expected Security Returns from Portfolio Composition,” Journal of Financial and Quantitative Analysis, 1974.

William Sharpe, “Adaptive Asset Allocation Policies,” The Financial Analysts Journal, 2010.

REBALANCING

Clifford S. Asness, Antti Ilmanen and T. Maloney, “Market Timing: Sin a Little,” AQR Whitepaper, 2016.

Clifford S. Asness, Swati Chandra, Antti Ilmanen, and Israel Ronen, Contrarian Factor Timing is Deceptively Difficult, Working Paper, March 7, 2017.

Andrea Frazzini, R. Israel, and T. J. Moskowitz, “Trading Costs of Asset Pricing Anomalies,” 2012.

Winfried G. Hallerbach, “Disentangling Rebalancing Return,” Journal of Asset Management, 15, 2014.

Campbell R. Harvey, N. Granger, D. Greenig, S. Rattray and D. Zou, “Rebalancing Risk,” 2014.

Pierre Hillion, “The Ex-Ante Rebalancing Premium,” 2016.

Edward Qian, “To Rebalance or Not to Rebalance: A Statistical Comparison of Terminal Wealth of Fixed- Weight and Buy-and-Hold Portfolios,” 2014.

William Sharpe, “Adaptive Asset Allocation Policies,” The Financial Analysts Journal, May-June, 2010. John J. Huss, Thomas Maloney, Portfolio Rebalancing: Common Misconceptions, February 1, 2017.

John J. Huss, Thomas Maloney, Portfolio Rebalancing: Common Misconceptions, February 1, 2017.

Andersen, Robert M., S. W. Bianchi and L. R. Goldberg, “Determinants of Levered Portfolio Performance,” Financial Analysts Journal, 70(5), 2014.

Perchet, Romain, Raul Leote de Carvalho, Thomas Heckel and Pierre Moulin, “Inter-temporal Risk Parity: A constant volatility framework for equities and other asset classes,” working paper, 2014.

Moreira, Alan, and T. Muir, “Volatility Managed Portfolios,” working paper, 2016.

ONGOING MANAGEMENT

CASE STUDY: LARGE WEALTH MANAGEMENT DIVISION

CASE STUDY: MID-SIZED RIA

CHAPTER 4

Jim Mate, ‘Kicking the Tires’ Is Loaded with Meaning, Chicago Tribune, August 14th, 1997.

Carl von Clausewitz, Vom Kriege, 1832.

CULTURE

Good Governance

K. Ambachtsheer, “How Much is Good Governance Worth?” June 2006.

[Fees eat 40% of alpha] Callan Associates, “Cost of Doing Business Survey: Executive Summary,” 2013.

G.L. Clark and A.H.B. Monk, “Principals and policies for in‐house asset management.” December 2012.

G.L. Clark and R. Urwin, “Best‐practice investment management: lessons for asset owners.” Oxford‐Watson Wyatt project on governance. September 2007.

Richard Feynman, “Surely You’re Joking, Mr. Feynman! (Adventures of a Curious Character),” W. W. Norton & Company, April 17, 1997.

Responsibility

Julian B. Rotter, “Social Learning and Clinical Psychology,” Prentice-Hall, 1954.

Scientific Method

Derrick Farnell, “How Belief Works,” 2012.

You’re Better

Madison Marriage, “86% of Active Equity Funds Underperform” Financial Times, March, 2016.

A. H. Welsh, A. Townsend Peterson and Stuart A. Altmann, “The Fallacy of Averages,” The American Naturalist, The University of Chicago Press, Vol. 132, No. 2, August, 1988.

I was told an uncorroborated story about a sales meeting where Michael Bloomberg was asked to lower the price of his Professional terminal for a client to which he responded “if your trader can’t make $68 extra per day, you should get another trader.”

Lisa Beilfuss and Alexander Osipovich, “The Race to Zero Commissions, After decades of discounts, the price of trading is suddenly zero with online brokers finding new ways to make money from clients,” The Wall Street Journal, October 5th, 2019.

Richard Feynman, “Surely You’re Joking, Mr. Feynman! (Adventures of a Curious Character),” W. W. Norton & Company, April 17, 1997.

Fund Features and Fees

Callan Associates, “Cost of Doing Business Survey: Executive Summary,” 2013.

William W. Jennings and Brian C. Payne, “Fees Eat Diversification’s Lunch,” Financial Analysts Journal, Volume 72 · Number 2, 2016.

Stephen J. Brown, William Goetzmann, and B. Liang, “Fees on Fees in Funds of Funds.” Journal of Investment Management, vol. 2, no. 4 July-August, 2004.

Roger G. Ibbotson, Peng Chen and Kevin X. Zhu, “The ABCs of Hedge Funds: Alphas, Betas, and Costs.” Financial Analysts Journal, vol. 67, no. 1, January-February, 2011.

David Shairp, Anthony Werley, and Michael Feser, “Long-Term Capital Market Return Assumptions: 2013 Estimates and the Thinking behind the Numbers,”, J.P. Morgan Asset Management, October, 2012.

William W. Jennings and Brian C. Payne, “Fees Eat Diversification’s Lunch,” Financial Analysts Journal, Volume 72 · Number 2, 2016 Stephen J. Brown, William Goetzmann, and B. Liang, “Fees on Fees in Funds of Funds.” Journal of Investment Management, vol. 2, no. 4 July-August, 2004. Callan Associates, “Cost of Doing Business Survey: Executive Summary,” 2013 David Shairp, Anthony Werley, and Michael Feser, “Long-Term Capital Market Return Assumptions: 2013 Estimates and the Thinking behind the Numbers,”, J.P. Morgan Asset Management, October, 2012.

William W. Jennings and Brian C. Payne, “Fees Eat Diversification’s Lunch,” Financial Analysts Journal, Volume 72 · Number 2, 2016.

Robert H. Jeffrey,and Robert D. Arnott, “Is Your Alpha Big Enough to Cover Its Taxes?” Journal of Portfolio Management, vol. 19, no. 3, Spring, 1993.

BUSINESS CASE

Methods

“PRojects IN Controlled Environments”, “OGC brings its shining quartet back into the limelight” (Press release). Office of Government Commerce. 14 December 2005.

Jamie Arnold, Agile delivery, Outcomes, not deliverables, Posted by: GDS team, Posted on:30 June 2015.

Heuristics

Tversky, Amos; Kahneman, Daniel (1974). “Judgment under Uncertainty: Heuristics and Biases” Science. 185 (4157): 1124. Bibcode:1974Sci…185.1124T. doi:10.1126/science.185.4157.1124. Archived from the original on March 18, 2012.

The Difference Between a Case and Plan

Harvard Business Press, Developing a Business Case, 2011, Harvard Business School Publishing, ISBN: 978-1-4221-2976-0

Business Case Structure

U.S. Department of Defense Business Case Analysis, October 22, 2014, https://dodcio.defense.gov/Portals/0/Documents/BPSR/TEMPLATE%20-BCA.pdf?ver=2018-07-26-113256-063

U.S. Government Accountability Office, GAO Cost Estimating and Assessment Guide, March 2009, https://www.gao.gov/new.items/d093sp.pdf U.S. Naval Center for Cost Analysis, NCCA Reference Information, https://www.ncca.navy.mil/references.cfm

Umble, E.J., Haft, R.R., Umble, M.M., (2003) Enterprise resource planning: Implementation procedures and critical success factors, European Journal of Operational Research, Vol. 146, pp. 241–257

EXECUTIVE SUMMARY AND INTRODUCTION

FOR THE INVESTMENT COMMITTEE

FOR THE OPERATING COMMITTEE

Financial Aanalysis

Bent Flyvbjerg, “Public Planning of Mega-Projects: Overestimation of Demand and Underestimation of Costs” in Priemus, Hugo; Flyvbjerg, Bent; van Wee, Bert (eds.). Decision-making on Mega-Projects, 2008.

Bent Flyvbjerg, “Over Budget, Over Time, Over and Over Again: Managing Major Projects” in Morris, Peter W. G; Pinto, Jeffrey K; Söderlund, Jonas (eds.). The Oxford Handbook of Project Management, 2011.

A “roller coaster” swap is one way of managing currency mismatches based on a project’s funding profile. The currency flows are estimated and written into the agreement to allow the project to fund uneven cash flows. For instance, equipment and services may need to be purchased from foreign suppliers on various dates during the build-out. The resulting cumulative cash flow may be a complex shape.

Capability-Based Planning (CBP) was developed but the United States, United Kingdom, Australia, and Canada for defense and military planning but is now used by businesses for strategic planning. Capability-Based Planning (CBP) was developed but the United States, United Kingdom, Australia, and Canada for defense and military planning but is now used by businesses for strategic planning..

INVESTMENT POLICY STATEMENT

Appendicies

“New Investment Restrictions Coming for CalPERS CIO,” Asset Management Culture, September 17th, 2020.

FIRM-SPECIFIC CONSIDERATINS

Institutions

“Pension Protection Act (PPA),” Department of Labor website, January, 2021.

Pension Protection Act, 2006.

Insurance

“Asset Valuation Reserves and Interest Maintenance Reserves,” National Association for Insurance Commissioners. 2002.

Susan Randall, “Insurance Regulation in the United States: Regulatory Federalism and the National Association of Insurance Commissioners.” Florida State University Law Review 26:3, 1999.

“Asset Valuation Reserve (Continued) Basic Contribution, Reserve Objective and Maximum Reserve Calculations Equity and Other Invested Asset Component,” in Annual Statement for the Year 2019, National Asssociation of Insurance Commissioners, October 2019.

Doron Nissim, “Analysis and Valuation of Insurance Compnies,” Center for Excellence in Accounting and Security Analysis, November, 2010.

Rolf Tolle, “The Cycle Challenge,” Lloyd’s of London, September 28th, 2007. “Annual Underwriter Survey,” Lloyd’s of London, 2006. “Managing the Cycle—How the Market Can Take Control,” 2007.

“Basel II: international regulatory framework for banks,” Bank fo International Settlements, January 2021.

Private Clients

Klakow Akepanidtaworn, Rick Di Masoio, Alex Imas, Lawrence Schmidt, “Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors,” December 2018. https://ssrn.com/abstract=3301277

Jean L. P. Brunel “Revisiting the Asset Allocation Challenge through a Behavioral Finance Lens.” Journal of Wealth Management 6:2, 2003.

Jean L. P. Brunel, “Integrated Wealth Management: The New Direction for Portfolio Managers,” 2nd ed., Euromoney, 2006.

Brian Lawler, Brett Mossman, Patrick Nolan, Andrew Ang, “Factors and Advisor Portfolios,” Journal of Wealth Management, Spring 2020.

Harry M. Markowitz, Portfolio Selection.” Journal of Finance 7:1, 77–91, 1952.

INVESTMENT DUE DILIGENCE

SPECIAL CONSIDERATIONS

Steven Heston and Geert Rouwenhorst, “Does Industrial Structure Explain the benefits of International Diversification?” Journal of Financial Economics, 1994.

ESG MANDATES

Camilleri, Mark Anthony, “The Market for Socially Responsible Investing: A Review of the Developments.” Social Responsibility Journal, 2020.

Mark A. Holtzblatt, Craig Foltin, and Norbert Tschakert Learning from Ethical Violations in Public Accounting: A South African Audit Scandal and a Firm’s Transformation,” Issues in Accounting Education, 35 (2): 37–63, January 17th, 2020.

Bernstein, Asaf, Matthew T Gustafson, and Ryan Lewis “Disaster on the Horizon: The Price Effect of Sea Level Rise,” Journal of Financial Economics 2019.

Apoorva Mandavilli, “The World’s Worst Industrial Disaster Is Still Unfolding,” The Atlantic, July 10th, 2018.

Matt Levine, “Robinhood Ends Its Popularity Contest,” Aug 10, 2020.

Eugene Scalia, “Retirees’ Security Trumps Other Social Goals,” Wall Street Journal, June 23, 2020.

Virginia Zhelyazkova, SRI Strategies in Asset Management: Typology And Application Trends VUZF University, 1, Gusla St., Sofia, Bulgaria.

Blitz, David, and Laurens Swinkels, “Is Exclusion Effective?” Journal of Portfolio Management, 2020.

Bruder, Benjamin, Yazid Cheikh, Florent Deixonne, and Ban Zheng, “Integration of ESG in Asset Allocation.” SSRN Working Paper 3473874, 2019.

Linda-Gail Bekker, George Alleyne, Stefan Baral, Javier Cepeda, Demetre Daskalakis, David Dowdy, Mark Dybul, Serge Eholie, Kene Esom, Geoff Garnett, Anna Grimsrud, James Hakim, Diane Havlir, Michael T Isbell, Leigh Johnson, Adeeba Kamarulzaman, Parastu Kasaie, Michel Kazatchkine, Nduku Kilonzo, Michael Klag, Marina Klein, Sharon R Lewin, Chewe Luo, Keletso Makofane, Natasha K Martin, Kenneth Mayer, Gregorio Millett, Ntobeko Ntusi, Loyce Pace, Carey Pike, Peter Piot, Anton Pozniak, Thomas C Quinn, Jurgen Rockstroh, Jirair Ratevosian, Owen Ryan, Serra Sippel, Bruno Spire, Agnes So, “Advancing global health and strengthening the HIV response in the era of the Sustainable Development Goals: the International AIDS Society,” Lancet Commission, Vol 392 July 28, 2018.

John Hill, Environmental, Social, and Governance (ESG) Investing, Elsevier, 2020. John Hill, Environmental, Social, and Governance (ESG) Investing, Elsevier, 2020.

James Mackintosh, “Why Your Good Governance Fund Is Full of Saudi Bonds,” Wall Street Journal, November 26th, 2019.

Sebastian Utz and Maximilian Wimmer, “Are they any good at all? A financial and ethical analysis of socially responsible mutual funds,” .

Greg M. Richey, “Is It Good to Sin When Times Are Bad? An Investigation of the Defensive Nature of Sin Stocks?” The Journal of Investing October 2020, 29 (6) 43-50; DOI: https://doi.org/10.3905/joi.2020.1.144.

Robert N. Killins, Thanh Ngo, and Hongxia Wang, “The Underpricing of Sin Stocks,” The Journal of Investing June 2020, 29 (4) 67-76; DOI: https://doi.org/10.3905/joi.2020.1.126.

David Blitz and Frank J. Fabozzi, “Sin Stocks Revisited: Resolving the Sin Stock Anomaly,” The Journal of Portfolio Management Fall 2017, 44 (1) 105-111; DOI: https://doi.org/10.3905/jpm.2017.44.1.105.

Greg M. Richey, “Fewer Reasons to Sin: A Five-Factor Investigation of Vice Stocks,” January 18, 2017, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2901795.

Harrison Hong and Marcin Kacperczyk, “The price of sin: The effects of social norms on markets,” Journal of Financial Economics, Volume 93, Issue 1, 2009, Pages 15-36, ISSN 0304-405X, https://doi.org/10.1016/j.jfineco.2008.09.001. https://www.sciencedirect.com/science/article/pii/S0304405X09000634..

FIRM TYPE

Roger Clarke, Hariandra de Silva, and Steven Thorley, “Portfolio constraints and the fundamental law of active management,” Financial Analysts Journal, Vol. 58, No. 5, September-October 2002.

CASE STUDY: BUSINESS CASE FOR A SYSTEMATIC FUND

Charles Cao, Peter Iliev, and Raisa Velthuis Style Drift: Evidence from Small-Cap Mutual Funds, August 2017, Journal of Banking and Finance, Volume 47, Issue 8.

Susanna Rust, Net-zero asset owner club gains UNJSPF, nears targets framework, July 10, 2020 Nick Reeve, Top European asset owners back UN’s Tobacco-Free Finance pledge, September 2018.Fang Block, Wealthy Millennials are Driving a Rise in Sustainable Investing, December 4, 2019.

Cinthia Murphy, Thematic ETFs The New Sectors? June 8, 2020.

Martin Arnold and Brendan Greeley, Central bank stimulus is distorting financial markets, BIS finds, Financial Times, October 7, 2019.

Jon A. Christoperson, David R. Carino, Wayne E. Ferson, Performance Measurement and Benchmarking, McGraw Hill, 2009.

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution, 2nd Edition, John Wiley & Sons, 2008.

Laurent Ferrar and Thanh-Long Huynh, “Macroeconomic nowcasting in times of Covid-19 crisis: On the usefulness of alternative data,” QuantCube Technology.

Claude Schwab, Hedge Me, Lynx Media; 4th edition,August 24, 2006.

Claude Schwab, Pay Me, Schwab Enterprises, 2007.

Keith L. Miller, Hong Li, Tiffany G. Zhou and Daniel Giamouridis, A Risk-Oriented Model for Factor Timing Decisions, The Journal of Portfolio Management Spring 2015, 41 (3) 46-58; DOI: https://doi.org/10.3905/jpm.2015.41.3.046

Mark Kritzman, Simon Myrgren, and Sebastien Page, Edited by Bernd Scherer and Kenneth Winston, Adding the Time Dimension, Optimal Rebalancing, The Oxford Handbook of Quantitative Asset Management, Oxford University Press, 2012.

Michael Robbins, “Expected risk and return attribution for a novel machine learning-based global macro investing process,” Columbia University, 2020.

Michael Robbins, “Effects of regime change on a novel Markov switching global macro investing process,” Columbia University, 2020.

Prequin, Prequin Global Hedge Fund Report Claude Schwab, Hedge Me, Lynx Media; 4th edition,August 24, 2006.

Claude Schwab, Pay Me, Schwab Enterprises, 2007.

PART 2: BUILDING YOUR PROCESS

CHAPTER 5: FINANCIAL DATA

ORGANIZING FINANCIAL DATA

“API Library Support,” Bloomberg Professional, WAPI, February 23rd, 2021.

“Datafeed Toolbox Documentation,” Mathworks, 2020B, February 23rd, 2021.

“What Is Structured Data,” U.S. Securiities and Exchange Commission, March 26th, 2016.

“US Business Cycle Expansions and Contractions,” National Bureau of Economic Research, June 8th, 2020.

US GDP and S&P 500, Differenced and Windsorized 2 standard deviations, 1968-2018, Bloomberg LP.

ECONOMIC DATA

David Adalfatto and Spewak, Andrew, “Does the Yield Curve Really Forecast Recession?,” Federal Reserve Bank of St. Louis Economic Synopses, No. 30, 2018.

Pierre Collin-Dufresne, Robert S. Goldstein, and J. Spencer Martin, “The Determinants of Credit Spread Changes.” Journal of Finance 56(6), December, 2001.

JoostDriessen, “Is Default Event Risk Priced in Corporate Bonds?” Review of Financial Studies 18(1), January, 2005.

Kevin Kliesen, Michael McCracken, Kathryn Bokun, and Aaron Amburgey, “The St. Louis Fed’s Financial Stress Index, Version 2.0,” The FRED Blog, March 26th, 2020.

ARCHIVAL (POINT-IN-TIME) DATA

The Importance of Archival Data

ALFRED® help page, St. Louis Federal Reserve.

How Archival Data Works

Eliezer S. Yudkowsky, “An Intuitive Explanation of Bayesian Reasoning,” 2003.; Daniel Kahneman, “Thinking, fast and slow,” Farrar, Straus and Giroux, 2011.

Berger, James O. (1985). Statistical Decision Theory and Bayesian Analysis. Springer Series in Statistics (Second ed.). Springer-Verlag. ISBN 978-0-387-96098-2.

http://www.bea.gov/newsreleases/regional/rpp/rpp_newsrelease.htm; http://www.bea.gov/regional/methods.cfm; https://www.bea.gov/data/personal-consumption-expenditures-price-index

ALFRED help page, St. Louis Federal Reserve; ALFRED help page, St. Louis Federal Reserve; ALFRED help page, St. Louis Federal Reserve.

Katrina Stierholz, “ALFRED: Capturing data as it happens,” Federal Reserve Bank of St. Louis.

Challenges of Archival Data

Domenico Giannone, Michele Lenza, and Giorgio E. Primiceri, “Economic Predictions with Big Data: The Illusion of Sparsity,” Federal Reserve Bank of New York Liberty Street Economics (blog), May 21, 2018.

The ALFRED Database.

Jesse Edgerton, Dan Weitzenfeld, “Machine learning for macro: What you need to know,” J.P. Morgan Economic Research, October 30th, 2018.

Storing Archival Data

https://alfred.stlouisfed.org/docs/alfred\_capturing\_data.pdf

Replicability, Real-Time Data, and the Science of Economic Research

Richard G. Anderson, VDC, the Federal Reserve Bank of St. Louis Review, Jan-Feb 2006.

Richard T. Snodgrass, Developing Time-Oriented Database Applications in SQL

https://alfred.stlouisfed.org/docs/populating\_alfred.pdf.

Nowcasts

Maximo Camacho and Gabriel Perez-Quiros, Gabriel, “Introducing the euro-sting: Short-term indicator of euro area growth,” Journal of Applied Econometrics, 2010.

Troy D. Matheson, “An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys,” Economic Modelling, January 2010.

Martin D. D. Evans, “Where Are We Now? Real-Time Estimates of the Macroeconomy,” International Journal of Central Banking, September 2005.

G. Rünstler, K. Barhoumi, S. Benk, R. Cristadoro, A. Den Reijer, A. Jakaitiene, P. Jelonek, A. Rua, K. Ruth, and C. Van Nieuwenhuyze, ” Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise,” Journal of Forecasting, 2009.

Elena Angelini, Marta Banbura, and Gerhard Rünstler, “Estimating and forecasting the euro area monthly national accounts from a dynamic factor model, OECD Journal, 2010.

Giannone Domenico, Lucrezia Reichlin, and Saverio Simonelli, “Is the UK still in recession? We don’t think so,” November 23rd 2009.

Lahiri Kajal and George Monokroussos, “Nowcasting US GDP: The role of ISM business surveys,” International Journal of Forecasting, 2013.

Antolin-Diaz, Juan; Drechsel, Thomas; Petrella, Ivan, “Following the Trend: Tracking GDP when Long-Run Growth is Uncertain,” CEPR Discussion Papers 10272, 2014.

Federal Reserve Bank of Atlanta Center for Quantitative Economic Research https://www.frbatlanta.org/cqer/research/gdpnow.

BULK AND DESCRIPTIVE DATA

MARKET DATA

Iman van Lelyveld, “The use of derivatives trade repository data: possibilities and challenges,” Irving Fisher Committtee on Central Bank Statistics, Bank for International Settlements, May 18-19, 2017.

FUNDAMENTAL DATA

“Filer Manual – Volume II EDGAR Filing,” Draft, September 202.; (XBRL) xbrl.org.

W. Prem, A. Rao, and C. Martin, “Channel-stuff or sales with a right to return?” Journal of the International Academy for Case Studies, 25 (1): 1–11, 2019.

G. Lai, L. Debo, and L. Nan, “Channel stuffing with short-term interest in market value,” Management Science, 57 (2), 2011.

C.W. Mulford and E.E. Comiskey, “The Financial Numbers Game: Detecting Creative Accounting Practices.” John Wiley & Sons, 2002.

H. Schilit, J. Perler, and Y Engelhart, “Financial Shenanigans: How to Detect Accounting Gimmicks and Fraud in Financial Reports,” 4th Edition. McGraw-Hill, 2018.

O-K. Hope and J. Wang, “Management deception, big-bath accounting, and information asymmetry: Evidence from linguistic analysis,” Accounting, Organizations and Society, 70: 33–51, 2018.

H. David Sherman and S. David Young, “Tread lightly through these accounting minefields,” Harvard Business Review 79(7):129-35, 146, July 2001. https://www.researchgate.net/publication/11893169_Tread_lightly_through_these_accounting_minefields.

SURVEY DATA

Yuliya Chernova, “Crowdsourced Stock Opinions Beat Analysts News,” March 19, 2014.

Georgette Jasen, “Journal’s Dartboard Retires After 14 Years of Stock Picks,” April 18, 2002.

Johan Bollen, Huina Mao, and Xiao-Jun Zeng, “Twitter mood predicts the stock market,” October 14th, 2010.

SAMPLING AND SYNTHETIC DATA

Preprocessing Data, MATLAB Documentation, 2019.

Digital Industries Software, Aliasing documentation; Marcellino, Mario Porqueddu, Fabrizio Venditti, Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility, 2012.

Will Kenton, SEC Form 13F Definition, June 25, 2019, U.S. Securities & Exchange Commission; Charles R. Nelson and Heejoon Kang, “Spurious Periodicity in Inappropriately Detrended Time Series,” Econometrica 49, no. 3, 1981.

“The Bloomberg Commodity Index Methodology,”Blomberg, January 2018.

ROLL EXAMPLES

CORPORATE ACTIONS

Abraham Thomas, The Comprehensive Guide to Stock Price Calculation, March 24 2016.

OTHER PRACTICAL MATTERS

Matt Levine, Matt Levine’s Money Stuff, Sneaky Pegs Found Hidden Orders, Bloomberg Opinion, July 2020.

United States of America Before the Securities and Exchange Commission in the Matter of New York Stock Exchange LLC, NYSE American LLC, and NYSE Arca, Inc., Administrative Proceeding File No. 3-18388.

CASE STUDY: RIA DATA

Create Simple Text Model for Classification, Mathworks, R2020b Documentation

CASE STUDY: GIBBS SAMPLER

CHAPTER 6: ASSET TYPES

COMPANY EXPOSURE

FINANCING

Equity

R. Clarke, H. de Silva, and R. Murdock, “A factor approach to asset allocation,” Journal of Portfolio Management, 32, 10–18., 2005.

E. Dimson, P. Marsh, and M. Staunton, “Credit Suisse global investment returns yearbook 2018,” Credit Suisse AG Research Institute, Zurich, Switzerland, 2018.

T. M. Idzorek, and M. Kowara, “Factor based asset allocation vs. asset class based asset allocation,” Financial Analysts Journal, 69, 1.11, 2013.

A. Ilmanen and J. Kizer, “The death of diversification has been greatly exaggerated,” Journal of Portfolio Management, 38, 15–27., 2012.

Squeeze

“CFTC Order Imposes $600,000 Civil Penalty Against Fenchurch Capital Management Inc. of Chicago, In Connection with Market Manipulation and Cornering,” United States Commodities Futures Trading Commission, July 10, 1996.

Equity Lending and Borrowing

Viktoria Baklanova, Cecilia Caglio, Marco Cipriani, and Adam Copeland, “The Use of Collateral in Bilateral Repurchase and Securities Lending Agreements,” Federal Reserve Bank of New York Staff Reports No. 758, October 2017.

Matthew Dive, Ronan Hodge, Catrin Jones, and James Purchase “Developments in the global securities lending market,” Bank of England Quarterly Bullitin 2011 Q3, September 19th, 2011

Darrell Duffiea , Nicolae Garleanu, and Lasse Heje Pedersen,“Securities lending, shorting, and pricing,” Journal of Financial Economics 66, January, 2002.

David M. Weiss , “After the Trade Is Made: Processing Securities Transactions,” Portfolios, August 17th, 2006.

Michael Simmons, “Securities Operations: A Guide to Trade and Position Management,” Wiley, April 15th, 2002.

Keith Dickinson, “Financial Markets Operations Management,” Wiley, March 23rd, 2015.

Claude Brown, “How to spot the difference between repos and stock loans,” Linklaters & Paines, 1996.

TBA, WI

Peter Nash, “Effective Product Control Controlling for Trading Desks,” Wiley, 2017.

Bank of International Settlements (BIS). “Principles for the Sound Management of Operational Risk, Bank of International Settlements.” June 30th, 2011.

Rick Beal, Alex Weisgerber, Claudia Poster, and Esther Becker, “Incentive Compensation/Risk Management – Integrating Incentive Alignment and Risk Mitigation,” Towers Watson, Canadian Institute of Actuaries, Casualty Actuarial Society, Society of Actuaries, 2013.

Board of Banking Supervision, “Report into the collapse of Barings Bank.” July 18, 1995.

Joshua Corrigan and Paola Luraschi, “Operational risk modelling framework.” Milliman Research Report, February 2013.

Satyajit Das, “Traders, Guns and Money: Knowns and unknowns in the dazzling world of derivatives,” Financial Times, Prentice Hall, July 17th, 2010.

Robert S. Dunnett, Cindy B. Levy, and Antonio P. Simoes,”The hidden cost of operational risk,” McKinsey & Co., December 2005.

Kurt Eichenwald, “Learning the Hard Way How to Monitor Traders.” The New York Times, March 9th, 1995.

Terzah Ewing, “Sumitomo Suit to Be Settled For $99 Million,” The Wall Street Journal, August 13th, 1998.

Edward Kane, “Breakdown of accounting controls at Barings and Daiwa: Benefits of using opportunity-cost measures for trading activity,” Pacific-Basin Finance Journal, vol. 7, issue 3-4, 1999.

Erik Ipsen, “Shell Gains Despite Currency Fiasco., The New York Times, February 26th, 1993.

“Investigation and Oversight of Daiwa Bank and Daiwa Trust Company: Hearing before the Committee on Banking, Housing, and Urban Affairs,” United States Senate, November 27th, 1995.

D. Mailliard and A. Zaim, “Rogue Traders and the Evolution of Trading Controls,” KPMG, March 7th, 2014.

Hugh Son, “JPMorgan Software Does in Seconds What Took Lawyers 360,000 Hours,” Bloomberg, February 27, 2017.

United States Senate Permanent Subcommittee on Investigations. “JPMorgan Chase Whale Trades: A Case History of Derivatives Risks and Abuses,” March, 15th, 2013.

Buy-Sellback

Market Practice & Regulatory Policy,” International Capital Market Association, Retrieved January 2021.

SYNTHETIC AND COMMINGLED EXPOSURE

Total Return Swaps (TRS)

Matt Levine, “Bill Hwang’s Archegos Swap Aftermath Is Awkward for Banks,” Bloomberg Opinion, April 5th, 2021.

CATEGORIES AND GEOGRAPHY

International Indexes

“Emerging Markets: A 20-year Perspective,” MSCI/Barra, 2008.; “S&P U.S. Indices Methodology,” S&P Dow Jones Indices January, 2021.

Bob Pisani, “S&P decision to add Tesla in one shot shows the power of passive investing,” cnbc, December 1st, 2020.

George Calhoun, “Will Tesla Break The S&P 500? The Mechanics Of Market Turmoil,” Forbes, Jan 4th , 2021.

FIXED INCOME, CURRENCIES, AND COMMODITIES (FICC)

CASH, GOVERNMENTS, AND MUNIS

Cash, Govies

Gerry Mehrling, “The New Lombard Street,” Princeton University Press, 2011.

Marcia Stigum and Anthony Crescenzi, “Stigum’s Money Market,” Fourth Edition, McGraw Hill, 2007.

Annette Thau, “The Bond Book,” Third Edition, McGraw Hill, 2011.

Walter Bagehot, “Lombard Street A Description of the Money Market,” April 30, 2011.

David M. Weiss , “After the Trade Is Made: Processing Securities Transactions,” Portfolios, August 17th, 2006.

Michael Simmons, “Securities Operations: A Guide to Trade and Position Management,” Wiley, April 15th, 2002.

Keith Dickinson, “Financial Markets Operations Management,” Wiley, March 23rd, 2015.

“Morningstar Global Fixed Income Classification,” Morningstar Research, October 13th, 2017.

Taxes

American Recovery and Reinvestment Act (2009).; U.S. Internal Revenue Code, Section 141; Joe Mysak, “Muni Bond Issuers See Tax-Exemption at Eternal Risk,” Bloomberg, March 16th, 2021.

CORPORATES

Distressed

Stephen G. Moyer, “Distressed Debt Analysis: Strategies for Speculative Investors,” J. Ross Publishing, 2005.

Howard Qi, Sheen Liu, and Chunchi Wu, “Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads,” 2006.

Convertibles

Harold Bierman Jr., “Convertible Bonds as Investments,” Financial Analysts Journal 36, 1980.

Nick Calamos, “Convertible Arbitrage: Insights and Techniques for Successful Hedging,” John Wiley & Sons, 2003.

Jonathan Ingersoll, “An Examination of Corporate Call Policies on Corporate Securities,” Journal of Finance, 1977.

SECURITIZED PRODUCS AND DERIVATIVES

LEVERAGED LOANS

STRUCTURED NOTES AND LINKERS

John Brynjolfsson (Editor), Frank J. Fabozzi (Editor)Handbook of Inflation Indexed Bonds,” Wiley, February 1st, 1999.

SWAPS

MARKETABLE REAL ESTATE

RE Is Good Over The Long Term

Martin Hoesli, and Elias Oikarinen, “Are Reits Real Estate? Evidence from Sector Level Data,” ERES Conference 2011.

RE Indices

Andy Naranjo, and David Ling, “Economic Risk Factors and Commercial Real Estate Returns,” The Journal of Real Estate Finance and Economics 14, 1997.

Daniel Daniel and Sheridan Titman, “Do Real Estate Prices and Stock Prices Move Together? An International Analysis,” Real Estate Economics 27, 1999.

Jianping Mei and Ahyee Lee, “Is There a Real Estate Factor Premium?,” Journal of Real Estate Finance and Economics 9 1994.

RE Diversification

Piet Eichholtz, “Does International Diversification Work Better for Real Estate than for Stocks and Bonds?,” Financial Analysts Journal 52, 1996.

Daniel Quan, Daniel and Sheridan Titman, “‘Commercial Real Estate Prices and Stock Market Returns: An International Analysis,” Financial Analysts Journal 53, 1997.

Graeme Newell and James Webb, “Assessing Risk for International Real Estate Investments,” Journal of Real Estate Research 11, 1996.

Piet Eichholtz, Martin Hoesli, Bryan MacGregor, and Nanda Nanthakumaran, “Real Estate Portfolio Diversification by Property Type and Region,” Journal of Property Finance 6, 1995.

Martin Hoesli, Colin Lizieri, and Bryan MacGregor, “The Spatial Dimensions of the Investment Performance of UK Commercial Property,” Urban Studies 34, 1997.

Michael Young, Stephen Lee, and Steven Devaney, “Non-normal Real Estate Return Distributions by Property Type in the UK,” Journal of Property Research 23, 2006

Unsmoothing RE Returns

Cornish and Fisher, “Moments and Cumulants in the Specification of Distributions,” Review of the International Statistical Institute, 1937

David Geltner, “Smoothing in Appraisal-Based Returns,” Journal of Real Estate Finance and Economics 4, 1991.

David Geltner, “Estimating Market Values from Appraised Values without Assuming an Efficient Market,” Journal of Real Estate Research 8, 1993.

CURRENCIES

COMMODITIES

Robert Greer, “Commodity Indexes for Real Return and Efficient Diversification,” The Handbook of Inflation Hedging Investments, McGraw-Hill, 2005.

Claude Erb and Harvey Campbell, ‘The Tactical and Strategic Value of Commodity Futures,” Financial Analysts Journal, 2006.

David Booth and Eugene Fama, “Diversification Returns and Asset Contributions,” Financial Analysts Journal, 1992.

Claude Erb and Harvey Campbell “The Tactical and Strategic Value of Commodity Futures,” Financial Analysts Journal, 2006.

David Booth and Eugene Fama, “Diversification Returns and Asset Contributions,” Financial Analysts Journal, 1992.

Jon Caulfield, ‘Timberland Return Drivers and Investing Styles for an Asset that has Come of Age,” Real Estate Finance, 1998.

Courtland Washburn Clark and Binkley, “Do Forest Assets Hedge Inflation?,” Land Economics, 1993.

ALTERNATIVES AND ILLIQUIDS

HEDGE FUNDS AND MANAGED FUTURES

William Fund and David Hsieh, “Hedge-Fund Benchmarks: Information Content and Biases,” Financial Analysts Journal, 2002.

Nicole Boyson, “Hedge Fund Performance Persistence: A New Approach,” Financial Analysts Journal. 2008.

William Fung and David Hsieh, “Hedge Fund Benchmarks: A Risk Based Approach,” Financial Analysts Journal, 2004.

SMART BETA

Sébastien Maillard, Thierry Roncalli, and Jérôme Teïltche, “The Properties of Equally Weighted Risk Contribution Portfolios,” Journal of Portfolio Management, 2010

Robert Fernholz, Garvy Robert, and John Hannon, “Diversity-Weighted Indexing,” Journal of Portfolio Management, 1998.

Malcolm Baker, Brendan Bradley, and Jeffrey Wurgler, ”Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly,” Financial Analysts Journal, 2011.

Robert Arnott, Jason Hsu, and Philip Moor, “Fundamental Indexation,” Financial Analysts Journal, 2005.

Eugene Fama and Kenneth French, “The Cross-Section of Expected Stock Returns,” Journal of Finance, 1992.

Eugene Fama, “Common Risk Factors in the returns on stocks and bonds,”.

Narasimhan Jagadeesh and Sheridan Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 1993.

Mark Carhart, “On Persistence in Mutual Fund Performance,” Journal of Finance, 1997.

Robert Haugen and Nardin Baker, “The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios,” Journal of Portfolio Management, 1991.

Roger Clarke, Harindra de Silva, and Steven Thorley, “Minimum-Variance Portfolios in the U.S. Equity Market,” Journal of Portfolio Management, 2006.

Roger Clarke, Harindra de Silva, and Steven Thorley, “Know Your VMS Exposure,” Journal of Portfolio Management, 2010.

Tzee-man Chow, Jason Hsu, Jason, Vitali Kalesnik, and Bryce Little, “A Survey of Alternative Equity Index Strategies,” Financial Analysts Journal, 2011.

Clifford Asness, “The Value of Fundamental Indexing,” Institutional Investors, 2006.

PRIVATE EQUITY

Albertus and Denes, Private Equity Fund Debt: Capital Flows, Performance, and Agency Costs, Carnegie Mellon, May 2020

Aleksandar Andonov, and Joshua D. Rauh, 2020, The Return Expectations of Institutional Investors. Stanford University Graduate School of Business Research Paper No. 18-5.

Andrew Ang, Bingxu Chen, William N Goetzmann, and Ludovic Phalippou, 2017, Estimating Private Equity Returns from Limited Partner Cash Flows, Journal of Finance, Forthcoming.

Bain, Global Private Equity Report, 2021.

Brown, et al. Evolution of Private Equity Fund Value, June 2020.

Brown, et al., Can investors time their private equity?, October 2019.

Brown, Harris, Hu, Jenkinson, Kaplan, and Robinson, Private equity portfolio companies: A first look at Burgiss holdings data, January 2020.

Cambridge Associates, Should you avoid commitment (facilities)?, June 2018.

Capital Dynamics, Private equity co-investment funds–a comparison of risks and returns, February 2020.

Cembalest, Michael, “Food Fight: An update on private equity performance vs public equity markets,” JP Morgan Asset and Wealth Management, June 2021.

Clayton, William W, 2020, The Private Equity Negotiation Myth., Yale Journal on Regulation 37, 67–115.

Ennis, Richard M, 2020, Institutional Investment Strategy and Manager Choice: A Critique, The Journal of Portfolio Management.

Franzoni, Francesco, Eric Nowak, and Ludovic Phalippou, 2012, Private equity performance and liquidity risk, Journal of Finance 67, 2341–2373.

Gredil et al, Benchmarking Private Equity: The Direct Alpha Method, 2014.

Hamilton Lane _ Market Overview_ Performance Part I, 2021.

Robert S. Harris, Tim Jenkinson, and Steven N. Kaplan, 2014, Private equity performance: What do we know?, Journal of Finance 69, 1851–1882.

Robert S. Harris, Tim Jenkinson, and Steven N Kaplan, 2016, How Do Private Equity Investments Perform Compared to Public Equity?, Journal of Investment Management 14, 1–24.

Robert S. Harris, et al., Evidence from Buyout and Venture Funds, November 2020.

Haynes and Boone LLP, Fund Finance: Utilizing Credit Lines/Subscription Lines of Credit at the Fund Level, February 2018.

Ilmanen, Antti, Swati Chandra, and Nicholas McQuinn, 2020, Demystifying Illiquid Assets: Expected Returns for Private Equity, The Journal of Alternative Investments 22, 8–22.

Institutional Limited Partners Association, Enhancing Transparency Around Subscription Lines of Credit, June 2020

Ivashina, Victoria, and Josh Lerner, 2019, Pay now or pay later? The economics within the private equity partnership., Journal of Financial Economics 131, 61–87.

Ivashina, Victoria, and Joshua Lerner, 2019, Patient Capital : The Challenges and Promises of Long-Term Investing. Ed. Princeton University Press.

Tim Jenkinson, Wayne R. Landsman, Brian Rountree, and Soonawalla Kazbi, 2020, Private Equity Net Asset Values and Future Cash Flows, Accounting Review.

Tim Jenkinson, et al., Long Goodbyes: Why do Private Equity Funds hold onto Public Equity?, February 2021.

Johnson, Eric, 2017, Approaches to Selecting a Risk Premium. ILPA White Paper Series.

Steven N. Kaplan and Antoinette Schoar, Private equity performance: Returns, persistence, and capital flows, Journal of Finance 60, 1791–1823, 2005.

Steven N. Kaplan, Private Equity, Buyouts and Venture Capital: Past, Present and Future, June 2018.

Larocque (Notre Dame) et al, Private equity returns, cash flow timing, and investor choices, August 2019

L’Her, Jean-Francois, Rossitsa Stoyanova, Kathryn Shaw, William Scott, and Charissa Lai, 2016, A Bottom-Up Approach to the Risk-Adjusted Performance of the Buyout Fund Market, Financial Analysts Journal 72, 36–48.

Lerner, Josh, Jason Mao, Antoinette Schoar, and Nan R Zhang, 2020, Investing Outside the Box: Evidence from Alternative Vehicles in Private Equity. NBER working papers.

Lopez-de-Silanes, Florencio, Ludovic Phalippou, and Oliver Gottschalg, 2015, Giants at the gate: On the cross section of private equity investment returns, Journal of Financial & Quantitative Analysis 50, 377–411.

Mercer, Dry powder meets low interest rates, March 2021.

Morris, Peter, and Ludovic Phalippou, 2019, Thirty Years After Jensen’s Prediction – Is Private Equity a Superior Form of Ownership?, Oxford Review of Economic Policy, forthcoming.

Ludovic Phalippou, The hazards of using IRR to measure performance : The case of private equity, Journal of Performance Measurement, 1–23, 2008.

Ludovic Phalippou, “An Inconvenient Fact: Private Equity Returns & The Billionaire Factory,” University of Oxford, Said Business School.

Ludovic Phalippou, Beware of venturing into private equity, Journal of Economic Perspectives 23, 2009.

Ludovic Phalippou, et al, Big 5 revenue sources: What do we learn?,” June 2021.

Ludovic Phalippou, Yale’s Endowment Returns: Case Study in GIPS Interpretation Difficulties, Journal of Alternative Investments 15, 97–103, 2013,.

Ludovic Phalippou, Performance of buyout funds revisited?, Review of Finance 18, 189–218, 2014.

Ludovic Phalippou, Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation, American Economic Review 105, 1408–1438, 2015.

Private Equity Internatinal, Subscription credit’s shifting landscape, October 2020.

David T. Robinson, and Berk A. Sensoy, Do Private Equity Fund Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance, Review of Financial Studies 26, 2760–2797, 2013.

Rossi, Decreasing Returns or Reversion to the Mean?, December 20219.

Rudiger Stucke, Updating History, 2013.

Sorensen, Morten, Neng Wang, and Jinqiang Yang, 2013, Valuing Private Equity, Review of Financial Studies, forthcoming.

Swensen, D F, 2000, Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment (Simon & Schuster).

INTERNAL FUND-OF-FUNDS

Brian Lawler, Brett Mossman, Patrick Nolan, Andrew Ang, “Factors and Advisor Portfolios,” Journal of Wealth Management, Spring 2020.

REAL ESTATE

The Rate of Return on Real Estate: Long-Run Micro-Level Evidence* David Chambers† University of Cambridge Christophe Spaenjers‡ HEC Paris Eva Steiner§ Penn State University This version: January 2021.

Preferences of Institutional Investors in Commercial Real Estate Dragana Cvijanovica, Stanimira Milchevab, Alex van de Minne.

Slow-moving capital and resales in real estate markets Jung-Eun Kimy John Krainerz Joseph Nichols. December 20, 2019.

Non-risk Determinants of Investment Returns: Quality, Deal Size, and Returns of Commercial Real Estate Liang Peng. Smeal College of Business The Pennsylvania State University University Park, PA 16802 Phone: (814) 863 1046 Fax: (814) 865 6284 Email: liang.peng@psu.edu April 2019.

The Cap Rate Premium Puzzle Liang Peng* Smeal College of Business The Pennsylvania State University University Park, PA 16802 Phone: (814) 863 1046 Fax: (814) 865 6284 Email: liang.peng@psu.edu August 2021.

Asset-level risk and return in real estate investments Jacob S. Sagiy This version: April 19, 2015.

Liquidity in Residential Real Estate Markets* Nadia Kotova†and Anthony Lee Zhang‡ December 2020.

INFRASTRUCTURE

ART AND OTHER COLLECTIBLES

John Stein, ”The Monetary Appreciation of Paintings,” Journal of Political Economy, 1977.

Bruno Frey and Reiner Eichenberger, “On the Return of Art Investment Return Analysis,” Journal of Cultural Economics, 1995.

John Stein, ‘The Monetary Appreciation of Paintings’.

Kenneth Wieand,Jeff Donaldson, and Socorro Quintero, “Are Real Assets Priced Internationally? Evidence from the Art Market.” 1998

Guido Candela and Scorcu Antonello, “A Price Index for Art Market Auctions – An Application to the Italian Market of Modern and Contemporary Oil Paintings,” Journal of Cultural Economics, 1997.

James Pesando, “Art as an Investment: The Market for Modern Prints,” The American Economic Review, 1993.

Wolfgang Wilke, “Investing in Art – the Art of Investing (Dresdner Bank, 2000.

David Sokolin, and Bruce Alexandra, “Investing in Liquid Assets: Uncorking Profits in Today’s Global Wine Market,” Simon & Schuster, 2008.

CRYPTOCURRENCIES

Claire Ballentine and Katherine Greifeld, How Wall Street’s Quest for a Bitcoin ETF Is Going: QuickTake, Bloomberg News, May 12th, 2021.

Aswath Damodaran, “The Bitcoin Boom: Asset, Currency, Commodity or Collectible?” October 24th, 2017.

Katie Greifeld, Grayscale CEO Sees ETF as Solution to Biggest Crypto Fund’s Woes, Bloomberg News, May 13th 2021.

Vildana Hajric and Katie Greifeld, Largest Bitcoin Fund Drives to Record Discount Amid Crypto Swook, Bloomberg News, April 23rd, 2021.

Adam Ludwin, “A Letter to Jamie Dimon And anyone else still struggling to understand cryptocurrencies,” October 16th, 2017.

Avi Salzman, Bitcoin Investors Have a New Issue to Worry About, Dow Jones Intstitutional News Feed, June 24th, 2021

VOLATILITY

RISK TRANSFER

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE (ESG)

Khuram Chaudhry, Viquar Shaikh, Ayub Hanif, Dubravko Lakos-Bujas, Robert Smith, Berowne Hlavaty, Marko Kolanovic, “ESG – Environmental, Social & Governance Investing A Quantitative Perspective of how ESG can Enhance your Portfolio,” J.P. Morngan Global Quantitative & Derivatives Strategy, December 14th, 2016.

A.J. Lindeman, ESG Investment Insights: Benefits and Challenges in Extracting Signals from ESG Data, February 2020.

Jean-Xavier Hecker, Europe ESG Research, ESG & Sustainability Research, ESG Integration—Introducing Double Materiality, September 24th, 2020.

Jean-Xavier Hecker, Hugo Dubourg, “What happened to ESG? Deciphering the complexity of a booming market ESG & Sustainability research,” J.P. Morgan Global Equity Research, March 6th, 2020.

Global Quantitative & Derivatives Strategy, ESG—Environmental, Social & Governance Investing, December 14th, 2016.

Berg, F., J. Kölbel and R. Rigobon. “Aggregate Confusion: The Divergence of ESG Ratings.” MIT Sloan Research Paper (2019). Bloomberg LP. “2020 Bloomberg Gender-Equality Index Methodology .” 2020. Ellis, G. and A. Fisher. “Valuing the Environment as Input.” Division of Agricultural Sciences, University of California Working Paper (1986). Fullerton, D. and Chi. Ta. “Environmental Policy on the back of an envelope: A Cobb- Douglas model is not just a teaching tool.” Energy Economics (2019). Henriksson, R., et al. “Integrating ESG in Portfolio Construction.” Journal of Portfolio Management (2019): 67-81. Huang, S. and G. Hilary. “Zombie Board: Board Tenure and Firm Performance.” Journal of Accounting Research (2018). Khan, M., G. Serafeim and A. Yoon. “Corporate Sustainability: First Evidence on Materiality.” Accounting Review (2016). Kotsantonis, S. and G. Serafeim. “Four Things No One Will Tell You About ESG Data.” Journal of Applied Corporate Finance (2019): 50-58. Kotsantonis, S., C. Pinney and G. Serafeim. “ESG Integration in Investment Management: Myths and Realities.” Journal of Applied Corporate Finance (2016): 10-16. Meyers. “Predictive Modeling with the Tweedie Distribution.” CAS Annual Meeting. 2009. OECD. “Handbook on Constructing Composite Indicators: Methodology and User Guide.” 2008. Rahdari, A. and A. Rostamy. “Designing a general set of sustainability indicators at the corporate leve.” Journal of Cleaner Production (2015). Yang, Y. “Insurance Premium Prediction.” arxiv.org (2016). York, R., E. Rosa and T. Dietz. “STIRPAT, IPAT and ImPACT: analytic tools for unpacking the driving forces of environmental impacts.” Ecological Economics. (2003)..

CHAPTER 7: FEATURES

Andrew Ng, “Machine Learning and AI via Brain Simulations,” 2013.

SciKit-Learn

“6.4. Imputation of missing values”, Scikit-Learn Documentation, 2021.

Tradeoff Between Accuracy and Tractability

Mike Masnick, “Why Netflix Never Implemented The Algorithm That Won The Netflix $1 Million Challenge,” Apr 13th 2012.

High Precision and Low Accuracy

Alon Halevy, Peter Norvig, and Fernando Pereira, “The Unreasonable Effectiveness of Data,” IEEE, 2009.

Argument Against Domain Expertise

Nicholas Kridler, “Data Agnosticism: Feature Engineering Without Domain Expertise,” SciPy 2013 Presentation

Bioinformatics

T. Speed, “Statistical Analysis of Gene Expression Microarray Data,” Chapman & Hall/CRC, 2003.; T. Hastie, R. Tibshirani, G. Sherlock, M. Eisen, P. Brown, and D. Botstein, “Imputing missing data for gene expression arrays”, Technical Report, Division of Biostatistics, Stanford University, 1999.; O. Troyanskaya, M. Cantor, G. Sherlock, P. Brown, T. Hastie, R. Tibshirani, D. Botstein, and R. Altman, ,”Missing value estimation methods for DNA microarrays,” Bioinformatics 17(6) , 2001.

Intuitive Examples

Richard Feynman, “A Different Box of Tools” in “Surely You’re Joking, Mr. Feynman,” Bantam, 1985.

Causality

Judea Pearl, “Robustness of Causal Claims” In Proceedings of the 20th Conference on Uncertainty in Artificial Intelligence, July 2004.

J. Tian and Judea Pearl, “A General Identification Condition for Causal Effects” In Proceedings of the Eighteenth Conference on Artificial Intelligence, AAAI/The MIT Press, August 2002.

Judea Pearl, “Direct and Indirect Effects” In Proceedings of the Seventeenth Conference on Uncertainty in Artificial Intelligence, Morgan Kaufmann, 2001.

J.Y. Halpern and JudeaPearl, “Causes and explanations: A structural-model approach–Part I: Causes” In British Journal of Philosophy of Science, 2005.

J.Y. Halpern and Judea Pearl, “Causes and explanations: A structural-model approach– Part II: Explanations” In British Journal of Philosophy of Science, 2005.; Judea Pearl, “The logic of counterfactuals in causal inference,” In Journal of American Statistical Association, Vol. 95, No. 450, June 2000.

J. Tian and Judea Pearl, “Probabilities of causation: Bounds and identification” In Annals of Mathematics and Artificial Intelligence, Vol. 28, 2000.

DATA EXPLORATION

Codebooks

”Guide to Codebooks,” Inter-University Consortium for Political and Social Research, 2011.

SAMPLING

Visualiztion

F.J Anscombe, “Graphs in Statistical Analysis,” American Statistician. 27 (1), 1973.

Justin Matejka and George Fitzmaurice, “Download the Datasaurus: Never trust summary statistics alone; always visualize your data,” ACM SIGCHI Conference on Human Factors in Computing Systems, 2017.

SMOTE

] N. V. Chawla, K. W. Bowyer, L. O. Hall, and W. P. Kegelmeyer, “SMOTE: Synthetic Minority Over-sampling Technique,” Journal Of Artificial Intelligence Research, June 9th 2011.

Gustavo E. A. P. A. Batista, Ronaldo C. Prati, and Maria Carolina Monard, “A Study of the Behavior of Several Methods for Balancing Machine Learning Training Data,” ACM SIGKDD Explorations Newsletter, June 2004.

Borderline SMOTE

Hien M. Nguyen, Eric W. Cooper, and Katsuari Kamei, “Borderline Over-sampling for Imbalanced Data Classification,” IEEE SMC Hiroshima Chapter, October 11th, 2009.

Hui Han, Wen-Yuan Wang, and Bing-Huan Mao, “Borderline-SMOTE: A New Over-Sampling Method in Imbalanced Data Sets Learning,” Advances in Intelligent Computing, 2005.

ADASYN

Haibo He, Yang Bai, Edwardo A. Garcia, and Shutao Li, “ADASYN: Adaptive synthetic sampling approach for imbalanced learning,” IEEE, June 1st, 2008.

Condensed NN

P. Hart, “The condensed nearest neighbor rule,” IEEE Transactions on Information Theory, vol. 14, no. 3, May 1968.

Tomek

Jianping Zhang and Inderjeet Mani, “KNN Approach to Unbalanced Data Distributions: A Case Study in involving Information Extraction,” Proceeding of International Conference on Machine Learning, 2003.

Marcelo Beckmann, Nelson F. F. Ebecken, and Beatriz S. L. Pires de Lima, “A KNN Undersampling Approach for Data Balancing,” Journal of Intelligent Learning Systems and Applications, Vol.7 No.4, November 11th, 2015.

“Two Modifications of CNN,” in IEEE Transactions on Systems,” Man, and Cybernetics, vol. SMC-6, no. 11, November 1976.

Edited Nearest Neighbors

D. L. Wilson, “Asymptotic Properties of Nearest Neighbor Rules Using Edited Data,” IEEE Transactions on Systems, Man, and Cybernetics, vol. SMC-2, no. 3, July 1972.

“An Experiment with the Edited Nearest-Neighbor Rule,” IEEE Transactions on Systems, Man, and Cybernetics, vol. SMC-6, no. 6, June 1976.

One-Sided Selection

Miroslav Kubat and Stan Matwin, “Addressing the Curse of Imbalanced Training Sets: One-Sided Selection.”;

Neighborhood Cleaning Rule

Jorma Laurikkala, “Improving Identification of Difficult Small Classes by Balancing Class Distribution,” Artificial Intelligence in Medicine, 2001.

Yield Curve

Charles R. Nelson and Andrew F.Siegel, “Parsimonious Modeling of Yield Curves,” The Journal of Business, 1987.

F. Ametrano and M. Bianchetti, “Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask,” April 2nd, 2013.

M. Fujii, Y. Shimada, and A. Takahashi, “A Note on Construction of Multiple Swap Curves with and without Collateral,” CARF Working Paper Series No. CARF-F-154, January 2nd, 2010.

Cost Matrix

Nathalie Japkowicz and Stephen Shaju, “The class imbalance problem: A systematic study,“Intelligent Data Analysis, Volume 6, Number 5, October 2002.

Peter D. Turney, “Types of Cost in Inductive Concept Learning,” December 11th, 2002.

Charles Elkan, “The foundations of cost-sensitive learning, “Proceedings of the 17th international joint conference on Artificial intelligence, Volume 2, August 2001.

Bianca Zadrozny, John Langford, and Naoki Abe, “Cost-Sensitive Learning by Cost-Proportionate Example Weighting,” Proceedings of the Third IEEE International Conference on Data Mining, November 2003.

N. Thai-Nghe, Z. Gantner, and L. Schmidt-Thieme, “Cost-sensitive learning methods for imbalanced data,” The 2010 International Joint Conference on Neural Networks (IJCNN), 2010.

Claude Sammut and Geoffrey I. Webb, Editors, “Encyclopedia of Machine Learning 2010th Edition,” Springer, March 28th, 2011.

Balaji Krishnapuram, Shipeng Yu, R. Bharat Rao, Editors, “Cost-Sensitive Machine Learning, Chapman & Hall/CRC, December 19, 2011.

“Cost-sensitive Learning Methods For Imbalanced Data,” 2010.

“Misclassification Costs in Classification Learner App,” MATLAB Documentation, 2021a.

“Handle Imbalanced Data or Unequal Misclassification Costs in Classification Ensembles,” MATLAB Documentation, 2021a

Sklearn.utils.class_weight,” Scikit-Learn Documentation, retrieved 2021.

Resampling

Cost-Sensitive Learning by Cost-Proportionate Example Weighting, 2003.

In the Methods

Wei Fan, Salvatore J. Stolfo, Junxin Zhang, and Philip K. Chan, “AdaCost: Misclassification Cost-Sensitive Boosting,” Proceedings of the Sixteenth International Conference on Machine Learning, June 1999.

Gary King and Langche Zeng, “Logistic regression in rare events data,” Political Analysis 9(2), 2001.

Charles F. Manski and Steven R. Lerman, “The Estimation of Choice Probabilities from Choice Based Samples,” Econometrica, Volume 45, Number 8, November 1977.

K. Veropoulos, C. Campbell, N. Cristianini, “Controlling the Sensitivity of Support Vector Machines,” SVM Approach to Medical Applications, June 1999.

Xulei Yang, Qing Song, and A. Cao, “Weighted support vector machine for data classification,” IEEE International Joint Conference on Neural Networks, 2005.

Hamed Masnadi-Shirazi, Nuno Vasconcelos, and Arya Iranmehr, “Cost-Sensitive Support Vector Machines,” February 15th, 2015.

Matjaz Kukar and Igor Kononenko, “Cost-Sensitive Learning with Neural Networks,” Proceedings of the 13th European Conference on Artificial Intelligence, 1998.

Zhi-Hua Zhou and Xu-Ying Liu, “Training cost-sensitive neural networks with methods addressing the class imbalance problem,” IEEE Transactions on Knowledge and Data Engineering, Volume 18, Number 1, January 2006.

S. Wang, W. Liu, J. Wu, L. Cao, Q. Meng, and P. J. Kennedy, “Training deep neural networks on imbalanced data sets,” 2016 International Joint Conference on Neural Networks (IJCNN), 2016.

Tianqi Chen, Carlos Guestrin, “XGBoost: A Scalable Tree Boosting System,” June 10th, 2016.; X. Liu, J. Wu, and Z. Zhou, “Exploratory Undersampling for Class-Imbalance Learning,” IEEE Transactions on Systems, Man, and Cybernetics, Part B (Cybernetics), Volume 39, Number 2, April 2009.

Chao Chen, Andy Liaw, and Leo Breiman, “Using Random Forest to Learn Imbalanced Data,” July 1, 2004.

Bootstrap

A. C. Davison and D. V. Hinkley, “Bootstrap Methods and their Application,” Cambridge University Press, 1997.

VISUALIZATIONS

F.J Anscombe, “Graphs in Statistical Analysis,” American Statistician. 27 (1), 1973.

D.G. Altman, J.M. Bland, “Measurement in medicine: the analysis of method comparison studies,” The Statistician. 32 (3), 1983.; William S. Cleveland, “Visualizing data,” AT&T Bell Laboratories, 1993.

Market Profile

J. Peter Steidlmayer and Steven B. Hawkins, “Steidlmayer on Markets: Trading with Market Profile,” Second Edition, Wiley, 2007.

Contingency Tables

Karl Pearson in “On the Theory of Contingency and Its Relation to Association and Normal Correlation”, Drapers’ Company Research Memoirs Biometric Series I, 1904.

Correspondence Analysis

Michael Greenacre, “Correspondence Analysis in Practice,” Third Edition, Chapman & Hall/CRC, 2017.

Partial Regression Plots

M. Kutner, C. Nachtschiem, W. Wasserman, and J. Neter, “Applied Linear Statistical Models, Fourth Edition, McGraw-Hill, 1996.; N.R. Draper and H. Smith, “Applied Regression Analysis,” Third Edition, John Wiley, 1998.

FEATURE SELECTION

INTERACTIONS AND CONDITIONING

Tobias Bollenbach, “Antimicrobial interactions: mechanisms and implications for drug discovery and resistance evolution,” Current Opinion in Microbiology, Volume 27, 2015, Pages 1-9, ISSN 1369-5274, https://doi.org/10.1016/j.mib.2015.05.008. (https://www.sciencedirect.com/science/article/pii/S1369527415000594)

Rodea-Palomares, Ismael, Miguel González-Pleiter, Keila Martín-Betancor, Roberto Rosal, and Francisca Fernández-Piñas. 2015. “Additivity and Interactions in Ecotoxicity of Pollutant Mixtures: Some Patterns, Conclusions, and Open Questions” Toxics 3, no. 4: 342-369. https://doi.org/10.3390/toxics3040342

Design of Experiments

P. Guttorp and G. Lindgren, “Karl Pearson and the Scandinavian school of statistics”. International Statistical Review, 2009.

J.W. Creswell, “Educational research: Planning, conducting, and evaluating quantitative and qualitative research, 3rd Edition,” Prentice-Hall, 2008.

Leonard E. Burman, Robert W. Reed, and James Alm, “A call for replication studies”, Public Finance Review, 38 (6): 787–793, 2010.

Jack Sifri, “How to Use Design of Experiments to Create Robust Designs With High Yield,” 2014.

Joseph Simmons, Leif Nelson, and Uri Simonsohn, “False-Positive Psychology: Undisclosed Flexibility in Data Collection and Analysis Allows Presenting Anything as Significant”. Psychological Science, 2011.

Chris Chambers, “Physics envy: Do ‘hard’ sciences hold the solution to the replication crisis in psychology?” The Guardian, 2014.

S. Bisgaard, “Must a Process be in Statistical Control before Conducting Designed Experiments?”, Quality Engineering, 2008.

Douglas Montgomery, “Design and analysis of experiments, 8th Ed.,” John Wiley & Sons, Inc., 2013.

J.C. Spall, “Factorial Design for Efficient Experimentation: Generating Informative Data for System Identification”. IEEE Control Systems Magazine, 2010.

C. F. Jeff Wu and Michael S. Hamada, “Experiments: Planning, Analysis, and Optimization 3rd Edition,” 2021.

Interactions

Thorsten Dickhaus, “Simultaneous statistical inference,” Springer, 2014. https://www.springer.com/gp/book/9783642451812

J. Friedman, “Greedy function approximation: A gradient boosting machine,” Annals of Statistics, 2001. https://www.jstor.org/stable/2699986?seq=1#metadata_info_tab_contents

False Discovery and the Multiple Comparisons Problem

Keegan Korthauer, Patrick K. Kimes, Claire Duvallet, Alejandro Reyes, Ayshwarya Subramanian, Mingxiang Ten6, Chinmay Shukl, Eric J. Alm, and Stephanie C. Hicks, “A practical guide to methods controlling false discoveries in computational biology,” Genome Biology,2019. 20:118 https://doi.org/10.1186/s13059-019-1716-1

Mohieddin Jafari and Naser Ansari-Pour, “Why, When and How to Adjust Your P Values?.” Cell J. 2019. https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6099145/

Shi-Yi Chen, Zhe Feng, and Xiaolian Yi, “A general introduction to adjustment for multiple comparisons.” Journal of thoracic disease vol. 9,6, 2017. https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5506159/

Jerome H. Friedman and Bogdan E Popescu. “Predictive learning via rule ensembles.” The Annals of Applied Statistics, 2008.

Brandon M. Greenwell, Bradley C. Boehmke, and Andrew J. McCarthy. “A simple and effective model-based variable importance measure,” 2018.

FEATURE SELECTION

Robust Models Can Be Difficult to Interpret

Galit Shmueli, “To Explain or to Predict,” Statistical Science, Volume 25, Number 3, 2010.

PREPROCESSING, MISSING DATA, AND OUTLIERS

Missing and Minority Data

Alberto Fernández, Salvador García, Mikel Galar, Ronaldo C. Prati, Bartosz Krawczyk, Francisco Herrera “Learning From Imbalanced Data Sets,” 2016.

Haibo He and Yunqian Ma, “Imbalanced Learning Foundations, Algorithms, and Applications,” Wiley/IEEE Press, 2018.

Bartosz Krawczyk “Learning From Imbalanced Data: Open Challenges And Future Directions,” Progress in Artificial Intelligence, Volume 5, 2016.

Mikel Galar, Alberto Fernandez, Edurne Barrenechea, Humberto Bustince, and Francisco Herrera, “A Review on Ensembles for the Class Imbalance Problem: Bagging-, Boosting-, and Hybrid-Based Approaches,” IEEE 2011.

Surrogate Splits

Achilleas Tsoumanis, “Help, my data has gone missing! An introduction to incomplete data,” Institute of Tropical Medicine Antwerp.

Ad Feelders, “Handling Missing Data in Trees: Surrogate SPlits or Statistical Imputation,” Third European Conference on Principles of Data Mining and Knowledge, Volume 1704, March 2000.

Novelties

“Novelty and Outlier Detection,” Scikit Learn Documentation, 2021.

Charu C. Aggarwal, “Outlier Analysis,” second edition, Springer, 2017.

Questionnaires

Robie Whelan, “Robo-signer debate: Was it fraud?” The Wall Street Journal, October 10th, 2010.

King Efffect

J. Laherrère and D. Sornette, “Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales,” The European Physical Journal B – Condensed Matter and Complex Systems volume 2, April, 1998.

SMOTE

N. V. Chawla, K. W. Bowyer, L. O. Hall, and W. P. Kegelmeyer “SMOTE: Synthetic Minority Over-sampling Technique,” Journal Of Artificial Intelligence Research, Volume 16, 2002.

Detecting Outliers

Robert C. Holte, Liane E. Acker, and Bruce W. Porter, “ Concept Learning And The Problem Of Small Disjuncts,” 1989

Kernel Density

Longin Jan Latecki, Aleksandar Lazarevic, and Dragoljub Pokrajac, “Outlier Detection with Kernel Density Functions,” in “Machine Learning and Data Mining in Pattern Recognition,” Springer, 2007.

Y. Xu, N. Xu, and X. Feng, “A New Outlier Detection Algorithm Based on Kernel Density Estimation for ITS,” 2016 IEEE International Conference on Internet of Things (iThings) and IEEE Green Computing and Communications (GreenCom) and IEEE Cyber, Physical and Social Computing (CPSCom) and IEEE Smart Data (SmartData), Chengdu, China, 2016.

Extreme Value Theory

Sandra G. Dykes, “Poster: An Extreme Value Theory Approach to Anomaly Detection (EVT-AD),” 2012.

Autoencoders

Liat Antwarg, Ronnie Mindlin Miller1, Bracha Shapira, and Lior Rokach, “Explaining Anomalies Detected by Autoencoders Using SHAP,” Journal of Artificial Intelligence, July 2nd, 2020.

Andrea Borghesi, Andrea Bartolini, Michele Lombardi, Michela Milano, and Luca Benini, “Anomaly Detection Using Autoencoders in High Performance Computing Systems,” The Thirty-First AAAI Conference on Innovative Applications of Artificial Intelligence, 2019.

Decision Trees

David Cortes, “Explainable outlier detection through decision tree conditioning,” January 2020.

Time Series Outliers

Manish Gupta, Jing Gao, Charu C. Aggarwal, and Jiawei Han, “Outlier Detection for Temporal Data: A Survey,” Ieee Transactions On Knowledge And Data Engineering, Vol. 25, No. 1, January 2014.

D. Birant and A. Kut, “Spatio-temporal outlier detection in large databases,” 28th International Conference on Information Technology Interfaces, 2006.

Metrics for Imbalanced Data

Yanmin Sun, Andrew Wong, Mohamed S. Kamel, “Classification Of Imbalanced Data: A Review,” International Journal of Pattern Recognition and Artificial Intelligence 23(04), November 2009.

Paula Branco, Luis Torgo, Rita P. Ribeiro, “A Survey of Predictive Modelling under Imbalanced Distributions,” May 8th, 2015.

C. Ferri, J. Hernandez-Orallo, and R. Modroiu, “An Experimental Comparison Of Performance Measures For Classification,” Pattern Recognition Letters, Volume 30, Issue 1, January 1st 2009.

Marina Sokolova and Guy Lapalme, “A Systematic Analysis Of Performance Measures For Classication Tasks,” Information Processing & Management, Volume 45, Issue 4, July 2009.

Machine Learning for Imbalanced Data

Alexandru Niculescu and Rich Caruana, “Predicting Good Probabilities With Supervised Learning,” Machine Learning, Proceedings of the Twenty-Second International Conference, August 7-11, 2005

Byron C. Wallace and Issa J. Dahabreh, “Class Probability Estimates are Unreliable for Imbalanced Data (and How to Fix Them),” 2012 IEEE 12th International Conference on Data Mining, January 17th, 2013.

Platt Scaling

John Platt, “Probabilistic outputs for support vector machines and comparisons to regularized likelihood methods,” Advances in Large Margin Classifiers. 10 (3), 1999.

Olivier Chapelle, Vladimir Vapnik, Olivier Bousquet, and Sayan Mukherjee, “Choosing multiple parameters for support vector machines,” Machine Learning, 46, 2002.

Hsuan-Tien Lin, Chih-Jen Lin, and Ruby C. Weng, “A note on Platt’s probabilistic outputs for support vector machines,” Machine Learning. 68 (3), 2007.

Logistic Regression for Extreme Values

“CalibratedClassifierCV Class,” Scikit-Learn Documentation, 2021.

Unsupervised Outlier, Novelty, and Anomaly Detection

P. Oliveri, “Class-modelling in food analytical chemistry: Development, sampling, optimisation and validation issues – A tutorial,” Analytica Chimica Acta, August 2017.

Kolby Crammer, “A needle in a haystack: local one-class optimization,” ICML Proceedings of the Twenty-first International Conference on Machine Learning, 26, 2004.

M. Moya and D. Hush,”Network constraints and multi- objective optimization for one-class classification,” Neural Networks, 9 (3), 1996.

Oxana Ye. Rodionova, Paolo Oliveri, and Alexey L.Pomerantsev, “Rigorous and compliant approaches to one-class classification,” Chemometrics and Intelligent Laboratory Systems, Volume 159, December 15th, 2016.

W. Liu, G. Hua, and J. R. Smith, “Unsupervised One-Class Learning for Automatic Outlier Removal,” IEEE Conference on Computer Vision and Pattern Recognition, 2014.

Hirofumi Fujita, Tetsu Matsukawa, and Einoshin Suzuki, “Detecting outliers with one-class selective transfer machine,” Knowledge and Information Systems, Volume 62, 2020.

Bernhard Schölkopf, John C. Platt, John C. Shawe-Taylor, Alex J. Smola, and Robert C. Williamson, “Estimating the Support of a High-Dimensional Distribution.” Neural Comput. 13, 7, July 2001.

F. T. Liu, K. M. Ting, and Z. Zhou, “Isolation Forest,” Eighth IEEE International Conference on Data Mining, 2008.; Fei Tony Liu, Kai Ming Ting, and Zhi-Hua Zhou. “Isolation-Based Anomaly Detection,” ACM Trans. Knowl. Discov. Data 6, 1, Article 3,March 2012.

Peter J. Rousseeuw and Katrien Van Driessen “A Fast Algorithm for the Minimum Covariance Determinant Estimator,” Technometrics, 1999.

Markus M. Breunig, Hans-Peter Kriegel, Raymond T. Ng, and Jörg Sander, “LOF: identifying density-based local outliers,” SIGMOD Rec. 29, 2, June 2000.

FEATURE EXTRACTION

TSFRESH

Ben D. Fulcher, “Feature-Based Time-Series Analysis,” 2017

Maximilian Christ, “Time Series Feature Extraction on basis of Scalable Hypothesis tests (tsfresh—A Python package),” Neurocomputing, 2018.

Daycount

Marcia Stigum and Franklin Robinson, “Money Market and Bond Calculations,” Richard D. Irwin, 1996.

Jan Mayle, “Standard Securities Calculation Methods: Fixed Income Securities Formulas for Analytic Measures,” Vol. 2, Securities Industry Association, 1995.

Featuretools

“Featuretools | An open source framework for automated feature engineering.”

ORDINAL TRANSFORMATION

Transformations

“Econometrics Toolbox,” MATLAB documentation, 2021.

James D. Hamilton, “Time Series Analysis,” Princeton University Press, 1994.

Technical Analysis

“Technical Indicators,” MATLAB documentation, 2021.

“Chartered Market Technician Level I, II, and III 2017: Theory and Analysis 2nd Edition,” by Market Technician’s Association. 20-17.

John J. Murphy, “Technical Analysis of the Financial Markets, A Comprehensive Guide to Trading Methods and Applications,” New York Institute of Finance, 1999.

Martin J. Pring, “Technical Analysis Explained, The Successful Investor’s Guide to Spotting Investment Trends and Turning Points,” fifth edition, McGraw-Hill Education, 2014.

Fundamental Analysis

Benjamin Graham and David Dodd, “Security Analysis,” Sixth Edition, July 1st, 2017.

Benjamin Graham, “The Intelligent Investor,” sixth edition, McGraw Hill Education, July 1st, 2017.

Seth A. Klarman, Margin of Safety, Risk-Averse Value Investing Strategies for the Thoughtful Investor,” Harper Collins, 1991.

Peter Lynch and John Rothchild, “Learn to Earn,” Simon & Schuster; 2011.

Box-Cox

G. E. P. Box and D. R. Cox, “An analysis of transformations, Journal of the Royal Statistical Society,” Series B, 1964.

Yeo-Johnson

Sanford Weisberg, “Yeo-Johnson Power Transformations,” October 26th, 2001.

ReLU

Vinod Nair and Geoffrey E. Hinton, “Rectifid Linear Units Improve Restricted Boltzmann machines,” 2010.

CATEGORICAL ENCODING

Aliasing

M. O. Rabin, “Fingerprinting by random polynomials,” Center for Research in Computing Technology, Harvard University,1981

A. Z. Broder. “Some applications of Rabin’s fingerprinting method. In Sequences II: Methods in Communications,” Security, and Computer Science, Springer-Verlag, 1993.

LSH/LPH

Kang Zhao, Hongtao Lu; Jincheng Mei, “Locality Preserving Hashing,” 2014/

Yi-Hsuan Tsa and Ming-Hsuan Yang, “Locality preserving hashing,” IEEE International Conference on Image Processing (ICIP), 2014.

Hisashi Koga, Tetsuo Ishibashi and Toshinori Watanabe, “Fast agglomerative hierarchical clustering algorithm using Locality-Sensitive Hashing,” Knowledge and Information Systems, 12 (1), 2007.

Jonathan Oliver, Chun Cheng, Yanggui Chen, “TLSH – a locality sensitive hash,” 4th Cybercrime and Trustworthy Computing Workshop, 2013.

Other

Graham Cormode and S. Muthukrishnan, “An improved data stream summary: the count-min sketch and its applications,” December 16th, 2003.

Target Rate

Daniele Micci-Barreca, :A Preprocessing Scheme for High-Cardinality Categorical Attributes in Classification and Prediction Problems,” ACM SIGKDD Explorations, July 2001.

Odds Ratio

D. Taeger, Y. Sun, and K. Straif, “On the use, misuse and interpretation of odds ratios,” August 10th, 1998.

Effect Coding

”What is Effect Coding?,” UCLA Institute for Digital Research & Education Statistical Consulting, retrieved 2021.

TEMPORAL TRANSFORMATIONS

Window Dressing

D. Givoly and A. Ovadia, “Year-end tax-induced sales and stock market seasonality, Journal of Finance, March 1983.

M.R. Reinganum, “The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects,” Journal of Financial Economics, Vol. 12, 1983.

H. Chen and V. Singal, “A December effect with tax-gain selling?” Financial Analysts Journal, Vol. 59, No. 4, July-August 2003.

J. Bildersee and N. Kahn, “A preliminary test of the presence of window dressing,” Journal of Accounting, Auditing and Finance, Summer 1987.

A.R. Haugen and J. Lakonishok, “The Incredible January Effect,” Dow Jones lrwin, 1998.

F. Ackert and G. Athanassakos, “Institutional investors, analyst following, and the January anomaly,” Federal Reserve Bank of Atlanta, 1998.

G. Athanassakos, “The scrutinized-firm effect, portfolio rebalancing, stock return seasonality, and the pervasiveness of the January effect in Canada,” Multinational Finance Journal, Vol. 6, No. 1, March 2002.

B. Branch and K. Chang, “Low price stocks and the January effect,” Quarterly Journal of Business and Economics, Vol. 29, No. 3, Summer 1990.

M. Blume, and R. Stambaugh, “Biases in computed returns: An application to the size effect,” Journal of Financial Economics, Vol. 12, 1983.

H. Seyhun, “Can omitted risk factors explain the January effect: A stochastic dominance approach,” Journal of Financial and Quantitative Analysis, Vol. 28, 1993.

R.D. Arnott, C.M. Kelso, Jr., S. Kiscadden, and R. Macedo, “Forecasting factor returns: An intriguing possibility,” Journal of Portfolio Management, Vol. 16, Fall 1989.

D.L. Kao and R.D. Shumaker, “Equity style timing,” Financial Analyst Journal, 37-48, January-February 1999.

S. Benartzi and R.H. Thaler, “Myopic loss aversion and the equity premium puzzle,” Quarterly Journal of Economics, Vol. 110, No. 1, 1995.

D. Givoly and J. Lakonishok, “The information content of financial analysts’ forecasts of earnings,” Journal of Accounting and Economics, 1979.

E.H. Hawkins, S.C. Chamberlin, and W.E. Daniel, “Earnings expectations and security prices,” Financial Analysts Journal, Vol. 40, September-October 1984.

R.D. Arnott, “The use and misuse of consensus earnings,” Journal of Portfolio Management, Vol. 11, 18-28, Spring 1985.; T.J. Kerrigan, “When forecasting earnings, it pays to watch forecasts,” Journal of Portfolio Management, Vol. 10, 19-27, Summer 1984.; R.M. Richards and J.D. Martin, “Revisions in earnings forecasts: How much response?,” Journal of Portfolio Management, Vol. 5, Summer 1979.; [Markov] A. Markov, translated by Jacques J. Schorr-Kon, “Theory of Algorithms,”. Academy of Sciences of the USSR, 1954.; Stewart N. Ethier and Thomas G. Kurtz, “Markov Processes: Characterization and Convergence,” Willey, 1986.

.[Market Profile] J. Peter Steidlmayer, “Steidlmayer on Markets: A New Approach to Trading,” Wiley, 1989.; Chicago Board of Trade, “A Six-Part Study Guide to Market Profile,” Chicago Board of Trade 1991;. [Daycount] Marcia Stigum and Franklin Robinson, “Money Market and Bond Calculations,” Richard D. Irwin, 1996.; Jan Mayle, “Standard Securities Calculation Methods: Fixed Income Securities Formulas for Analytic Measures,” Vol. 2, Securities Industry Association, 1995.

Dynamic Time Warping

D. Berndt and James Clifford, “Using dynamic time warping to find patterns in time series,” 10, 1994.

Xiaoyue Wang, Abdullah Mueen, Hui Ding, Goce Trajcevski, Peter Scheuermann, and Eamonn Keogh., “Experimental comparison of representation methods and distance measures for time series data,” Data Mining Knowledge Discovery, 26, 2012.

Anthony Bagnall, Jason Lines, Aaron Bostrom, James Large, and Eamonn Keogh, “The great time series classification bake off: a review and experimental evaluation of recent algorithmic advances,” Data Mining Knowledge Discovery, 31, 2017.

C. A. Ratanamahatana and E. Keogh, “Making time-series classification more accurate using learned constraints,” SIAM International Conference on Data Mining, 2004.

Slutsky-Yule Effect

Eugen Slutsky, “The Summation of Random Causes as a Source of Cyclic Processes,” Problems of Economic Conditions 3, 1927 (Russian) and Econometrica 5, April 1937 (Engilsh).

CONDITIONAL FACTORS

“Business Cycle Dating,” National Bureau of Economic Research, Retrieved April, 2020.

Howard Marks, “Mastering the Market Cycle: Getting the Odds on Your Side,” Houghton Mifflin, Harcourt, 2018.

STATISTICS AND MACHINE LEARNING

THE BIAS/VARIANCE TRADEOFF

Bias/Variance

Stuart German, Elie Bienenstock, and rene Doursat, “Neural Networks and the Bias/Variance Dilemma,” Neural Computation, 4, Massachusetts Institute of Technology, 1992.

Perturbation

Vinodkumar Prabhakaran, Ben Hutchinson, and Margaret Mitchell. “Perturbation Sensitivity Analysis to Detect Unintended Model Biases,” 2019.

Roman Novak, Yasaman Bahri, Daniel A. Abolafia, Jeffrey Pennington, and Jascha Sohl-Dickstein, “Sensitivity and Generalization in Neural Networks: An Empirical Study,” June 18th, 2018.

LINEAR AND KERNEL TRANSFORMATIONS

Konstantinos Koutroumbas and Sergios Theodoridis, “Pattern Recognition,” 4th Edition, Academic Press, October 20th, 2008.

DIMENSION REDUCTION AND FEATURE IMPORTANCE

Supervised Discretization

James Dougherty, Ron Kohavi, and Mehran Sahami, “Supervised and Unsupervised Discretization of Continuous Features,” in Armand Prieditis and Stuart Russell, eds., Machine Learning: Proceedings of the Twelfth International Conference, Morgan Kaufmann, 1995.

Salvador García, Julián Luengo, José A. Sáez, and Victoria López, “A Survey of Discretization Techniques: Taxonomy and Empirical Analysis in Supervised Learning ,” in IEEE Transactions on Knowledge and Data Engineering 25(4), February 2013.

Huan Liu, Farhad Hussain, Chew Lim Tan, and Manoranjan Dash, “Discretization: An Enabling Technique,” in Data Mining and Knowledge Discovery 6(4), October 2002.

Adaptive Quantization

S.D. Teddy, E.M. Lai, and C. Quek, “Hierarchically clustered adaptive quantization CMAC and its learning convergence,” IEEE Transactions Neural Networks, 18(6), Nov 2007.

Maxime Bichon, Julien Le Tanou, Michael Ropert, Wassim Hamidouche, and Luce Morin, “Optimal Adaptive Quantization Based on Temporal Distortion Propagation Model for HEVC,” IEEE Transactions on Image Processing, 28(11), November 2019.

Polynomial Kernel PCA

Christopher Bishop, “Pattern Recognition and Machine Learning,” Springer, 2011.

Minimum Torsion

Attilio Meucci, Alberto Santangelo, and Romain Deguest, “Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors,” November 10th, 2015.

Attilio Meucci, Alberto Santangelo, and Romain Deguest, “Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors,” January 2013.

PCA/SVD

Gene H. Golub, and Charles F. Van Loan, “Matrix Computations,” 4th Edition, Johns Hopkins University Press, 2012.

Distributed PCA

Maria-Florina Balcan, Vandana Kanchanapally, Yingyu Liang, David Woodruff, “Improved Distributed Principal Component Analysis,” December 23rd, 2014.

Xi Chen, Jason D. Lee, He Li, Yun Yang, “Distributed Estimation for Principal Component Analysis: an Enlarged Eigenspace Analysis,” February 3rd, 2021.

Map-Reduce

Qiang Liu,Dezhi Kong, S. Joe Qin, Quan Xu, “Map-Reduce Decentralized PCA for Big Data Monitoring and Diagnosis of Faults in High-Speed Train Bearings,” IFAC Papers On Line, Volume 51, Issue 18, 2018.

“Using MapReduce to Compute Covariance and Related Quantities,” Matlab Documentation, 2021a, 2021.; [ICA] Adelbert W. Bronkhorst, “The Cocktail Party Phenomenon: A Review on Speech Intelligibility in Multiple-Talker Conditions,” Acta Acustica United, 2000.

ZCA

Anthonly J. Bell and Terrence J. Sejnowski, “Edges are the ‘Independent Components’ of Natural Scenes, 1996.

Sammon

Hujun Yin, “Learning Nonlinear Principal Manifolds by Self-Organising Maps,” in Principal Manifolds for Data Visualization and Dimension Reduction, Lecture Notes in Computer Science and Engineering, vol. 58, Springer, 2007.

Kernel PCA

B. Schölkopf, A. Smola, and K.-R. Müller, “Nonlinear Component Analysis as a Kernel Eigenvalue Problem,” Neural Computation 10(5), MIT Press, 1998.

Laplacian Eigenmaps

Mikhail Belkin, Partha Niyogi, “Laplacian Eigenmaps and Spectral Techniques for Embedding and Clustering,” Advances in Neural Information Processing Systems,” MIT Press, 2001.

Mikhail Belkin, “Problems of Learning on Manifolds,” PhD. Thesis, August 2003.

Yoshua Bengio, Jean-Franc¸ois Paiement, Pascal Vincent Olivier Delalleau, Nicolas Le Roux, and Marie Ouimet, “Out-of-Sample Extensions for LLE, Isomap, MDS, Eigenmaps, and Spectral Clustering,” Advances in Neural Information Processing Systems, 2004.

Isomaps

J. B. Tenenbaum, V. de Silva, and J. C. Langford, “A Global Geometric Framework for Nonlinear Dimensionality Reduction,” Science, 2000.

LLE

S. T. Roweis and L. K. Saul, “Nonlinear Dimensionality Reduction by Locally Linear Embedding,” Science, Volume 290, December 22nd, 2000.

D. Donoho, C. Grimes, “Hessian eigenmaps: Locally linear embedding techniques for high-dimensional data,” 2003.; Z. Zhang and J. Wang, “MLLE: Modified Locally Linear Embedding Using Multiple Weights,”.

Gagan Sidhu, “Locally Linear Embedding and fMRI feature selection in psychiatric classification,” IEEE Journal of Translational Engineering in Health and Medicine, 2019.

[LTSA]Zhenyue Zhang, Zha Hongyuan, “Principal Manifolds and Nonlinear Dimension Reduction via Local Tangent Space Alignment,” SIAM Journal on Scientific Computing, 26 (1), 2005.

Maximum Variance Unfolding

Yoshua Bengio, Martin Monperrus, Hugo Larochelle, “Nonlocal Estimation of Manifold Structure,”. Neural Computation. 18, October 2006.

François Chollet and J. J. Allaire, “Deep Learning with R,” Manning Publications, January 2018.; [GPLVM] N. Lawrence, “Probabilistic Non-linear Principal Component Analysis with Gaussian Process Latent Variable Models,” Journal of Machine Learning Research, Volume 6, November 2005.

M. Ding and G. Fan, “Multilayer Joint Gait-Pose Manifolds for Human Gait Motion Modeling,” IEEE Transactions on Cybernetics, Volume 45, Issue: 11, November 2015.

t-SNE

L.J.P. van der Maaten, G.E. Hinton, “Visualizing High-Dimensional Data Using t-SNE,” Journal of Machine Learning Research, November 2008.

J. Gower, “A general coefficient of similarity and some of its properties,” Biometrics, 1971.

Raini Hassan1, Wan Haslina Hassan, Imad Fakhri Taha Al-Shaikhli, Salmiah Ahmad, and Mojtaba Alizadeh, “Feature Ranking Through Weights Manipulations for Artificial Neural Networks-Based Classifiers,” 2014 Fifth International Conference on Intelligent Systems, Modelling and Simulation, 2014.

REDUCTION METRICS

A. Benavoli, G. Corani, J. Demsar, and M. Zaffalon, M., “Time for a change: A tutorial for comparing multiple classifiers through Bayesian analysis,” 2016.; T. Hothorn, K. Hornik, and A. Zeileis, “Unbiased recursive partitioning: A conditional inference framework. Journal of Computational and Graphical Statistics,” 2006.; Richard McElreath, “Statistical Rethinking: A Bayesian Course with Examples in R and Stan,” Second Edition, CRC Press. 2020.; Brady T. West, Kathleen B. Welch, and Andrzej T Galecki, “Linear Mixed Models: A Practical Guide using Statistical Software,” Second Edition, Chapman and Hall/CRC, 2015.

WRAPPERS AND EMBEDDED SELECTION

IMPUTATION

Imputing

P. Allison, “Missing Data,” Sage Publications, 2001.;R. Little and D. Rubin, “Statistical Analysis with Missing Data,” John Wiley and Sons, 2014.

Imputation with Trees

Stekhoven, Daniel J and Peter Bühlmann, “MissForest—Non-Parametric Missing Value Imputation for Mixed-Type Data,” Bioinformatics, 2011.

Shah, Anoop D, Jonathan W Bartlett, James Carpenter, Owen Nicholas, and Harry Hemingway, “Comparison of Random Forest and Parametric Imputation Models for Imputing Missing Data Using Mice: A Caliber Study.” American Journal of Epidemiology, 2014.

Schafer, Joseph L., “Multiple Imputation: A Primer.” Statistical Methods in Medical Research, 1999.

Enders, Craig K., “A Primer on Maximum Likelihood Algorithms Available for Use with Missing Data.” Structural Equation Modeling, 2001.

Enders, Craig K., “Applied Missing Data Analysis” Guilford Press, 2010.

Garcı́a-Laencina, Pedro J, José-Luis Sancho-Gómez, Anı́bal R Figueiras-Vidal, and Michel Verleysen, “K Nearest Neighbours with Mutual Information for Simultaneous Classification and Missing Data Imputation.” Neurocomputing, 2009.

SYNTHETIC DATA GENERATION

Boteanu, Bogdan, et al. “Generation of Realistic Synthetic Financial Time-series.” 2022. ACM Trans. Multimedia Comput. Commun. Appl.

Chen, Peng, et al. “An Effective GAN-Based Multi-classification Approach for Financial Time Series.” 2022.

Daweng, Andreas, et al. “From Private to Public: Benchmarking GANs in the Context of Private Time Series Classification.” 2023.

Dogariu, Mihai, et al. “Generation of Realistic Synthetic Financial Time-series.” 2022. ACM Trans. Multimedia Comput. Commun. Appl.

Fu, Weilong, et al. “Simulating financial time series using attention.” 2022.

Leznik, Mark, et al. “[SoK] The Great GAN Bake Off, An Extensive Systematic Evaluation of Generative Adversarial Network Architectures for Time Series Synthesis.” 2022. Journal of Systems Research

Li, Xiaomin, et al. “TTS-GAN: A Transformer-based Time-Series Generative Adversarial Network.”

Liu, Lei, et al. “An Effective GAN-Based Multi-classification Approach for Financial Time Series.” 2022.

Mercier, Dominique, et al. “From Private to Public: Benchmarking GANs in the Context of Private Time Series Classification.” 2023.

Naveed, Muhammad Haris, et al. “Assessing Deep Generative Models on Time Series Network Data.” 2022.

Pan, Xiaofei. “Time series data anomaly detection based on LSTM-GAN.” 2022.

Pardo, Fernando de Meer, et al. “Tackling the Exponential Scaling of Signature-Based Generative Adversarial Networks for High-Dimensional Financial Time-Series Generation.” 2022. JFDS

Rotem, Yarden, et al. “Transfer learning for time series classification using synthetic data generation.” 2022.

Srinivasan, Padmanaba, and

William J. Knottenbelt. “Time-series Transformer Generative Adversarial Networks.” 2022.

Urbinate, Eder F., et al. “Deep learning stacking for financial time series forecasting: an analysis with synthetic and real-world time series.” 2022.

Jinsung Yoon, Daniel Jarrett, Mihaela van der Schaar, “Time-series Generative Adversarial Networks,” 33rd Conference on Neural Information Processing Systems (NeurIPS 2019), Vancouver, Canada.

8 CHAPTER 8: FINANCIAL AND ECONOMIC FEATURES

FEATURE COMPLEXITY AND HIERARCHY

DECRIPTIVE FEATURES

ECONOMIC FEATURES

CROSS-ASSET FEATURES

STYLE FEATURES

Fama and French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, for a complete description of the factor returns.

Value Factor

Greg Bond and Ben Zhao, “Questioning Quality, Why Investing in Well-Run Companies Doesn’t Always Make For Exceptional Returns,” Man Numeric, November 2020.

Max Kozlov and Antti Petajisto,“Global Return Premiums on Earnings Quality, Value, and Size” January 7, 2013.

Jean-Philippe Bouchaud, Stefano Ciliberti, Guillaume Simon, and David Thesmar, “The Excess Returns of ‘Quality’ Stocks: A Behavioral Anomaly,” HEC Paris Research Paper No. FIN-2016-1134, November 27th, 2017.

Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen: ‘Quality Minus Junk’, 2013.

Jason Hsu, PhD, Vitali Kalesnik, PhD, and Engin Kos, “What Is” Quality?” May 19th, 2017.

Robert Novy-Marx, “Quality Investing,” May 2014.

Timothy Strauts, Michael Manetta, and Patrica Wang, “Morningstar Factor Profile methodology, Version 1.0,” November 20th, 2019.

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen, “Quantitative Equity Portfolio Management, Modern Techniques and Applications,” Chapman & Hall/CRC, 2007.

Analyst Bias

Saud Al-Thaqeb, “Survey on forecast bias (analysts and earnings),” Asia-Pacific Journal of Accounting & Economics. 25. 2017.

B.M Barber, R. Lehavy, M. McNichols, B. Trueman, “Buys, holds, and sells: the distribution of investment banks’ stock ratings and the implications for the profitability of analysts’ recommendations,” Journal of Accounting and Economics 41, 2006.

A. Brav, R. Lehavy, “An empirical analysis of analysts’ target prices: short-term informativeness and long term dynamics,” The Journal of Finance 43, 2003.

E. M Cervellati, A.C.F. Della Bina, “Analysts recommendations and conflict of interest,” Working paper, 2005.

L.K.C. Chan, J. Karceski, J. Lakonishok, “Analysts’ conflict of interest and biased earning forecasts,” NBER Working Papers n. 9544, h, 2003.

A. Ljungqvist F. Marston, L.T. Starks, K. D. Wei, H. Yan, “Conflicts of interest in sell-side research and the moderating role of institutional investors,” Journal of Financial Economics 85, 2007.

A.R. Jackson, “Trade generation, reputation and sell-side analysts,” The Journal of Finance 60,2005.

N. Jegadeesh, W. Kim, “Value of analyst recommendations: international evidence,” Journal of Financial Markets 2006.

P. Sinha, L. Brown, S. Das, “A re-examination of financial analysts’ differential earning forecast accuracy,” Contemporary Accounting Research 14, 1997.

S. E. Stickel, “Reputation and performance among security analysts,” The Journal of Finance 47, 1992.

K.L. Womack, “Do brokerage analysts’ recommendations have investment value?” The Journal of Finance 51, 1996.

Phillip Ballard Kennedy, “Investment Banking Conflicts: Research Analysits and IPO Allocations”, North Carolina Banking Institute, Volume 7, Issue 1, 2003.

Benjamin J. Catalano, “The Promise of Unfavorable Research: Ramifications of Regulations Separating Research and Investment Banking for IPO Issuers and Investors,” Business Lawyer, 72, 2016.

Erik Sirri, “Investment Banks, Scope, and Unavoidable Conflicts of Interest, Federal Reserve Bank of Atlanta, Fourth Quarter 2004”.

Earnings Manipulation

D. Burgstahler and I. Dichev, “Earnings management to avoid earnings decreases and losses,” Journal of Accounting and Economics, Vol. 24, No. 1, 99, December 1997.

F. Degeorge, J. Patel, and R. Zeckhauser, “Earnings management to exceed thresholds,” Journal of Business, Vol. 72, No. 1, 1, January 1999.

C. Hayn, “The information content of losses,” Journal of Accounting and Economics, Vol. 20, No. 2, 125, September 1995.

P.M. Healy and R.S. Kaplan, “The effect of bonus schemes on accounting decisions f comment,” Journal of Accounting and Economics, Vol. 7, No. 1-3, 85, April 1985.

D.C. Burgstahler and M.J. Eames, “Earnings management to avoid losses and earnings decreases: Are analysts fooled?,” Contemporary Accounting Research, Vol. 20, No. 2, 253, Summer 2003.

A. Levitt, Jr., “The numbers game,” The CPA Journal, Vol. 68, No. 12, 14, December 1998.

Hal Varian, Hal (1972). “Benford’s Law (Letters to the Editor)”. The American Statistician. 26 (3): 65. doi:10.1080/00031305.1972.10478934, 1972.

Frank Benford, “The law of anomalous numbers,” Proceedings of the American Philosophical Society 78 (4): 551–572. JSTOR 984802, March 1938.

George K. Zipf, “The Psychobiology of Language,” Houghton-Mifflin, 1935.; George K. Zipf, “Human Behavior and the Principle of Least Effort,” Addison-Wesley, 1949.

F. Auerbach, “Das Gesetz der Bevölkerungskonzentration,” Petermann’s Geographische Mitteilungen 59, 74–76, 1913.

Big Bath Accounting

Petra Nieken and Dirk Sliwka, “Management changes, reputation, and ‘big bath’ earnings management,” Journal of Economics & Management Strategy. 24 (3): 501–522. doi:10.1111/jems.12101, September 2015.

Utz Schäffer, Utz, Jan-Philipp Lüdtke, Diedrich Bremer, Matthias Häußler, Matthias, “The effect of accounting standards on Big Bath behavior”. Zeitschrift für Betriebswirtschaft. 82(1): 47–73. doi:10.1007/s11573-011-0531-2, 2012.

Paul Mozur, “Samsung’s Galaxy Note 7 Debacle Wipes Out Its Mobile Profit,” The New York Times, October 27, 2016.

Brian Blackstone, “Some New Bank CEOs Take an ‘Earnings Bath’ When They Start,” Wall Street Journal, March 3rd, 2014.

D. Burgstahlerand I. Dichev, “Earnings management to avoid earnings decreases and losses,” Journal of Accounting and Economics, Vol. 24, No. l, December 1997.

D.C. Burgstahler and M.J. Eames, “Earnings management to avoid losses and earnings decreases: Are analysts fooled?,” Contemporary Accounting Research, Vol. 20, No. 2, Summer 2003.

P.M. Dechow, R.G. Sloan, A.P. Sweeney, “Detecting earnings management,” The Accounting Review, Vol. 70, No. 2, April 1995.

R. Kasznik and B. Lev, “To warn or not to warn: Management disclosures in the face of an earnings surprise,” The Accounting Review, Vol. 70, No. 1, January 1995.

Accruals Anomaly

Richard G. Sloan, “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?” The Accounting Review, Vol. 71, No. 3, Jul., 1996.

Baruch Itamar Lev and Nissim, Doron, “The Persistence of the Accruals Anomaly,” April 2004.; Patricia Dechow, Natalya V. Khimich, Richard G. Sloan, “The Accrual Anomaly, March 22, 2011.

P.M. Dechow, R.G. Sloan, A.P. Sweeney, “Detecting earnings management,” The Accounting Review, Vol. 70, No.2, 193-215, April 1995.

J.J. Jones, “Earnings management during import relief investigations,” Journal of Accounting Research, Vol. 29, No. 2, 193-228, Autumn 1991.

D.C. Jeter and L. Shivakumar, “Cross-sectional estimation of abnormal accruals using quarterly and annual data: Effectiveness in detecting event-specific earnings management,” Accounting and Business Research, Vol. 29, No. 4, 299, Autumn 1999.

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen, “Quantitative Equity Portfolio Management, Modern Techniques and Applications,” Chapman & Hall/CRC, 2007.

Management Messaging

Jesse M. Fried, “Informed Trading and False Signaling with Open Market Repurchases,” California Law Review, Vol. 93, October 2005.

Victoria Lemieux, Ed., “Financial Analysis and Risk Management Data Governance, Analytics and Life Cycle Management,” Springer-Verlag Berlin Heidelberg 2013.

Size Factor

Tyler Shumway, and Vincent A. Warther.m “The Delisting Bias in CRSP’s Nasdaq Data and Its Implications for the Size Effect,” Journal of Finance, vol. 54, no. 6, December 1999.

ASSET AND MARKET FEATURES

Apley, D.. “Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models.” arXiv: Methodology (2016): n. pag.

Turan G. Bali, Amit Goyal, Dashan Huang, Fuwei Jang, and Quan Wen, “Different Strokes: Return PRedictaility Across Stocks and Bonds with Machine Learning and Big Data,” February 2021.

Oliver Binz, Katherine Schipper,, and Kevin Standridge, “What Can Analysts Learn from Artificial Intelligence about Fundamental Analysis?,” November 2020.

Cao, Kai and You, Haifeng, Fundamental Analysis Via Machine Learning (November 27, 2020). HKUST Business School Research Paper No. 2020-009 (also appears in Emerging Finance and Financial Practices eJournal), Available at SSRN: https://ssrn.com/abstract=3706532 or http://dx.doi.org/10.2139/ssrn.3706532

Stefano Cassella, Benjamin Golez, Huseyin Gulen, Peter Kelly, “Horizon Bias and the Term Structure of Equity Returns,” May 2019. https://krannert.purdue.edu/academics/Finance/Finance_Files/kelly.pdf

Dichev, Ilia D., 50 years of Capital Markets Research in Accounting: Achievements So Far and Opportunities Ahead (June 22, 2020). Available at SSRN: https://ssrn.com/abstract=3633489 or http://dx.doi.org/10.2139/ssrn.3633489

Ding, Kexing and Lev, Baruch Itamar and Peng, Xuan and Sun, Ting and Vasarhelyi, Miklos A., Machine Learning Improves Accounting Estimates: Evidence from Insurance Payments (May 1, 2020). Available at SSRN: https://ssrn.com/abstract=3253220 or http://dx.doi.org/10.2139/ssrn.3253220

Easton, Peter D. and Kapons, Martin M. and Kelly, Peter and Neuhierl, Andreas, Attrition bias and inferences regarding earnings properties (August 18, 2020). Available at SSRN: https://ssrn.com/abstract=3040354 or http://dx.doi.org/10.2139/ssrn.3040354

PD Easton, P Kelly, A Neuhierl, “Beating a random walk,” Working Paper, 2017.

Rapach, David & Strauss, Jack & Tu, Jun & Zhou, Guofu. (2019). Industry Return Predictability: A Machine Learning Approach. The Journal of Financial Data Science. 1. 9-28. 10.3905/jfds.2019.1.3.009.

Shihao Gu, Bryan Kelly, Dacheng Xiu, Empirical Asset Pricing via Machine Learning, The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2223–2273, https://doi.org/10.1093/rfs/hhaa009

Earnings Surprise Coefficient

W. R. Scott, “Financial accounting theory, 7th ed.,” Pearson, 2014.

Edith S. Hotchkiss and Deon Strickland, “Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings Announcements,” Journal of Finance, 58(4), 2003.

Dennis J. Chambers, Robert N. Freeman, and Adam S. Koch, “The Effect of Risk on Price Responses to Unexpected Earnings,” Journal of Accounting, Auditing & Finance, Vol. 20 Issue 4, 2005.

FEATURE CONDITIONING AND TIMING

Rob Arnott, Noah Beck, Vitali Kalesnik , Timing “Smart Beta” Strategies? Of Course! Buy Low, Sell High! September 2016.

Cliff Asness, Swati Chandra, Antti Ilmanen, Ronen Israel, Contrarian Factor Timing is Deceptively Difficult, Journal of Portfolio Management, March 7, 2017.

John H. Cochrane, “Asset Pricing,” Revised Ed., Princeton University Press, January 23, 2005.

Eugene F. Fama and James D. MacBeth, “Risk Return, and Equilibrium: Empirical Tests,”The Journal of Political Economy, Vol. 81, No.3, May-June, 1973.

Eugene .F. Fama and Kenneth R. French, “Permanent and temporary components of stock prices,” Journal of Political Economy. 96 (2), 1988

R. O. Michaud, “Efficient Asset Management,” Harvard Business School Press, 1998.

Tobias J. Moskowitz, Yao Hua Oo1, Lasse Heje Pedersen, Time Series Momentum, Journal of FInancial Economics, v. 104, Issue 2, May 2012, pages 228-250.

Mitchell Petersen, “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches”. Review of Financial Studies. 22, 2009.

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen, “Quantitative Equity Portfolio Management, Modern Techniques and Applications,” Chapman & Hall/CRC, 2007.

BUSINESS CYCLE

Brandyn Bok, Daniele Caratelli, Domenico Giannone, Argia Sbordone, and Andrea Tambalotti, “Macroeconomic Nowcasting and Forecasting with Big Data,” FRBNY Staff Reports, Staff Report No. 830 November 2017.

“Modifications to GDPNow Model Effective with the April 30, 2020, Forecast,” Federal Reserve Bank of Atlanta.

Patrick Higgins, “GDPNow: A Model for GDP ‘Nowcasting’,” Federal Reserve Bank of Atlanta, Working Paper 2014-7, July 2014.

Adam Richardson, Thomas van Florenstein Mulder, Tugrul Vehbi, “Nowcasting New Zealand GDP using machine learning algorithms,” Reserve Bank of New Zealand, July 2018.

REGIMES

PORTFOLIO SORTS

Ken French, Description of Fama/French Factor, Dartmoth, referenced 2021. https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html

FACTOR EFFICACY

Cliff S. Asness, “The siren song of factor timing aka “smart beta aka style timing.”,” Journal of Portfolio Management, 2016. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763956

Cliff S. Asness, S. Chandra, A. Ilmanen, and R. Israel, “Contrarian timing is deceptively difficult, Journal of Portfolio,” Management, 2017. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2928945

Todd E. Clark Michael W. McCracken, “Advances in Forecast Evaluation,” Federal Reserve Bank of Cleveland, June 2012. https://s3.amazonaws.com/real.stlouisfed.org/wp/2011/2011-025.pdf

Hubert Dichtl, Wolfgang Drobetz, and Viktoria-Sophie Wendt, “How to build a factor portfolio: Does the allocation strategy matter?,” European Financial Management, John Wiley & Sons Ltd., 2020. https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12264

P. R. Hansen, A test for superior predictive ability. Journal of Business and Economic Statistics, 2005. https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.485.5482&rep=rep1&type=pdf

J. Hsu, V. Kalesnik, and V. Viswanathan, “A framework for assessing factors and implementing smart beta strategies.,” Journal of Index Investing, 2015. https://www.valuewalk.com/wp-content/uploads/2015/07/JII_Summer_2015_RA-1.pdf

K. Pukthuanthong, R. Roll, and A Subrahmanyam, “A protocol for factor identification,” Review of Financial Studies, 2019. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3005477

INTERACTIONS AND CONDITIONING

Dorsey D. Farr, “Dynamic Factor Approaches to Equity Portfolio Management,” edited by Frank J. Fabozzi and Harry. M. Markowitz, John Wiley & Sons, 2011.

Jerome H. Friedman and Bogan E. Popescu, “Predictive Learning via Rule Ensambles,” The Annals of Applied Statistics 2008, Vol. 2, No. 3

Jeremy Grantham, “Everything I Know About the Market in 15 Minutes,” GMO, Quarterly Letter, Special Topic, July 2006, 1991.

Giles Hookar, “discovering Additive Structure in Black Box Functions, 2004.

Brendon M. Greenwell, Bradley C. Boehmke, and Andrew J. McCarthy, “A Simple and Effective Model-Based Variable Importance Measure,” 2018.

Yin Luo, Javed Jussa, Sheng Wang, Multi-Dimensional Alpha,” Wolfe Research, February 8th, 2017.

MECHANISTIC TRANSFORMATIONS

Shaun A. Bond, Soosung Hwang, and Gianluca Marcato, “Evaluating Unsmoothing Procedures for Appraisal Data,” March 2005. https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.488.3204&rep=rep1&type=pdf

Shaun A. Bond, Soosung Hwang, and Gianluca Marcato, “An Analysis of Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns,” https://core.ac.uk/download/pdf/107953.pdf

Gregory W. Brown, Eric Ghysels, and Oleg Gredil, “Nowcasting Net Asset Values: The Cse of Private Equity,” December 27th, 2019.

Galen Burghardt, The Treasury Bond Basis, McGraw-Hill,.

Charles M. Cottle, Options Trading: The Hidden Reality, Risk Doctor, 1996.

John B. Corgel and Jan A. deRoos, “Recovery of Real Estate Returns for Portfolio Allocation,” https://ecommons.cornell.edu/bitstream/handle/1813/72419/deRoos2_Recovery.pdf?sequence=1

David Michael Geltne, “Smoothing in Appraisal-Based Returns,” Journal of Real Estate Finance and Economics, Kluwer Academic Publishers, 4:327-345 (1991) . https://link.springer.com/content/pdf/10.1007/BF00161933.pdf

Andreas Marcus Gohs, Correction Procedures for Appraisal-Based Real Estate, 24th Annual Conference of the European Real Estate Society, June 28th-July 1st, 2017. https://eres.architexturez.net/system/files/274_0.pdf

Arthur Korteweg and Stefan Nagel, “Risk-Adjusting the Returns to Venture Capital,” National Bureau of Economic Research, 2013, http://www.nber.org/papers/w19347

Arthur Korteweg, “Risk Adjustment in Private Equity Returns,” Annual Review of Financial Economics, 2019. 11:131–52, https://doi.org/10.1146/annurev-financial-110118-123057

Ludovic Phalippou, “Why is the evidence on private equity performance so confusing?” University of Oxford, Said Business School, September, 2011.

Ananth Madhavan and Aleksander Sobczyk, “Fine-Tuning Private Equity Replication Using Textual Analysis,” The Journal of Financial Data Science Winter 2019, 1 (1) 111-121; DOI: https://doi.org/10.3905/jfds.2019.1.1.111

Munier Salem, Joshua Younger, Zhan Zhao, Jay Barry, Jason Hunter, Devdeep Sarkar, Phoebe A. White, Alix Tepper, Luke Y Chang, “Do androids dream of electric bonds?, Machine learning in interest rate markets,” J.P. Morgan, US Fixed Income Strategy, November 21st, 2017.

Sidney C. Porter and Sheridan Porter, “Introducing Objective Benchmark-Based Attribution in Private Equity,” The Journal of Financial Data Science Winter 2019, 1 (1) 130-140; DOI: https://doi.org/10.3905/jfds.2019.1.1.130

CASE STUDY: ESG FACTORS

CASE STUDY: GLOBAL MACRO TACTICAL ASSET ALLOCATION (GTAA)

CASE STUDY: PAR YIELD CURVE

CHAPTER 9 CREATING FORECASTS

Michael Aked, “The Dirty Little Secret of Passive Investing,” Research Affiliates, January 2016.

Michael Aked, Michael, and Max Moroz “The Market Impact of Passive Trading.” Research Affiliates, August 2015.

Reiner Braun, Tim Jenkinson, and Ingo Stoff, “How Persistent is Private Equity Performance? Evidence from Deal-Level Data”, December 21, 2015. https://ssrn.com/abstract=2314400

Mark M. Carhart, “On Persistence in Mutual Fund Performance,” Published by Wiley for the American Finance Association, The Journal of Finance, Vol. 52, No. 1, pp. 57-82, March, 1997. https://doi.org/10.2307/2329556.

Bill Casselman, “The Legend of Abraham Wald,” American Mathematical Socisety,

Kirsten Grind, Tom McGinty and Sarah Krouse, “The Morningstar Mirage,” The Wall Street Journal, Oct. 25, 2017. https://www.wsj.com/articles/the-morningstar-mirage-1508946687

CAPITAL MARKETS ASSUMPTIONS

Diebold-Mariano Test,”Charles Zaiontz, Diebold-Mariano Test | Real Statistics Using ExcelReal Statistics Using Excel, real-statistics.com.

Campbell R. Harvey, John C. Liechty, and Merrill W. Liechty, “Parameter Uncertainty in Asset Allocation” in Bernd

Morgan D. Jones, “The Thinker’s Toolkit: 14 Powerful Techniques for Problem Solving,” Currency, 1998.

Francois-Serge Lhabitant and Denis Mirlesse, “Alpha Capture Systems: Past, Present, and Future Directions,” June 25, 2021. http://dx.doi.org/10.2139/ssrn.3873884.

Philip E. Tetlock, Dan Gardner, “Superforecasting: The Art and Science of Prediction,” Crown Publishers, 2015.Scherer and Kenneth Winston, “The Oxford Handbook of Quantitative Asset Management,” Oxford University Press, 2012.

STRATEGIC FORECASTING

Paul Schmelzing, “Eight Centuries of Global Real Interest Rates, R-G, and the ‘Suprasecular’ Decline, 1311–2018,” Staff Working Paper No. 845, Bank of England, January 3rd, 2020.

TACTICAL FORECASTING

“What Is a Business Cycle?” NBER Working Paper # 3863, October 1991.

Robert Alan Feldman, “Cobwebs and CRICs, Japan Economics,” Morgan Stanley Dean Witter Economic Research, April 4th, 2001. https://www.yumpu.com/en/document/read/4429905/cobwebs-and-crics-japan-economics/1

Milton Friedman and Anna Schwartz, “Monetary History”

Alan Greenspan, “The Map and the Territory: Risk, Human Nature and the Future of Forecasting.”

Robert T. McGee, “Applied Financial Macroeconomics and Investment Strategy, A Practitioner’s Guide to Tactical Asset Allocation,” Palgrave Macmillan, 2015.

RISK PREMIA

Sebastien Betermier, Laurent E Calvet, and Evan Jo, “A Supply and Demand Approach to Equity Pricing.” 2019.

Farshid M. Asl and Erkko Etula, “Advancing Strategic Asset Allocation in a Multi-Factor World”, The Journal of Portfolio Management, 39(1), 2012. https://jpm.pm-research.com/content/39/1/59

M.W. Brandt and K.Q. Wang, “Time-varying risk aversion and unexpected inflation,” Journal of Monetary Economics, v50, 2003.

E. Dimson, P Marsh and M Staunton, “Triumph of the Optimists: 101 Years of Global Investment,” Princeton University Press, 2002.

“Returns, Global Investment Returns Yearbook,” ABN AMRO/London Business School, 2009.

L.G. Epstein and S.E. Zin, “Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis,” Journal of Political Economy, v99, no. 2, April 1991.

Antti Ilmanen, “Expected Returns: An Investor’s Guide to Harvesting Market Rewards. Hoboken,” John Wiley & Sonsk. 2011.

Elroy Dimson, Paul Marsh , Mike Staunton, “Triumph of the Optimists: 101 Years of Global Investment Returns,” Princeton University Press, 2002.

Pablo Fernández, Javier Aguirreamalloa, and Luis Corres. 2011. “Market Risk Premium Used in 56 Countries in 2011: A Survey with 6,014 Answers,” IESE Business School, May 2011. https://www.iese.edu/research/pdfs/DI-0920-E.pdf

K. L. Fisher and M. Statman, “Investor Sentiment and Stock Returns,” Financial Analysts Journal, v56, 2000.

Franco Modigliani and Richard Cohn, “Inflation, Rational Valuation, and the Market,” Financial Analysts Journal, v37(3), 1979.

A. Goyal and I. Welch, “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction,” Review of Financial Studies, v21, 2007.

E.R. McGrattan and E.C. Prescott, “Taxes, Regulations, and Asset Prices,” Federal Reserve Bank of Minneapolis, 2001.

Aviv Nevo, and Michael Whinston, “Taking the Dogma out of Econometrics: Structural Modeling and Credible Inference.” Journal of Economic Perspectives, vol. 24, no. 2, Spring 2010.

Challenging Risk Premia

Andrew Y. Chen and Tom Zimmermann, “Publication Bias and the Cross-Section of Stock Returns,” 2020.

Jeremy J. Siegel, “Stocks for the Long Run : The Definitive Guide to Financial Market Returns and Long-Term Investment Strategies, 5th ed.,” McGraw-Hill, 2014.

Edward F. McQuarrie, “Stocks for the Long Run? Sometimes Yes. Sometimes No,” . https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3805927

Interest Rates

Aswath Damodaran, “What is the riskfree rate? A Search for the Basic Building Block,” New York University , December 2008.

Robert B Litterman and Josè Scheinkman, “Common Factors Affecting Bond Returns,”The Journal of Fixed Income Jun 1991, 1 (1) 54-61; DOI: 10.3905/jfi.1991.692347 https://jfi.pm-research.com/content/1/1/54

Economic Risk Premia

Pierluigi Balduzzi and Fabio Moneta, “Economic Risk Premia in the Fixed Income Markets: The Intra-day Evidence,” 2017.

William J. Bernstein and Robert D. Arnott, “Earnings growth: the two percent dilution,” Financial Analyst Journal, September/October 2003.

Bradford Cornell, “Economic Growth and Equity Investing,” Financial Analyst Journal, 2010.

Jeffrey J. Diermeier, Roger G. Ibbotson, and Laurence B. Siegel, “The Supply of Capital Market Returns,” Financial Analyst Journal, March/April 1984.

Wayne E. Ferson and Campbell R. Harvey, “The Variation of Economic Risk Premiums,” Journal of Political Economy, 1991.

Peter Hordahl, Eli M. Remolona, and Giorgio Valente, “Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements.

MSCI Barra, “Is There a Link Between GDP Growth and Equity Returns,” May 2010.

MSCI Barra, “What Drives Long Term Equity Returns?,” January 2010.

Jeremy J. Siegel, “Stocks for the Long Run,” 2nd Ed., 1998.

Equity Risk Premium

G. Bekaert, C.R. Harvey, and C. Lundblad, “Liquidity and Expected Returns: Lessons from Emerging Markets,” The Review of Financial Studies, 2006.

J.Y. Campbell and T. Vuolteenaho, “Inflation Illusion and Stock Prices,” American Economic Review, v94, 2004.

J. Cochrane and C. Culp, “Equilibrium Asset Pricing and Discount Factors: Overview and Implications for Derivatives Valuation and Risk Management.” In Modern Risk Management: A History, Risk Books., 2003.

Elroy Dimson, Paul Marsh, and Staunton, Mike, “The Worldwide Equity Premium: A Smaller Puzzle.” in R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, SSRN: https://ssrn.com/abstract=891620 or http://dx.doi.org/10.2139/ssrn.891620.

Elroy Dimson, Paul Marsh, and Mike Staunton, “Equity Premia Around the World,” October 7, 2011. http://dx.doi.org/10.2139/ssrn.1940165

Aswath Damodaran, Equity Risk Premiums (ERP): Determinants, Estimation, and Implications — The 2021 ERition,” 2021.

Gustavo Grullon and Roni Michaely, “Dividends, Share Repurchases, and the Substitution Hypothesis, Journal of Finance vol. 57, no. 4, August 2002. http://citeseerx.ist.psu.edu/viewdoc/download;jsessionid=AF2E400600F2FE984CB909455DA81894?doi=10.1.1.538.6732&rep=rep1&type=pdf

Ellen R. McGrattan and Edward C. Prescott, “Taxes, Regulations, and Asset Prices,” NBER , December 2001.

MSCI Barra, “Is There a Link between GDP Growth and Equity Returns?” MSCI Barra Research Bulletin, May 2010.

N. Mougeot and R. Gibson, “The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market. Journal of Banking and Finance, v28: 157–78. 8

M. Lettau, S.C. Ludvigson and J.A. Wachter, The Declining Equity Risk Premium: What role does macroeconomic risk play?” Review of Financial Studies, v21, 2008.

Lubos Pástor and Robert F. Stambaugh, “Are Stocks Really Less Volatile in the Long Run?, March 27th, 2012. https://doi.org/10.1111/j.1540-6261.2012.01722.x.

P. Santa-Clara and S. Yan, “Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options,” Review of Economics and Statistics. 2–6..

Jeremy J. Siegel, “2002. Stocks for the Long Run: The Definitive Guide to Financial Market Returns and Long-Term Investment Strategies. 3rd ed. New York: McGraw-Hill.,2002.

Ivo Welch and Amit Goyal, “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction., Review of Financial Studies, vol. 21, no. 4, July 2008. https://www.nber.org/papers/w10483

Bond Risk Premium

Pierluigi Balduzzi and Fabio Moneta, “Economic Risk Premia in the FIxed Income Markets: The Intra-day Evidence,” 2017.

Demir Bekti, Britta Hachenberg and Dirk Schiereck, “Factor.based investing in government bond markets: a survey of the current state of research,” Journal of Asset Management, 2020. https://doi.org/10.1057/s41260-020-00156-3

Demir Bektic, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck, and Timo Spielmann, “Extending Fama–French Factors to Corporate Bond Markets<” Journal of Portfolio Management, 2019.

Francis X. Diebold and Canlin Li. “Forecasting the Term Structure of Government Bond Yields.” Journal of Econometrics, vol. 130, no. 2, February 2006. https://www.sas.upenn.edu/~fdiebold/papers/paper49/Diebold-Li.pdf

Peter Hordahl, Eli M. Remolona, and Giorgio Valente, “Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements.

Antti Ilmanen, “Overview of Foward Rate Analysis, Understanding the Yield Curve: Part 1,” Salomon Brothers, 1995.

Antti Ilmanen, “Market’s Rate Expectations and Forward Rates, Understanding the Yield Curve: Part 2,” Salomon Brothers, 1995.

Antti Ilmanen, “Does Duration Extension Enhance Long-Term Expected Returns, Understanding the Yield Curve: Part 3,” Salomon Brothers, 1995.

Antti Ilmanen, “Forecasting U.S. Bond Returns, Understanding the Yield Curve: Part 4,” Salomon Brothers, 1995.

Antti Ilmanen, “Convexity Bias and the Yield Curve, Understanding the Yield Curve: Part 5,” Salomon Brothers, 1995.

Antti Ilmanen, “A Framework for Analyzing Yield Curve Trades, Understanding the Yield Curve: Part 6,” Salomon Brothers, 1995.

Antti Ilmanen, “The Dynamic Shape of The Yield Curve, Understanding the Yield Curve: Part 7,” Salomon Brothers, 1995.

Martin L. Leibowitz, Sidney Homer, and Stanley Kogelman, “Inside the Yield Curve, 3rd edition,” Wiley, 2012

Robert Litterman, and José A. Scheinkman, “Common Factors Affecting Bond Returns.” Journal of Fixed Income, vol. 1, no. 1 (June): 54–61, 1991.

“2020 Annual Global Corporate Default And Rating Transition Study April 7, 2021,” S&P Global Ratings, https://www.maalot.co.il/Publications/TS20210408160139.PDF.

“Default, Transition, and Recovery: 2020 Annual U.S. Corporate Default and Rating Transition Study,” S&P Global Ratings, https://www.spglobal.com/ratings/en/research/articles/210506-default-transition-and-recovery-2020-annual-u-s-corporate-default-and-rating-transition-study-11937151.

Credit Risk Premium

Demir Bektic, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck, and Timo Spielmann, “Extending Fama-French Factors to Corporate Bond Markets,” Journal of Portfolio Management 2019. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2715727

Maria Correia, Scott Richardson, and Irem Tuna, “Value Investing in Credit Markets,” Review of Accounting Studies, 2012. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1800212

P. Crosbie and J. Bohn, “Modelling Default Risk,” Moody’s KMV, 2003.

Lennart Dekker, Patrick Houweling, and Frederik Muskens, “Factor Investing in Emerging Market Credits,” 2019. http://ssrn.com/abstract=3457127

Mathieu L’Hoir and Mustafa Boulhabel, “A Bond-Picking Model for Corporate Bond Allocation,” Journal of Portfolio Management, 2010. https://jpm.pm-research.com/content/36/3/131.short

J. Lewellen, “Accounting Anomalies and Fundamental Analysis: An Alternative View,” Journal of Accounting and Economics, 2010.

Gergana Jostova, Stanislava Nikolova, Alexander Philipov, and Christof W. Stahel, “Momentum in Corporate Bond Returns,” Review of Financial Studies 26(7), 2013. https://www.jstor.org/stable/23470056?seq=1#metadata_info_tab_contents

Patrick Houweling and Jeroen Van Zundert, “Factor Investing in the Corporate Bond Market,” Financial Analysts Journal, 2017. https://www.tandfonline.com/doi/full/10.2469/faj.v73.n2.1

Ronen Israel, Diogo Palhares, and Scott Richardson, “Common Factors in Corporate Bond Returns,” Journal of Investment Management 16(2), 2018. https://www.aqr.com/-/media/AQR/Documents/Journal-Articles/Common-Factors-in-Corporate-Bond-Returns.pdf

James Moore, “Who’s Buying Now? Some Long-Term Investors Are Snapping Up Bonds.” Institutional Investor, July 8th,2013. https://www.institutionalinvestor.com/article/b14zb9jzqgyx89/whos-buying-now-some-long-term-investors-are-snapping-up-bonds

Kwok-Yuen Ng and B. Phelps, “Capturing Credit Spread Premium.” Financial Analysts Journal, vol. 67, no. 3 (May/June): 63–75, 2011.

J. Ohlson, “Financial Ratios and the Probablilitic Prediction of Bankruptcy,” Journal of Accounting Research, 1980.

Simon Polbennikov, Albert Desclée, and Mathieu Dubois, “Implementing Value and Momentum Strategies in Credit Portfolios,” Journal of Portfolio Management, 2021.

P. Schultz, “Corporate Bond Trading Costs: A Peek Behind the Curtain,” Jurnal of FInance, 2001.

Alternative Assets Risk Premia

Dimson, E. 1979. “Risk Measurement When Shares Are Subject to Infrequent Trading.” Journal of Financial Economics, vol. 7, no. 2 (June): 197–226

Scholes, M., and J. Williams. 1977. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics, vol. 5, no. 3 (December): 309–327.

F. Franzoni, E. Nowak, and L. Phalippou, “Private Equity Performance and Liquidity Risk.” Journal of Finance, 2012.

G. Gallais-Hamonno and H. Nguyen-Thi-Thanh., “The Necessity to Correct Hedge Fund Returns: Empirical Evidence and Correction Method.” Universite Libre de Bruxelles, 2007.

D. Geltner,“Estimating Market Values from Appraised Values without Assuming an Efficient Market.” Journal of Real Estate Research, 1993.

M. Getmansky, A. Lo, and I. Makarov, “An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.” Journal of Financial Economics, 2004.

Correlation and Right/Wrong Way Risk Premia

Andrew W. Lo and A. Craig MacKinlay, “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test,” The Review of Financial Studies, vol. 1, no. 1, Spring 1988.

Brian W. McCulloch, “Geometric Return and Portfolio Analysis,” New Zealand Treasury, 2003.

Robert F. Stambaugh, “Analyzing Investments Whose Histories Differ in Length,” Journal of Financial Economics, vol. 45, no. 3 September 1997.

HEADING

I’m a paragraph. Drag me to add paragraph to your block, write your own text and edit me.

CASE STUDY: ECONOMIC SURPRISE

Pierluigi Balduzzi and Fabio Moneta, “Economic Risk Premia in the FIxed Income Markets: The Intra-day Evidence,” 2017.

Peter Hordahl, Eli M. Remolona, and Giorgio Valente, “Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements.

CHAPTER 10: STRATEGY, OBJECTIVE, AND CONDITIONS

SIGNALS

SIZING

MARKET IMPACT AND TRANSACTION COSTS

CONDITIONAL LIKELIHOOD

TRANSITION MATRICIES

SPECIAL ORDERS

VALUATION MODELS

CASE STUDY: TRIPLE BARRIER VS. SINGLE BARRIER

CASE STUDY: TREASURY BASIS VALUATION

CHAPTER 11: TIME SERIES AND CROSS-SECTIONAL ANALYSIS FOR FINANCIAL MARKETS

N. Ahmed, , A. Atiya, N. Gayar, and H. El-Shishiny, “An empirical comparison of machine learning models for time series forecasting.” Econometric Reviews, Vol. 29, No. 5, 2010.

A. Akansu, S. Kulkarni, and D. Malioutov, “Financial Signal Processing and Machine Learning, John Wiley & Sons, 2016.

D. Aronson and T. Masters, “Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments: Developing Predictive-Model-Based Trading Systems Using TSSB,” CreateSpace, 2013.ckt Publishing.

M. Dixon, D. Klabjan, and J. Bang, “Classification-based financial markets prediction using deep neural networks.”, 2016.

J. Patel, S. Sha, P. Thakkar, and K. Kotecha, “Predicting stock and stock price index movement using trend deterministic data preparation and machine learning techniques,”Expert Systems with Applicatiosn, 2014. https://www.sciencedirect.com/science/article/pii/S0957417414004473.

A. Zhang, Z.C. Lipton, M. Li, A.J. Smola, Dive into Deep Learning, Online: http:// d2l.ai.

THE PROBLEM WITH MODELS

Structural Economic Models

John B. Taylor, “Discretion versus Policy Rules in Practice, Carnegie-Rochester Conerence Series on Public Policy 39, 1993.

John B. Taylor, “A Historical Analysis of Monetary Policy Rules,” in “Monetary Policy Rules,” University of Chicago Press, January 1999.

Lars E. O. Svensson, What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules (June 2003), Journal of Economic Literature.

Boris Hofmann, Taylor rules and monetary policy: a global “Great Deviation”? (September 2012).

Emiliano Brancaccio and Giuseppe Fontana, ‘Solvency rule’ versus ‘Taylor rule’: an alternative interpretation of the relation between monetary policy and the economic crisis (August 2012 ), Cambridge Journal of Economics.

https://www.frbatlanta.org/cqer/research/taylor-rule?

“Federal Open Market Committee Meeting calendars, statements, and minutes” Summary of Economic Projections (SEP)

Thomas Laubach and John C. Williams , “Measuring the Natural Rate of Interest,” The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November 2003.

Kathryn Holston, Thomas Laubach, and John C. Williams, “Measuring the natural rate of interest: International trends and determinants, Journal of International Economics,Volume 108, Supplement 1, May 2017, Pages S59-S75.

Thomas Lubik and Christian Matthes, “Calculating the Natural Rate of Interest: A Comparison of Two Alternative Approaches,” Federal Reserve Bank of Richmond, October 2015

Charles A. Fleischman and John M. Roberts, “From Many Series, One Cycle: Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model,” 2011.

Congressional Budget Office’s (CBO) estimate of potential real GDP.

Arthur M. Okun, “Potential GNP: Its Measurement and Significance,” American Statistical Association, Proceedings of the Business and Economics Statistics Section 1962.

David Brauer, “ The Natural Rate of Unemployment,” Congressional Budget Office Washington, D.C. April 2007.

U.S. Bureau of Labor Statistics, Economic News Release, Table A-15. Alternative measures of labor underutilization, Household Data.

“The ZPOP Ratio: A Simple Take on a Complicated Labor Market,” The Federal Reserve Bank of Atlanta, September 22nd, 2015.

“Constructing Gaps for U6 and ZPOP,” Federal Reserve Bank of Atlanta.

Michael Dotsey and Keith Sill, “Using Rules for Benchmarking,” Federal Reserve Bank of Philadelphia, 2015.

Flint Brayton, Thomas Laubach, and David Reifschneider, “The FRB/US Model: A Tool for Macroeconomic Policy Analysis,” April 2014.

GARCH

Christian Francq and Jean-Michel Zakoian, “GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition,” Wiley, 2019.

ARIMA

Vasileios Lampos, “Advances in Nowcasting Influenza-Like Illness Rates Using Search Query Logs,” Scientific Reports, 2015.

David Farrow, “Modeling the Past, Present, and Future of Influenza,” Carnegie Mellon University, 2016.

DUMP

Peter Bühlmann, Jonas Peters, Jan Ernest, et al. “CAM: Causal additive models, high-dimensional order search and penalized regression. The Annals of Statistics,” 42(6):2526–2556, 2014.

Peter Spirtes, Clark N Glymour, Richard Scheines, and David Heckerman, “Causation, prediction, and search,” MIT press, 2000.

Clark Glymour, Kun Zhang, and Peter Spirtes, “Review of causal discovery methods based on graphical models,” Frontiers in genetics, 10:524, 2019.

“Constructing Gaps for U6 and ZPOP,” Federal Reserve Bank of Atlanta

“Empower Experts with Causal AI,” CausaLens, October, 2020.

“Federal Open Market Committee Meeting calendars, statements, and minutes” Summary of Economic Projections (SEP)

“From Predicting to Shaping the Future,” CausaLens, November, 2020.

“The ZPOP Ratio: A Simple Take on a Complicated Labor Market,” The Federal Reserve Bank of Atlanta, September 22nd, 2015

“Towards Artificial Imagination,” CausaLens, 2021.

“Truly Explainable AI: Putting the ’Cause’ in ‘Because’,” CausaLens, 2021

“Why Correlation-Based Machine Learning Leads to Bad Predictions,” CausaLens, 2021.

Aileen Nielsen, “Practical Time Series Anaysis, Prediction with Statistics & Machine Learning, O’Reilly, 2020

Aiusha Sangadiev, Rodrigo Rivera-Castro, Kirill Stepanov, and Evgeny Burnaev, “DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data,” August 2020

Alexi Jourovski, Vladyslav Dubikovsky, Pere Adell, Ravi Ramakrishnan, and Robert Kosowski, “Forecasting Beta Using Machine Learning,” in Machine Learning for Asset Management, New Developments and Financial Applications, edited by Emmanuel Juczenko, Wiley, 2020

Andrew R. Lawrence, Marcus Kaiser, Rui Sampaio, and Maksim Sipos, “Data Generating Process to Evaluate Causal Discovery Techniques for Time Series Data,” Causal Discovery and Causality-Inspired Machine Learning Workshop at Neural Information Processing Systems, 2020.

Arthur M. Okun, “Potential GNP: Its Measurement and Significance,” American Statistical Association, Proceedings of the Business and Economics Statistics Section 1962

Ben-David A. (2008). About the relationship between ROC curves and Cohen’s kappa. Engineering Applications of Artificial Intelligence, 21(6), 874–882

Boris Hofmann, Taylor rules and monetary policy: a global “Great Deviation”? (September 2012)

Charles A. Fleischman and John M. Roberts, “From Many Series, One Cycle: Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model,” 2011

Charles Geyer, “Burn-In is Unnecessary”

Christian Francq and Jean-Michel Zakoian, “GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition,” Wiley, 2019.

Christina Heinze-Deml, Jonas Peters, and Nicolai Meinshausen, “Invariant Causal Prediction for Nonlinear Models.” Journal of Causal Inference, 2018

Christoph Molinar, “Interpretable Machine Learning, A Guide for Making Black Box Models Explainable,” October 26th, 2020

Christopher Watkins and Peter Dayan, “Q-Learning,” Machine Learning, 1992

Claude Shannon and Warren Weaver, “The Mathematical Theory of Communication,” University of Illinois Press, 1949

Cohen, Jacob (1960). “A coefficient of agreement for nominal scales”. Educational and Psychological Measurement. 20 (1): 37–46. doi:10.1177/001316446002000104. hdl:1942/28116. S2CID 15926286

Congressional Budget Office’s (CBO) estimate of potential real GDP

D. Bacham and J. Zhao, :Machine Learning: Challenges, Lessons, and Opportunities in Credit Risk Modeling,” Moody’s Analytics, 2017.

David Baudera , Taras Bodnarb,1 , Nestor Parolyac , and Wolfgang Schmidd, “Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility,” May 18th, 2017

David Brauer, “ The Natural Rate of Unemployment,” Congressional Budget Office Washington, D.C. April 2007

David Farrow, “Modeling the Past, Present, and Future of Influenza,” Carnegie Mellon University, 2016

Dorsey D. Farr, “Dynamic Factor Approaches to Equity Portfolio Management,” edited by Frank J. Fabozzi and Harry. M. Markowitz, John Wiley & Sons, 2011.

E Hoseinzade, S Haratizadeh, and A Khoeini, “U-CNNpred: A Universal CNN-based Predictor for Stock Markets,” 2019

Flint Brayton, Thomas Laubach, and David Reifschneider, “The FRB/US Model: A Tool for Macroeconomic Policy Analysis,” April 2014

Geman, S.; Geman,”Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images,” IEEE Transactions on Pattern Analysis and Machine Intelligence, 1984

Guokun Lai, Wei-Cheng Chang, Yiming Yang, and Hanxiao Liu, “Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks,” Carnegie Mellon, 2018

Hastings, W.K., “Monte Carlo Sampling Methods Using Markov Chains and Their Applications,” Biometrika. 1970

Hema Parmar, Katherine Burton, Nishant Kumar, “Human-Run Hedge Funds Beat Quants in Year Ruled by Pandemic

Ian J. Goodfellow, Jean Pouget-Abadie, Mehdi Mirza, Bing Xu, David Warde-Farley, Sherjil Ozair, Aaron Courville, and Yoshua Bengio, “Generative Adversarial Networks,” June 2014

IEEE Computer Society Magazine Honors Artificial Intelligence Leaders”. DigitalJournal.com. August 24, 2011. Retrieved September 18, 2011

Jason Hunter, Veronica Mejia Bustamante, Alix Tepper, “Quantifying Technical Analysis with AI and Machine Learning: Identifying potential turning points with price and momentum based pattern recognition,” J.P. Morgan Global Fixed Income and US Equity Index Technical Strategy, June 12th, 2018

John B. Taylor, “A Historical Analysis of Monetary Policy Rules,” in “Monetary Policy Rules,” University of Chicago Press, January 1999

John B. Taylor, “Discretion versus Policy Rules in Practice, Carnegie-Rochester Conerence Series on Public Policy 39, 1993.

Jonas Peters, Dominik Janzing, and Bernhard Schölkopf, “Elements of Causal Inference: Foundations and Learning Algorithms,” MIT Press, 2017

Josh Younger, Jason Hunter, Munier Salem, Tucker Balch, “J.P. Morgan Quant Fixed Income Online Conference,” J.P. Morgan Securities, J.P. Morgan Securities, J.P. Morgan, Fixed Income Strategy, May, 2019

Joshua Younger, Jason Hunter, Munier Salem, Manuela Veloso, “J.P. Morgan Quant Fixed Income Online Conference,” J.P. Morgan Securities, J.P. Morgan, Fixed Income Strategy, September, 2018

Judea Pearl and Dana Mackenzie, “The Book of Why: The New Science of Cause and Effect”, Basic Books, 2018

Judea Pearl, “Causality: Models, Reasoning, and Inference,” Cambridge University Press, 2000

K. V. Rashmi and Ran Gilad-Bachrach, “DART: Dropouts meet Multiple Additive Regression Trees,” May 7th, 2015

Kay H. Brodersen, Fabian Gallusser, Jim Koehler, Nicolas Remy, Steven L Scott, “Inferring Causal Impact Using Bayesian Structural Time-Series Models,” Annals of Applied Statistics, 2015

Kris Boudt, Muzafer Cela, and Majeed Simaan, “In Search of Return Predictability: Application of Machine Learning Algorithms in Tactical Allocation,” in “Machine Learning for Asset Management, New Developments and Financial Applications,” edited by Emmanuel Jurczenko, Wiley, 2020

Lars E. O. Svensson, What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules (June 2003), Journal of Economic Literature

Leo Breiman, “Random Forests,” January 2001

Luo Y., “Natural Language Proceess,” in “Machine Learning for Asset Management, New Developments and Financial Applications,” edited by Emmanuel Jurczenko, Wiley, 2020

M.A. Tanner, “Tools for Statistical Inference: Methods for the Exploration of Posterior Distributions and Likelihood Functions,” Springer Series in Statistics, New York, 1998.

Marco Tulio Ribeiro, Sameer Singh, amd Carlos Guestrin, “Why Should I Trust You?: Explaining the Predictions of Any” Classifier,” August 9th, 2016

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Max Kuhn, “Feature Engineering,” .

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Michael Dotsey and Keith Sill, “Using Rules for Benchmarking,” Federal Reserve Bank of Philadelphia, 2015

Michal Balcerak and Thomas Schmelzer, “Constructing trading strategy ensembles by classifying market states,” arXiv:2012.03078v1 [q-fin.TR] 5 Dec 2020

Munier Salem, Joshua Younger, and Jimmy (Guanjie) Huang, “TradeRunner: Ensemble learning-driven systematic trading in interest rate markets,” J.P. Morgan North America Fixed Income Strategy August 16, 2018

Peter M. Aronow and Fredrik SAVJEm “Why: The New Science of Cause and Effect,” Journal of the American Statistical Association, 2019

Philip E. Tetlock and Dan Gardner, “Superforecasting: The Art and Science of Prediction,” Crown, September 13th, 2016.

Richard S. Sutton and Angrew G. Barto, “Reinforcement Learning: An Introduction (2nd

Robert Dochow, “Online Algorithms for the Portfolio Selection Problem,” Springer Gabler,2016

Rosario Delgado and Xavier-Andoni Tibau, “Why Cohen’s Kappa should be avoided as performance measure in classification,” September 26, 2019, https://doi.org/10.1371/journal.pone.0222916

Saravan Erp, Daniel L. Oberski, JorisMulder, “Shrinkage priors for Bayesian penalized regression,” April 2019

Scott Lundberg, Su-In Lee (v1), “A Unified Approach to Interpreting Model Predictions,” May 22nd, 2017 revised Nov 25th 2017

Steven Hoi, Doyen Sahoo, Jing Lu, and Peilin Zhao, “Online Learning: A Comprehensive Survey,” 2018

Thomas Laubach and John C. Williams , “Measuring the Natural Rate of Interest,” The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November 2003

Thomas Lubik and Christian Matthes, “Calculating the Natural Rate of Interest: A Comparison of Two Alternative Approaches,” Federal Reserve Bank of Richmond, October 2015

U.S. Bureau of Labor Statistics, Economic News Release, Table A-15. Alternative measures of labor underutilization, Household Data

Valliappa Lakshmanan, Sara Robinson, and Michael Munn, Machine Learning Design Patterns: Solutions to Common Challenges in Data, Preparation, Model Building, and MLOps,” O’Reilly, 2020.

Virginia Gold, “Judea Pearl Wins ACM A.M. Turing Award for Contributions that Transformed Artificial Intelligence”. The Association for Computing Machinery, March 17, 2012

DATA GATHERING AND MANIPULATION

HEADING

Privacy

Erika McCallister, Tim Grance, and Karen Scarfone, “Guide to Protecting the Confidentiality of Personally Identifiable Information (PII) Recommendations of the National Institute of Standards and Technology,” NIST Special Publication 800-122, April 2010.

“Regulation FD, Section 101, Rule 100: General Rule Regarding Selective Disclosure, Question 101.03,” Securities and Exchange Commission Corporate Guidance. https://www.sec.gov/divisions/corpfin/guidance/regfd-interp.htm

ASSET-SPECIFIC DATA CONSIDERATIONS

FEATURES, GENERALLY

FINANCIAL-SPECIFIC FEATURES

PREDICTIONS

CREATING FACTOR FORECASTS

STRATEGY, OBJECTIVE, AND CONDITIONS

ALPHA MODELS

Regime Identification

Sandra Johnson, “Integrated Bayesian network frameworks for modelling complex ecological issues,” 2009. https://www.researchgate.net/publication/43376231_Integrated_Bayesian_network_frameworks_for_modelling_complex_ecological_issues/download

Credit Ratings

D. Bacham and J. Zhao, :Machine Learning: Challenges, Lessons, and Opportunities in Credit Risk Modeling,” Moody’s Analytics, 2017.

RISK MODELS

TRANSACTION COST MODELS

REINFORCEMENT LEARNING

EXECUTION MODELS

INTEGRATED MODELS

Noah Beck, Jason Hsu, Vitali Kalesnik, and Helge Kostka. “Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs.” Financial Analysts Journal, September/October 2016.

Tzee Chow, Feifei Li, PhD, and Joseph Shim. “Smart-Beta Multifactor Construction Methodology: Mixing versus Integrating.” Journal of Index Investing, Spring, 2018.

Shaun Fitzgibbons, Jacques Friedman, Lukasz Pomorski, and Laura Serban “Long-Only Style Investing: Don’t Just Mix, Integrate.” AQR, June, 2016.

Markus Leippold and Roger Ruegg. “The Mixed vs. the Integrated Approach to Style Investing: Much Ado About Nothing?” European Financial Management, 2018.

ORDERING, SELECTING, AND WEIGHTING GROUPS

ORDERING, SELECTING, AND WEIGHTING HOLDINGS

SIMULATION

ATTRIBUTION, MONITORING, FEEDBACK, AND ADJUSTMENT

CASE STUDY: VECTOR ERROR CORRECTING (VEC) VS DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL (DSGE)

CHAPTER 12: ALPHA AND RISK MODELS

ALPHA MODELS

M.W. Brandt, P. Santa-Clara, and R. Valkanov, “Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns,” The Review of Financial Studies, 2009.

S. Ceria, A. Saxena, and R.A. Stubbs, “Factor alignment problems and quantitative portfolio management,” The Journal of Portfolio Management 2012.

N.G. Garleanu, L.H. Pedersen, A.M. Poteshman, “Demand-based option pricing.,”The Review of Financial Studies, 2009.

Richard Grinold, “Signal weighting. The Journal of Portfolio Management,” 2010.

J.H. Lee and D. Stefek, “Do risk factors eat alphas?” The Journal of Portfolio Management, 2008.

E. Qian, and R. and Hua, “Active risk and information ratio. Journal of Investment Management, 2004.

E. Qian, E.H. Sorensen, R. Hua, “Information horizon, portfolio turnover, and optimal alpha models,” The Journal of Portfolio Management , 2007.

E. Sentana, “Least squares predictions and mean-variance analysis,” Journal of Financial Econometrics, 2005.

Start with a Principle

Fischer Black, “Estimating Expected Return,” 1993.

K. C. Ma, “How Many Factors Do You Need?” KCM Asset Managment, Inc., 2010.

RISK MODELS

TRANSACTION COSTS

Market Models

Michael Aked, “The Dirty Little Secret of Passive Investing,” Research Affiliates, January 2016.

Marshall E. Blume and Roger M. Edelen, “S&P 500 Indexers, Tracking Error, and Liquidity.” Journal of Portfolio Management, vol. 30, no. 3, Spring 2004.

Honghui Chen, Gregory Noronha, and Vijay Singal, “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation.” Journal of Finance, vol. 59, August 2004.

Paul Schultz, “Corporate Bond Trading Costs: A Peek Behind the Curtain,” Journal of FInance, April 2001.

INTEGRATED MODELS

Miguel-A Alverez, Yin Luo, Rochester Cahan, Javed Jussa, Zongye Chen, Shen Wang, “Portfolios Under COnstruction, Risk & Alpha Alignment,” Deutsche Bank, August 22nd, 2012.

Sebastian Ceria, “Factor Alignment for Equity Portfolio Management,” Axioma, 2012.

Sebastian Ceria, “MVO has Eaten my Alpha,” Axioma, January 28th, 2013.

Xavier Gerard, Ron Guido, Peter Wesselius, “Integrated Alpha Modeling,” Journal of Asset Management, 2013.

John B. Guerard, Jr., Ed., “Portfolio Construction, Measurement, and Efficiency, Essays in Honor of Jack Treynor,” Springer, 2017.

Jose Menchero, Jun Wang, J., D.J. Orr, “Eigen-Adjusted Covariance Matrices”, MSCI Research Insight, May 2011.

Lubos Pastor and Robert F.Stambaugh, “Liquidity Riskand Expected Stock Returns,” Journal of Prolitical Economics, 2008.

Anureet Saxena, Christopher Martin, and Robert A. Stubbs, “Aligning Alpha and Risk Factors, a Panacea to Factor Alignment Problems?” February 22, 2012

Anureet Saxena and Robert A. Stubbs, “Axioma’s Alpha Alignment Factor Demystified,” 2010.

Anureet Saxena and Robert A. Stubbs, “Pushing frontiers (literally) using alpha alignment factor,” , February 2010.

Anureet Saxena and Robert A. Stubbs, “An Empirical Case Study of Factor Alignment Problems Using the USER Model,” Journal of Investing, Spring 2012.

Anureet Saxena and Robert A. Stubbs, “Factor Alignment Problems and Quantitative Portfolio Management.” The Journal of Portfolio Management, 2012.

Anureet Saxena and Robert A. Stubbs, “The alpha alignment factor: a solution to the underestimation of risk for optimized active portfolios,” 2012.

Anureet Saxena and Robert A. Stubbs, “The alpha alignment factor: a solution to the underestimation of risk for optimized active portfolios,” Journal of Risk, 2013.

Robert A. Stubbs and Dieter Vandenbussche, “Constraint Attribution,” Journal of Portfolio Management, Summer 2010.

Jyh-Huei Lee and Dan Stefek, “Do Risk Factors Eat Alphas?” Journal of Portfolio Management, Summer 2008.

DIFFICULTIES

CHAPTER 13: ASSET ALLOCATION

CROSS-SECTIONAL TECHNIQUES

Diversification

Robert Almgren and Neil A. Chriss, “Optimal Portfolios from Ordering Information,” December 25, 2004. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=633801

Robert Almgren and Neil A. Chriss, “Portfolios from Sorts,” May 12, 2005. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=720041

Benartzi and R.H. Thaler, “Myopic loss aversion and the equity premium puzzle,” Quarterly Journal of Economics, Vol. 110, No. 1, 1995.

Chris Brightman, “Our Investment Beliefs,” Research Affiliates, October 2014.

K.C. Brown, K.C., Harlow, W.V., and Starks, L.T., Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry, Journal of Finance, Vol. 51, No. 1, 85-110, 1996.

T. Engsted and T. Q. Pederson, “Return Predictability and Inter-Temporal Asset Allocation: Evidence from a Bias Adjusted VAR Model,” 2008.

K.L. Fisher and Statman, “A behavioral framework for time diversification,” Financial Analyst Journal, May-June 1999.

A. Goyal and I. Welch, “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction,” 2008.

M. Kritzman and D. Rich, “Beware of dogma,” Journal of Portfolio Management,” Vol. 24, No. 4, Summer 1998.

D. Kahneman and A. Tversky, “Advances in prospect theory: Cumulative representation of uncertainty, Journal of Risk and Uncertainty,” Vol. 5, 1992.

D. Kahneman and A. Tversky, “Prospect theory: An analysis of decision under risk,” Econometrica, Vol. 47, No. 2, 1979.

François-Serge Lhabitant and Michelle Learned De Piante Vicin, “Finding the Sweet Spot of Hedge Fund Diversification,” EDHEC Business School, April 2004.

R.A. Olsen, “Prospect theory as an explanation of risky choice by professional investors: Some evidence,” Review of Financial Economics, Vol. 6, No. 2, 1997.

K. Patel, “How many fund managers does a fund-of-funds need?” Pensions, 2008. https://doi.org/10.1057/pm.2008.9.

SP.A. Samuelson, “Risk and uncertainty: A fallacy of large numbers,” Scientia, Vol. 98, 1963.

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen, “Quantitative Equity Portfolio Management, Modern Techniques and Applications,” Chapman & Hall/CRC, 2007.

Fred Viole and David Nawrocki, “The Utility of Wealth in an Upper and Lower Partial Moment Fabric,” The Journal of Investing 20(2), January 2011.

Active vs. Passive

Joshua Younger, Munier Salem, Jimmy (Guanjie) Huang, Henry St John, “Automating asset allocation in fixed income with machine learning, Incorporating machine learning into active management of investment-grade bond portfolios,” J.P. Morgan, North American Fixed Income Strategy, April 5th, 2019.

V. Sushko and G. Turner, “The Implications of Passive Investing for Securities Markets,” BIS Quarterly Review, March 2018.

J. Ye, “How variation in signal quality affects performance,” Financial Analysts Journal, 2008.

Time Diversification

S. Neftci, S., “An Introduction to the Mathematics of Financial Derivatives, Second Edition,” Academic Press, 2000.

M. Broadie, “Computing Efficient Frontiers using Estimated Parameters”, Annals of Operations Research, 1993.

Constant Proportion Portfolio Insurance (CPPI)

Fischer Black and Robert W. Jones, “Simplifying Portfolio Insurance,” The Journal of Portfolio Management. 14 (1), Fall 1987.

Fischer Black and Ramine Rouhani, “Constant Proportion Portfolio Insurance and the Synthetic Put Option: A Comparison,” Institutional Investor focus on Investment Management, 1989.

Fischer Black and André F. Perold), “Theory of Constant Proportion Portfolio Insurance,” Journal of Economic Dynamics and Control, 16, 1992.

Rama Cont and Peter Tankov, “Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices,” Mathematical Finance 19, July, 2009.

André F. Perold, “Constant Proportion Portfolio Insurance,” Harvard Business School, August, 1986.

OPTIMIZATION

Theodore Roosevelt, “Citizenship in a Republic,” speech at the Sorbonne in Paris, France, on April 23, 1910.

Estimation Error

Chopra & Ziemba, 1993.

Kallberg & Ziemba, 1984.

Shaddow Costs

R. Clarke, H. De Silva, and S. Thorley, S. “Portfolio constraints and the fundamental law of active management,” Financial Analysts Journal, 2002. http://refhub.elsevier.com/S0377-2217(13)00889-8/h0145

Portfolio Factory

Giorgio Consigli, Daniel Kuhn, and Paolo Brandimarte, “Optimal Financial Decision Making under Uncertainty,” Springer, 2017.

Dawn Lim, “Model Portfolios Surging as Advisers Seek Quick Ways to Invest Client Money, Assets in these pre-baked investment kits recently surpassed $4 trillion to reach a new high,” Wall Street Journal, December 4th, 2020.

Asjylyn Loder, “How’s Your ETF Portfolio Doing? Good Luck Finding Out, Ready-made ‘model portfolios’ are growing—but there is no standardized tracking of performance, making comparisons difficult,” Wall Street Journal, April 7, 2019.

Robert Merton, “An Analytic Derivation of the Efficient Portfolio Frontier,” Journal of Financial and Quantitative Analysis, September, 1972.

Factor Mimicking Portfolio

David Greenberg, Abhilash Babu, and Andrew Ang, “Factors to Assets: Mapping Factor Exposures to Asset Allocations,” The Journal of Portfolio Management, Special QES Issue, 2016. https://doi.org/10.3905/jpm.2016.42.5.018

Entropy Pooling

A. Meucci, “Fully Flexible Views: Theory and practice,” Risk, 2008. http://refhub.elsevier.com/S0377-2217(13)00889-8/h0440

Uncertainty

P. Artzner, F. Delbaen, J. M. Eber, J.-M., and D. Heath, “Coherent measures of risk,” Mathematical Finance, 1999. http://refhub.elsevier.com/S0377-2217(13)00889-8/h0020

R. T. Rockafeller and S. Uryasev, “Optimization of conditional value-at-risk,” Journal of Risk, 2000. http://refhub.elsevier.com/S0377-2217(13)00889-8/h0465

Kelly

Aaron Brown, “Red-Blooded Risk,” Wiley, 2011.

L. Breiman, “Optimal Gambling Systems for Favorable Games,” Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, vol. 1.

Ernest P. Chan, “Quantitative Trading, How to Build Your Own Algorithmic Trading Business,” Wiley, 2009.

Ernest P. Chan, “Kelly vs. Markowitz Portfolio Optimization,” August 18th, 2014.

Ernie Chan, “Kelly vs. Markowitz Portfolio Optimization” in Quantitative Trading Blog, August 18, 2014.

Morten Mosegaard Christensen, “On the History of the Growth-Optimal Portfolio,” in “Machine Learning for Financial Engineering,” Laszlo Gyorfi, Gyorgy Ottuscsak, and Harro Walk, “Advances In Computer Science and Engineering: Texts,” Volume 8, Imperial College Press, 2012.

Zachariah Peterson, “Kelly’s Criterion in Portfolio Optimization: A Decoupled Problem”.

R.E.S. Ziemba and W.T. Ziemba, “Scenarios for Risk Management and Global Investment Strategies, Wiley, 2007.

William Poundstone, “Fortune’s Formula,” Hill and Wang, 2006.

Shoda, “Kelly criterion for multiple gambles,” Mathematics Stack Exchange, Aug. 31, 212.

W.T. Ziemba, “A Response to Professor Paul A. Samuelson’s Objections to Kelly Capital Growth Investing,” Journal of Portfolio Management.

Risk Parity

W. Lee, “Risk-Based Asset Allocation: A New Answer to an Old Question?” Journal of Portfolio Management, 2011.

Jamil Baz, Helen Guo, “An Asset Allocation Primer: Connecting Markowitz, Kelly, and Risk Parity, PIMCO, October 2017.

CONSTRAINTS

R. Grauer, and F. Shen, “Do Constraints Improve Portfolio Performance?”, Journal of Banking and Finance, 2000.

Richard C. Grinold and Ronald N. Kahn, “Active Portfolio Management, 2nd Edition” McGraw-Hill, 1999.

M. Barton Waring and Laurence B. Siegel, “The Myth of the Absolute Return Investor,” Financial Analysts Journal 62, no. 2, 2006.

Cardinality

Edward E. Qian, Ronald H. Hua, and Eric H. Sorensen, “Quantitative Equity Portfolio Management, Modern Techniques and Applications,” Chapman & Hall/CRC, 2007.

Withdrawals

Dan diBartolomeo, “Optimal Retirement Policy: Funding and Spending,” Northfield, Newsletter, March 2014.

Jarrod Wilcox, “Harry Markowitz & the Discretionary Wealth Hypothesis,” The Journal of Portfolio Management Spring 2003. https://doi.org/10.3905/jpm.2003.319884

Tracking Error

E. Fishwick, “Unexpectedly Large or Frequent Extreme Returns in Active TE Portfolios”, Franklin Portfolio Associates, 1999.

D. Gardner, D. Bowie, M. Brooks and M. Cumberworth “Predicted TEs: Fact or Fantasy”, Working Paper, Faculty and Institute of Actuaries, 2000.

S. Hartmann, “Laying the Foundations”, ABN AMRO Research Paper, January, 2002.

C. Lawton, “An Alternative Calculation of TE”, Journal of Asset Management, 2001.

R. Michaud, R., “The Markowitz Optimization Enigma: Is Optimized Optimal?”, Financial Analysts Journal, 1989.

S. Satchell and J. MacQueen, “Why Forecast TE Seem Sometimes Inconsistent with Actual Performance”, Working Paper, Alpha Strategies Ltd., 1998.

M. Wang, “Multiple-Benchmark and Multiple Portfolio Optimization”, Financial Analysts Journal, 1999.

Long-Only and Shorting

–, “combine investment signals in stratgegies, simulations and emperical analysis,” Goldman Sachs Asset Mangement (GSAM), 2018.

Taxes

Roberto Apelfeld, James P. Gordon and Gordon B. Fowler, “Tax-Aware Equity Investing,” The Journal of Portfolio Management, Winter 1996.

Vladimir de Vassal, “Investment Strategies for Taxable Clients,” Glenmede Investment Management, Northfield 28th Annual Research Conference.

Factor Constraints

Teo Jašić, Stoyan Stoyanov, and Dubravko Štimac, “Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization Approach,” The Journal of Portfolio Management Quantitative Special Issue, 2021.

UNCERTAINTY

E. A. Cornish and Ronald A. Fisher, Ronald, “Moments and Cumulants in the Specification of Distributions,” Revue de l’Institut International de Statistique, 1938.

Laurent Favre and José-Antonio Galeano, “Mean-Modified Value-at-Risk Optimisation With Hedge Funds,” EDHEC Business School, September 2002.

Didier Mailard, “A User’s Guide to the Cornish FIsher Expansion,” January, 2012.

Francois Duc and Yann Schorderet, “Market Risk Management for Hedge Funds, Foundations of the Style and Implicit Value-at-Risk,” John Wiley & Sons, 2008.

D. Bauder, T. Bodnar, N. Parolya, and W. Schmid, B”ayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty,” 2018.

S. Sharifi, M. Crane, A. Shamaie and H. Ruskin, “Random Matrix Theory for Portfolio Optimization: A Stability Approach”, Physica, 2004.

V. Chopra, C. Hensel and A. Turner, “Massaging Mean Variance Inputs: Returns from Alternative Global Investment Strategies, in the 1980’s”, Management Science, 1993.

V. Chopra and W. Ziemba, “The Effects of Errors in Means, Variances and Covariances on Optimal Portfolio Choice”, Journal of Portfolio Management, Winter 1993.

P. Jorion, “Portfolio Optimization in Practice”, Financial Analysts Journal, 1992.

G. De Luca and P. Zuccolotto, “A tail dependence-based dissimilarity measure for financial time series clustering. Advances in Data Analysis and Classification,” 2011.

E. Jurczenko and J. Teiletche, “Expected shortfall asset allocation: A multi-dimensional risk budgeting framework,” Journal of Alternative Investments 2019.

Y. Malevergne, Y., and D. Sornette, “Collective Origin of Co-existence of Apparent Random Matrix Theory Noise and of Factors in Large Sample Correlation Matrices”, Physica, 2004.

O. Suleman, M. McDonald, S. Williams, S. Howison and N. F. Johnson, “Implications of Correlation Cleaning for Risk Management”, 2006.

Tibshirani, R., Walther, G. and Hastie, T. “Estimating the number of clusters in a data set via the gap statistic,” Journal of the Royal Statistical Society, 2001.

Bayesian Methods

D. Avramov and G. Zhou, “Bayesian portfolio analysis,” Annual Review of Financial Economics, 2010.

D. Bauder, T. Bodnar, N. Parolya, and W. Schmid, “Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty,”, 2018.

L. Pástor, L´ and R.F. Stambaugh, R.F, “Are stocks really less volatile in the long run?,” The Journal of Finance, April 2010.

Dynamic Programming

Mark Kritzman, Simon Myrgren, Sebastien Page, “Adding The Time Dimension: Optimal Rebalancing”

Mark Kritzman, Simon Myrgren, Sebastien Page, “Optimal Rebalancing”

Kexin Yu and Charles Xu, “Dynamic Portfolio Optimization Using Evolution Strategy.”

Stochastic Programming

D. Bertsekas, “Dynamic Programming and Optimal Control, vol. II, 4th ed.,” Athena Scientific 2012.

John R. Birge and François V. Louveaux, “Introduction to Stochastic Programming,” Springer Verlag, , 1997.

Richard Gold, “Why the Efficient Frontier for Real Estate is ‘Fuzzy’,” The Journal of Real Estate Portfolio Management, 1995..

Nalan Gulpinar, Berc Rustem, and Reuben Settergren, “Simulation and optimization approaches to scenario tree generation,” Journal of Economic Dynamics and Control, April 2004. https://www.sciencedirect.com/science/article/abs/pii/S0165188903001131

Gerd Infanger, “Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs,” Annals of Operations Research, 39, 69–95 1992. https://doi.org/10.1007/BF02060936

R. O. Michaud, “The Markowitz Optimization Enigma: Is Optimized Optimal?”, Financial Analysts Journal, 1989.

R. O. Michaud, “Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation,” Oxford University Press, 1998.

D. Nawrocki, “Portfolio Analysis with a Large Universe of Assets”, Applied Economics, 1996.

Alexander Shapiro, Darinka Dentcheva, and Andrzej Ruszczyński, “Lectures on stochastic programming: Modeling and theory,” Society for Industrial and Applied Mathematics (SIAM), 2009.

Li-Yong Yu, Xiao-Dong Ji, and Shou-Yang Wang, “Stochastic Programming Models in Financial Optimization: A Survey,” AMO – Advanced Modeling and Optimization, Volume 5, Number 1, 2003.

Minimum Torsion

-, Financial Toolbox User’s Guide, The Mathworks, 2020.

-, RoboReport, Backend Benchmarking, 2020Q3.

A. Beck, “First-Order Methods in Optimization,” Series on Optimization, SIAM, 2017.

T. Bourgeron, E. Lezmi, and T. Roncalli, “Robust asset allocation for Robo-Advisors,” 2018.

S. Boyd, N. Parikh, E. Chu, B. Peleato, and J. Eckstein, “Distributed optimization and statistical learning via the alternating direction method of Multipliers,” Foundations and Trends in Machine Learning, 2010.

P. L. Combettes and J. C. Pesquet, “Proximal splitting methods in signal processing in Fixed-point Algorithms for Inverse Problems in Science and Engineering,” in Optimization and Its Applications, Springer, 2011.

T. Griveau-Billion, J. C. Richard, and T. Roncalli, “A fast algorithm for computing high-dimensional risk parity portfolios,” 2013.

M. de Jong, “Portfolio optimisation in an uncertain world,” Journal of Asset Management, 2018.

A. Meucci, “Managing diversification,” 2009.

A. Meucci, A. Santangelo, and R. Deguest, “Risk budgeting and diversification based on optimized uncorrelated factors,” Risk, 2015.

T. Roncalli, “Introduction to Risk Parity and Budgeting,” Chapman & Hall/CRC Financial Mathematics Series, Boca Raton, 2013.

R.J. Tibshirani, “Dykstra’s algorithm, ADMM, and coordinate descent: Connections, insights, and extensions”, in Advances in Neural Information Processing Systems, MIT Press, 2017.

Fuzzy Sets

Alexander Rudin and Daniel Farley, “Fuzzy Factors and Asset Allocation,” The Journal of Portfolio Management Multi-Asset Special Issue 2021. https://jpm.pm-research.com/content/early/2021/02/02/jpm.2021.1.214.short

Illiquidity

-, “EDHEC Funds of Hedge Funds Reporting Survey : A Return-Based Approach to Funds of Hedge Funds Reporting”,EDHEC Risk and Asset Management Research Centre, January 2005.

-, “Liquidity in Commercial Property Markets,” Investment Property Forum, April 2004.

Couts, Andrei S. Gonclaves, and Andrea Rossi, “Unsmoothing of Illiquid Assets,” October, 2019.

David Geltner, “Smoothing in Appraisal-Based Returns,” Journal of Real Estate Finance and Economics, 1991.

David Geltner, “Estimating Market Values from Appraised Values without Assuming an Efficient Market,” Journal of Real Estate Research, 1993.

ASSET CLASSES

Risk Proxies

Andrew Ang, Dimitris Papanikolaou, and Mark M Westerfield, “Portfolio Choice with Illiquid Assets”, , August 1, 2013.

Andrew Ang and Nicolas P.B. Bollen, “Locked Up by a Lockup: Valuing Liquidity as a Real Option,”October 21, 2008.

Farshid M. Asl and Erkko Etula, “Advancing Strategic Asset Allocation in a Multi-Factor World,” The Journal of Portfolio Management, Volume 39, Number 1, Fall 2012.

Dan diBartolomeo, “Factor Based Asset Allocation and Illiquid Investments,” Northfield, Newsletter, September, 2012.

Alternatives, Currencies, and Commodities

David Geltner, “Smoothing in Appraisal-Based Returns,” Journal of Real Estate Finance and Economics, 1991.

Commodities

Georgi Georgiev, “The Benefits of Commodity Investment,” 2006.

Gary B. Gorton and K. Geert Rouwenhorst, “Facts and Fantacies about Comodity Futures,” Financial Analysts Journal, 2006.

Thomas M. Idzorek, “Strategic Asset Allocation and Commodities,” 2006.

Private Equity

-, Flag Venture Management, “The Right Level of Diversification,” Venture Insights, 1st Quarter, Flag Venture Management Special Report, 2001.

Douglas J. Cumming, Lars Helge Hass, and Denis Schweizer, “Private Equity Benchmarks and Portfolio Optimization.” April 15, 2013. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2251001

U. Grabenwarter and T. Weidig, “Exposed to the J Curve,” Euromoney Books, 2005.

Pierre-Yves Mathonet and Thomas Meyer, “JCurve Exposure, Managing a Portfolio of Venture Capital and Private Equity Funds,” Wiley & Sons, Ltd., 2007.

Sidney C. Porter and Sheridan Porter, “Introducing Objective Benchmark-Based Attribution in Private Equity,” WInter 2019.

T. Weidig and P.Y. Mathonet, “The Risk Profiles of Private Equity,” EVCA, 2004.

Tom Weidig, Andreas Kemmerery, and Daniel Silvestriniz , “Using clustering across mutual and alternative

funds to measure diversication, lower bound of market size, and market effciency,” October 11, 2010.

Factors

Robert Bass, Scott Gladstone, and Andrew Ang, “Total Portfolio Factor, Not Just Asset, Allocation,” Journal of Portfolio Management, Special Issue 2017.

Jennifer Bender and Tai Wang, “Can the Whole Be More than the Sum of the Parts? Bottom-Up versus Top=Down Multifactor Portfolio Construction,” The Journal of Portfolio Management, Special Issue 2016.

Stephen Blyth, Mark C. Szigety and Jake Xia, “Flexible Indeterminate Factor-Based Asset Allocation,” The Journal of Portfolio Management Special QES Issue 2016. https://jpm.pm-research.com/content/42/5/79.abstract

Shaun Fitgibbons, Jacques Friedman, Lukasz Pomorski, and Laura Serban, “Long-Only Style Investing: Don’t Just Mix, Integrate,” The Journal of Investing, Winter 2017.

David Greenberg, Abhilash Babu, and Andrew Ang, “Factors to Assets: Mapping Factor Exposures to Asset Allocations,” Journal of Portfolio Management, Special Issue 2016.

Teo Jašic´, Stoyan Stoyanov, and Dubravko Štimac, “Portfolio Optimization Using Factor Scores as Constraints— Factor Constrained Portfolio Optimization Approach,” .

Khalid Ghayur, Ronan Heaney, and Stephen Platt, “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending,” Financial Analysts Journal, .

Kelly Criterion

Jamil Baz, Helen Guo, “An Asset Allocation Primer: Connecting Markowitz, Kelly, and Risk Parity, PIMCO, October 2017.

L. Breiman, “Optimal Gambling Systems for Favorable Games,” Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, vol. 1.

Aaron Brown, “Red Blooded Risk,” Wiley, September 22, 2011.

Ernie Chan, “Kelly vs. Markowitz Portfolio Optimization” in Quantitative Trading Blog, August 18, 2014.

Roger Clarke, Harindra de Silva, and Steven Thorley, “Fundamentals of Efficient Factor Investing,” Financial Analysts Journal, 2016.

Khalid Ghayur Ronan Heaney, and Stephen Platt, “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending,” Financial Analysts Journal, 2018.

Farouk Jivraj, David Haefliger, Zein Kahn, Benedict Redmond, “Equity Multi-Factor Approaches: Sum of Factors vs. Multi-Factor Ranking,” Barclays QIS Insights, September 16, 2016

W. Lee, “Risk-Based Asset Allocation: A New Answer to an Old Question?” Journal of Portfolio Management, 2011.

Zachariah Peterson, “Kelly’s Criterion in Portfolio Optimization: A Decoupled Problem” .

William Poundstone, “Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street,” Hill and Wang, June 1, 2010.

Alexander Rudin, Vikas Mor, and Daniel Farley, “Adaptive Optimal Risk Budgeting,” The Journal of Portfolio Management, Multi-Asset Special Issue 2020.

W.T. Ziemba, “A Response to Professor Paul A. Samuelson’s Objections to Kelly Capital Growth Investing,” Journal of Portfolio Management.

R.E.S. Ziemba and W.T. Ziemba, “Scenarios for Risk Management and Global Investment Strategies, Wiley, 2007.

TIME-SERIES TECHNIQUES

Robert Arnott and Todd Miller “Surprise! TAA Can Work in Quiet Markets,” Journal of Investing, 1997.

Kalok Chan, Allaudeen Hameed, and Wilson Tong, “Profitability of Momentum strategies in the international equity markets,” 1999.

Javier Estrada, “Black Swans and Market Timing: How Not to Generate Alpha,” 2007.

Meb Faber, Mebane, “A Quantitative Approach to Tactical Asset Allocation,” Journal of Wealth Management, 2007.

C. Hamill, S. Rattray, and O. Van Hemert, “Trend Following: Equity and Bond Crisis Alpha,” August 30, 2016. https://ssrn.com/abstract=2831926

C. R. Harvey, E. Hoyle, S. Rattray, M. Sargaison, D. Taylor, and O. Van Hemert “The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed,” The Journal of Portfolio Management, July 2019. https://doi.org/10.3905/ jpm.2019.45.5.007

C. R. Harvey, E. Hoyle, Russell Korgaonkar, S. Rattray, M. Sargaison, and O. Van Hemert, “The impact of volatility targeting”, Journal of Portfolio Management, 2018.

S. Rattray, N. Granger, C. R. Harvey, and O. Van Hemert, “Strategic Rebalancing”, The Journal of Portfolio Management Multi-Asset Special Issue 2020. https://doi.org/10.3905/jpm.2020.1.150

James D. MacBeth and David C. Emanuel, ‘Tactical Asset Allocation: Pros and Cons,” Financial Analysts Journal,1993.

CASE STUDY: SOUTH AFRICAN ASSET ALLOCATION

CASE STUDY: GLOBAL TACTICAL ASSET ALLOCATION

CASE STUDY: ROBOADVISOR ASSET ALLOCATION

CHAPTER 14: SECURITY SELECTION

Michael J. Mauboussin and Dan Callahan, “Everything Is a DCF Model A Mantra for Valuing Cash-Generating Assets,” Morgan Stanley, August 3, 2021.

CHAPTER 15: BACKTESTING

FEATURES OF BACKTESTERS

Interpretability

Vaishak Belle and Ioannis Papantonis, “Principles and Practice of Explainable Machine Learning,” 2020.

Aaron Fisher, Cynthia Rudin, and Francesca Dominici, “All Models Are Wrong, but Many Are Useful: Learning a Variable’s Importance by Studying an Entire Class of Prediction Models Simultaneously.” Journal of Machine Learning Research, 2019.

Isabelle Guyon and Andre Elisseeff, “An Introduction to Variable and Feature Selection,” Journal of Machine Learning Research, 2003.

Christopher Molnar, “Interpretable Machine Learning, A Guide for Making Black Box Models Explainable,” 2020..

MAJOR COMPONENTS

A WORD ABOUT ORDERS

–, “How to Develop, Test, and Optimize a Trading Strategy-Complete—Guide,” Milton Financial Market Research Institute, May 25th, 2020.

Andrew Clare, James Seaton, Stephen Thomas, Peter N. Smith, “Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500,” March 2012.

SPECIAL SIGNALS

Taxes

Apelfeld, Roberto, Gordon B. Fowler, Jr., and James P. Gordon, Jr. “Tax-Aware Equity Investing.” Journal of Portfolio Management, 1996.

Andrew L. Berkin and Jia Ye, “Tax Management, Loss Harvesting, and HIFO Accounting,” Financial Analysts Journal, August 2003.

Dan diBartolomeo, “Householding: The Holy Grail of Wealth Mangement,” Northfield, Newsletter, June 2019.

Kenneth A. Blay and Harry M. Markowitz, “Tax-Cognizant Portfolio Analysis: A Methodology for Maximizing After-Tax Wealth,” Journal of Investment Management, 2016.

Blaze Portfolios, Utilizing Household Asset Allocation With Multiple Accounts, Blaze Portfolios, May 28, 2019.

Ryan W. Neal, “What ‘householding’ means for advisers, and why it’s the holy grail for technology: For many, the future of advice means effectively managing all a family’s accounts,” Investment News, September 30, 2019.

DATA

Resampling

Christoph Bergmeir, Rob J. Hyndman, and Bonsoo Koo, “A Note on the Validity of Cross-Validation for Evaluating Autoregressive Time Series Prediction,” Computational Statistics & Data Anlaysis, 2018.

Tomas Dvorak, “Why isn’t out-of-time validation more ubiquitous? Train, validate and test partitions for out-of-time performance take planning and thought,” Feb 11, 2019

Jesse Edgerton, Dan Weitzenfeld, “Machine learning for macro: What you need to know,” J.P. Morgan Economic Research, October 30th, 2018 .

Matthias Schnaubelt, “A Comparison of Machine Learning Model Validation Schemes for Non-Stationary Time Series Data,” 2019.

Synthetic Data

Po-Hsuan Hsu, Qiheng Han, Wensheng Wu, and Zhiguang Cao, “Asset Allocation Strategies, Data Snooping, and the 1/N Rule,” Journal of Banking & Finance, 2018.

Monte Carlo

Averill M. Law and W. David Kelton, “Simulation Modelling and Analysis,” McGraw-Hill, 2000.

OPERATION & BIAS

Jerzy Neyman and Egon Sharpe Pearson, “IX. On the problem of the most efficient tests of statistical hypotheses,” Philosophical Transactions of the Royal Society, 1933.

Oliver Sarfati, “Backtesting: A practitioner’s guide to assessing strategies and avoiding pitfalls.” Citi Equity Derivatives, 2015.

VALIDATION AND HYPERPARAMETERIZATION

Validation

Hyperparameterization

James Bergstra and Yoshua Bengio, “Random Search for Hyper-Parameter Optimization,” Journal of Machine Learning Research, February 2012.

Peter Nystrup, Erik Lindstrom, and Henrik Madsen, “Hyperparameter Optimization for Portfolio Selection,” 2020.

EVALUATING STRATEGIES

CHAPTER 16: IMPLEMENTING THE BACKTEST

Sugato Chakravarty and Asani Sarkar, “Trading costs in three U.S. bond markets,” The Journal of Fixed Income, June 2003.

Amy K. Edwards, Lawrence E. Harris and Michael S. Piwowar, “Corporate Bond Market Transaction Costs and Transparency,” Journal of Finance, 2007. https://www.jstor.org/stable/4622305?seq=1#metadata_info_tab_contents

Andrew Ferraris, “Equity Market Impact Models,” Deutsche Bank AG, December 4th, 2008.

P. Schultz, “Corporate Bond Trading Costs: A Peek Behind the Curtain,” Jurnal of FInance, 2001.

Ofir Gefen, “An Introduction to Measuring Trading Costs,” ITG 2011.

Uncertainty

Michael Aked, “The Dirty Little Secret of Passive Investing,” Research Affiliates, January 2016.

Honghui Chen, Gregory Noronha, Vijay Singal, “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation, The Journal of Finance, 2004. https://www.jstor.org/stable/3694882

Syed K. Zaidi, Rathan S. Rathinasamy, “What Explains Price Response to Russell 2000 Index Additions and Deletions?,” The Journal of Theoretical Accounting Research, 2021, https://www.jstor.org/stable/3694882

Diane Scott Docking and Richard J. Dowen, “Evidence on Stock Price Effects Associated with Changes in the S&P 600 SmallCap Index,” Quarterly Journal of Business and Economics, 2006. https://www.jstor.org/stable/40473416 4

Honghui Chen, Gregory Noronha and Vijay Singal, “Index Changes and Losses to Index Fund Investors,” Financial Analysts Journal, 2006. https://www.jstor.org/stable/4480758

Wen-tse Hsu, “The Analysis of Co-movement and Liquidity-Evidence in Adjustment of MSCI Taiwan Index,”

Honghui Chen, Vijay, Singal, and Robert F. Whitelaw, “Comovement Revisited,” The Journal of Fianncial Economics, September 2016, https://www-sciencedirect-com.ezproxy.cul.columbia.edu/science/article/pii/S0304405X16300988

Nan Qin and Vijay Singal, “Indexing and Stock Price Efficiency,” Financial Management, WInter 2015. https://www.jstor.org/stable/24736544.

Transaction Costs

Michaely K. R. Ellis and M. O’Hara, “The accuracy of trade classification rules: Evidence from Nasdaq.,”Journal of Financial and Quantitative Analysis, 2000. http://refhub.elsevier.com/S0377-2217(13)00889-8/h0190

C. M. C. Lee and M. J. Ready, “Inferring trade direction from intraday data,” Journal of Finance, 1991. http://refhub.elsevier.com/S0377-2217(13)00889-8/h0380

TRANSACTION COSTS AND FEES

Fees (Pay for Service)

Susan E. K. Christoffersen, “Why Do Money Fund Managers Voluntarily Waive Their Fees?” The Journal of Finance, June, 2001, Vol. 56, No. 3.

J. Carpenter, J. “Does Option Compensation Increase Managerial Risk Appetite?”, Journal of Finance, 2000.

Marco Cipriani, Antoine Martin, Patrick McCabe, and Bruno M. Parigi, “Gates, Fees, and Preemptive Runs,” Federal Reserve Bank of New York Staff Report No. 670, April 2014 .

S. Das and R. Sundaram, “Fee Speech: Adverse Selection and the Regulation of Mutual Funds”, 1999.

M. Grinblatt, and S. Titman, “Adverse Risk Incentives and the Design of Performance-Based Contracts,” Management Science, 1989.

R. Grinold, and R. Kahn, “The Efficiency Gains of Long-Short Investing”, Financial Analysts Journal, 2000.

Angus Peters, “Fidelity International outlines sliding management fee scale,” Financial Times, November 29, 2017.

David Kirkman, “Fee Adjustments in StyleADVISOR,” December 5, 2014.

W. F. Sharpe, “The Arithmetic of Active Management”, Financial Analysts Journal, 1991.

Vladimir de Vassal, “Investment Strategies for Taxable Clients,” Glenmede Investment Management, .

Option-Like Payouts

J. Carpenter, “Does option compensation increase managerial appetite?” Journal of Finance, 2000.

Value-at-Risk (VaR)

S. Basak, A. and Shapiro, “Value‐at‐Risk based risk management: Optimal policies and asset prices,” Review of Financial Studies, 2001.

–,Hedge Fund Fees, Hedge Fund Marketing Association.

E.J. Elton, M.J. Gruber, and C.R. Blake, “Incentive fees and mutual funds,” Journal of Finance, 2003.J.E.

Hodder and J.C. Jackwerth, “Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure,” 2003 C.

Y. Li and H. Kazemi, “Conditional properties of hedge funds: evidence from daily returns,” 2007.

David Kirkman, “Fee Adjustments in StyleADVISOR,” December 5, 2014.

L.R. McFall, “Asymmetric returns and optimal hedge fund portfolios,” Journal of Alternative Investments 6, Fall 2003.

Investment Costs (Before Order)

Trading Costs (Execution)

M. Benzaquen, I. Mastromatteo, Z. Eisler, J.-P. Bouchaud, “Dissecting cross-impact on stock markets: An empirical analysis,”, 2016.

Louis K. Chan and Joseph Lakonishok, “Institutional trades and intraday stock price behavior,” Journal of Financial Economics, 1993.

Zhiwu Chen, Roger G. Ibbotson, Wendy Hu, “Liquidity as an Investment Style,” September 15, 2010..

Robert F. Engle and Robert Ferstenberg, “Execution Risk,” Journal of Portfolio Management, 2007.

Mark D. Griffiths, Brian F. Smith, D.Alasdair S. Turnbull, and Robert W. White, “The Costs and Determinants of Order Aggressivenes,” February 2000.

Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder Garg, “Transaction Costs of Factor-Investing Strategies,” Financial Analysts Journal, 2019.

James H. Gilkeson and Stephen D. Smith, Convexity Trap: Pitfalls in Financing Mortgage Portfolios and Related Securities, November 1992.

Lawrence Harris and Venkatesh Panchapagesan, “The information content of the limit order book: Evidence from NYSE specialist trading decisions,” Journal of Financial Markets, 2005.

Brian F. Smith, D. Alasdair S. Turnbull, and Robert W. White, “Upstairs market for principal and agency trades: Analysis of adverse information and price effects,” Journal of Finance, 2001.

Bid-Ask Spread

Lawrence E. Harris and Venkatesh Panchapagesan, “The information content of the limit order book: evidence from NYSE specialist trading decisions,” Journal of Financial Markets, 2005.

Fundamental Law of Active Management

trading desks: An analysis of persistence in trading costs. Review of Financial Studies, 25(2), 557-598. Anand, A., Irvine, P., Puckett, A., & Venkataraman, K. (2013). Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. Journal of Financial Economics, 108(3), 773-797. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68(3), 929-985. Back, K., Cao, C. H., & Willard, G. A. (2000). Imperfect competition among informed traders. Journal of Finance, 55(5), 2117-2155.

Working Paper, Ohio State University. Berk, J. B., & Van Binsbergen, J. H. (2015). Measuring skill in the mutual fund industry. Journal of Financial Economics, 118(1), 1-20. Bernard, V. L., & Thomas, J. K. (1989). Post-earnings-announcement drift: delayed price response or risk premium?. Journal of Accounting Research, 1-36. Bernhardt, D., & Miao, J. (2004). Informed trading when information becomes stale. Journal of Finance, 59(1), 339-390. Boehmer, E., Jones, C. M., & Zhang, X. (2008). Which shorts are informed? Journal of Finance, 63(2), 491-527. Bradley, D., Clarke, J., Lee, S., & Ornthanalai, C. (2014). Are analysts’ recommendations informative? Intraday evidence on the impact of time stamp delays. Journal of Finance, 69(2), 645-673. Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, 49(3), 345-373. Busse, J. A., Green, T. C., & Jegadeesh, N. (2012). Buy-side trades and sell-side recommendations: Interactions and information content. Journal of Financial Markets, 15(2), 207-232. Campbell, J. Y., Ramadorai, T., & Schwartz, A. (2009). Caught on tape: Institutional trading, stock returns, and earnings announcements. Journal of Financial Economics, 92(1), 66-91. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82. Chan, L. K., & Lakonishok, J. (1993). Institutional trades and intraday stock price behavior. Journal of Financial Economics, 33(2), 173-199. Chan, L. K., & Lakonishok, J. (1995). The behavior of stock prices around institutional trades. Journal of Finance, 50(4), 1147-1174. Chen, Y., Da, Z., & Huang, D. (2015). Arbitrage Trading: The Long and the Short of It. Working Paper. Chen, H. L., Jegadeesh, N., & Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(03), 343-368. Chevalier, J., & Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200. Chiyachantana, C. N., Jain, P. K., Jiang, C., & Wood, R. A. (2004). International evidence on institutional trading behavior and price impact. Journal of Finance, 59(2), 869-898..

Measuring Fees and Costs

The Market Model (Prospective)

R. Almgren, C. Thum, E. Hauptmann, and H. Li, “Direct Estimation of Equity Market Impact. Risk, 18: 57-62, 2005.

J. M. Bacidore, H. Otero, and A.Vasa, “Does Smart Routing Matter?”, The Journal of Trading,” Winter 2011.

V. Bacoyannis, V. Glukhov, T. Jin, J. Kochems and D. R. Song, “Id- iosyncrasies and challenges of data driven learning in electronic trading,” .

H. Bessembinder and K. Venkataraman “Bid-ask spreads: measuring trade execution costs in financial markets, 2008.

S. Brooks, A. Gelman, G. L. Jones and X. Meng, “Handbook of Markov Chain Monte Carlo”, Chapman and Hallm CRC, 2011.

J.P. Bouchaud, “Price Impact,” Wiley, 2010.

J.P. Bouchaud, Y. Gefen, M. Potters, and M. Wyart, “Fluctuations and response in financial markets: the subtle nature of `random’ price changes,” Quantitative Finance, 2004.

R.F. Engle, , R. Ferstenberg, J.R. Russell, R. Jeffrey, “Measuring and Modeling Execution Cost and Risk” , 2008.

Andrew Ferraris, Equity Market Impact Models , Deutsche Bank AG, December 4th, 2008

j. Gatheral, “No-dynamic-arbitrage and market impact,” Quantitative Finance, 2010.

B. Hagstromer, “Bias in the effective bid-ask spread,” Journal of Financial Economics, 2020.

Petter N. Kolm, “60 Years of portfolio optimization,” .

M. D. Hoffman and A. Gelman, “The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo”, .

G. Huberman and W. Stanzl, “Price manipulation and quasiarbitrage,” Econometrica, 2004.

T. Kingsley and G. Kan, “VWAP can be misleading”, .

F. Lillo and J. D. Farmer, “The long memory of the effcient market,” Studies in nonlinear dynamics & econometrics. 2004.

J. Liu and K. Phadnis, “Optimal Trading Algorithm Selection and Utilization: Traders’ Consensus versus Reality”, The Journal of Trading, Fall 2013.

V. Markov, and T. Ingargiola,”Block-Crossing Networks and the Value of Natural Liquidity”, The Journal of Trading, Summer 2013.

V. Markov, S. Mazur, D. Saltz, “Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands”, The Journal of Trading, Fall 2011.

I. Mastromatteo, M. Benzaquen, Z. Eisler, and J.P. Bouchaud, “Trading lightly: Crossimpact and optimal portfolio execution,” risk.net, 2017.

A.A. Obizhaeva and J. Wang, “Optimal trading strategy and supply/demand dynamics,” Journal of Financial Markets, 2013.

P. Pasquariello and C. Vega, “Strategic cross-trading in the u.s. stock market,” Review of Finance, 2013.

V. Rashkovich and A. Verma, “Trade Cost: Handicapping on PAR”, The Journal of Trading, Fall 2012.

M. Schneider and F. Lillo, “Cross-impact and no-dynamic-arbitrage,” Quantitative Finance, 2019.

S. Wang. and T. Guhr, “Microscopic understanding of cross-responses between stocks: a two-component price impact model,” 2017.

S. Wang, R. Schafer, and T. Guhr, “Average cross-responses in correlated financial markets,” The European Physical Journal, 2016.

E. Zarinelli, M. Treccani, J. D. Farmer, and F. Lillo, “Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate,” 2014.

The Execution Model (Action)

The Broker Model (Retrospective)

Fee and Cost Attribution

EXECUTION STRATEGIES

REBALANCING AND WITHDRAWAL STRATEGIES

Treasury and Other Highly Regulated Operations

–, European Central Bank, “Financial Stability Review,” European Central Bank, December, 2007.

–, “Don’t Let Your Portfolio Drift Off Course]

Gobind Daryanani, “Opportunistic Rebalancing: A New Paradigm for Wealth Managers,” Fifth Third Bank.

Ken Faulkenberry, “Portfolio Rebalancing and Weighting Strategies,” Arbor Investments.

Christoph Gort and E. Burgener, “Rebalancing Using Options,” 2014.

Mark Kritzman, Sebastien Page, David Turkington, “In Defense of Optimization: The Fallacy of 1/N,” Financial Analysts Journal, March/April 2000.

Erich L. Lehmann and George Casella , Theory of Point Estimation, 2nd Edition, Springer, 1998.

Tobias J. Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen “Time Series Momentum,” 2012.

Hagen Wittig, “Essays on Asset and Portfolio Management: Rethinking Portfolio Rebalancing,” 2015.

BDO, “IFRS in Practice 2019: IFRS 9 Financial Instruments,”

Bramasol, “Overview of IFRS 9 and the New Impairment Model.”

Eric Leman, “implementing the IFRS 9’s Expected Loss Impairment Model: Challenges and Opportunities,” Moody’s Analytics Risk Perspectives, Risk Data Management, Volume V, May 2015.

Marco Gross, Dimitrios Laliotis, Mindaugas Leika, and Pavel Lukyantsau, “Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective,” IMF Working Paper WP/20/111

Stuart Kozola, “CECL and IFRS 9 Modeling in MATLAB: Measuring Lifetime Expected Credit Losses,” MathWorks, 2018.

“Transition to IFRS: Are you prepared to take advantage of opportunities?”

TAX STRATEGIES

Shomesh E. Chaudhuri, Terence C. Burnham & Andrew W. Lo “An Empirical Evaluation of Tax-Loss-Harvesting Alpha,” Financial Analysts Journal, 2020.

Lisa Goldberg, “The Tax-Loss Harvesting Life Cycle, A 43-Year Retrospective of Equity Indexing Strategies for Taxable Investors,” 2017.

Paul Unchalipongse and Jonathan Liu, “Best Time For Harvesting Tax Losses?” Columbia Threadneedle, July 2016..

Anton G. Anastasov, “Tax-Efficient Asset Management Via Loss Harvesting,” June 2017

“Wealthfront Tax Loss Harvesting White Paper – A Case Study In How Not To Calculate Tax Alpha,” Bud Fox Blog, February 10th, 2014

Andrew L. Berkin & Jia Ye (2003) “Tax Management, Loss Harvesting, and HIFO Accounting,” Financial Analysts Journal, 59:4, 91-102, DOI: 10.2469/faj.v59.n4.2548

Shomesh E. Chaudhuri, Terence C. Burnham & Andrew W. Lo (2020) “An Empirical Evaluation of Tax-Loss-Harvesting Alpha,” Financial Analysts Journal, 76:3, 99-108, DOI: 10.1080/0015198X.2020.1760064

Paul Unchalipongse and Jonathan Liu, “Best Time For Harvesting Tax Losses?” Columbia Threadneedle, July 2016

David Waugh, “When Tax Alpha Is Negative,” Neuberger Berman, Systematically Speaking, August 18, 2020

“Rebalancing and Tax-Loss Harvesting: How the Algorithm Works,” Schwab Performance Technologies, 2020

Paul Bouchey, “What Happens to Loss Harvesting under FIFO?” Paremetric, November 2017

“How to Deliver Tax Alpha at Scale,” Riskalyze

Larry Swedroe, “Tax-Loss Harvesting Alpha,” Seeking Alpha, August 13, 2020

Stephen M. Horan, et al. “After-tax performance measurement.” Journal of Wealth Management, vol. 11, no. 1, Summer 2008

“Wealthfront’s Stock-level Tax-Loss Harvesting,” Wealthfront, 2020

“Wealthfront Tax-LossHarvesting White Paper,” Wealthfront, 2020

Lisa Goldberg, Pete Hand, and Alan Cummings, “The Two Different Benefits of Tax-Loss Harvesting: Direct and Deferred,” Aperio, 2016

Lisa Goldberg, “The Tax-Loss Harvesting Life Cycle, A 43-Year Retrospective of Equity Indexing Strategies for Taxable Investors,” Northfield’s 29th Annual Research Conference, March 2017

Boris Khentov, “Tax Loss Harvesting+™ Methodology,” Betterment, Published Jun. 18, 2014 | Updated Oct. 01, 2020

AIMR. 2001. “AIMR Performance Presentation Standards (AIMR-PPS®),” amended and restated as the AIMR-PPS® Standards, the U.S. and Canadian version of GIPS®: www.aimr.org/ pdf/standards/aftertax_changes.pdf.

Apelfeld, Roberto, Gordon B. Fowler, Jr., and James P. Gordon, Jr. 1996. “Tax-Aware Equity Investing.” Journal of Portfolio Management, vol. 22, no. 2 (Winter):18–28.

Arnott, Robert D., Andrew L. Berkin, and Jia Ye. 2000. “How Well Have Taxable Investors Been Served in the 1980’s and 1990’s?” Journal of Portfolio Management, vol. 26, no. 4 (Summer):84–94.

———. 2001a. “The Management and Mismanagement of Taxable Assets.” Journal of Investing, vol. 10, no. 1 (Spring):15–21.

———. 2001b. “Loss Harvesting: What’s It Worth to the Taxable Investor?” Journal of Wealth Management, vol. 3, no. 4 (Spring):10–18.

Arnott, Robert D., and Peter L. Bernstein. 2002. “What Risk Premium Is ‘Normal’?” Financial Analysts Journal, vol. 58, no. 2 (March/April):64–85.

Arnott, Robert D., and Ronald Ryan. 2001. “The Death of the Risk Premium: Consequences of the 1990s.” Journal of Portfolio Management, vol. 27, no. 3 (Spring):61–74.

Brunel, Jean. 1997. “The Upside-Down World of Tax-Aware Investing.” Trusts and Estates (February):34–42.

———. 2000. “An Approach to After-Tax Performance Benchmarking.” Journal of Wealth Management, vol. 3, no. 3 (Winter):61–67.

Chincarini, Ludwig, and Daehwan Kim. 2001. “The Advantages of Tax-Managed Investing.” Journal of Portfolio Management, vol. 28, no. 1 (Fall):56–72.

Credit Suisse First Boston. 2002. “Index Watch” (14 January).

Dickson, Joel M., and John B. Shoven. 1993. “Ranking Mutual Funds on an After-Tax Basis.” National Bureau of Economic Research (NBER) Working Paper No. 4393.

———. 1994. “A Stock Index Mutual Fund without Net Capital Gains Realizations.” NBER working paper (April).

Jeffrey, Robert H., and Robert D. Arnott. 1993. “Is Your Alpha Big Enough to Cover Its Taxes?” Journal of Portfolio Management, vol. 19, no. 3 (Spring):15–25.

Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, vol. 48, no. 1 (March):65–91.

Minck, Jeffrey L. 1998. “Tax-Adjusted Equity Benchmarks.” Journal of Private Portfolio Management (Summer):41–50.

Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, vol. 19, no. 3 (September):425–442.

Stein, David M. 1998. “Measuring and Evaluating Portfolio Performance after Taxes.” Journal of Portfolio Management, vol. 25, no. 2 (Winter):117–124.

Stein, David M., and Premkumar Narasimhan. 1999. “Of Passive and Active Equity Portfolios in the Presence of Taxes.” Journal of Private Portfolio Management, vol. 2, no. 2 (Fall):55–63.

U.S. SEC. 2001. “Disclosure of Mutual Fund After-Tax Returns,” www.sec.gov/rules/final/33-7941.htm.

Arnott, R.D., A.L. Berkin, and J. Ye. 2001. “Loss Harvesting: What’s It Worth to the Taxable Investor?” Journal of Wealth Management 3 (4): 10–18.

Berkin, A.L., and C.G. Luck. 2010. “Having Your Cake and Eating It Too: The Before- and After-Tax Efficiencies of an Extended Equity Mandate.” Financial Analysts Journal 66 (4): 33–45.

Berkin, A.L., and J. Ye. 2003. “Tax Management, Loss Harvesting, and HIFO Accounting.” Financial Analysts Journal 59 (4): 91–102.

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Farr, D.D. 2004. “The Long and Short of Tax Efficiency.”

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Andrew L. Berkin and Jia Ye, Tax management, loss harvesting, and hifo accounting, Financial Analysts Journal 59 (2003), no. 4, 91–102, available at http://dx.doi.org/10.2469/faj. v59.n4.2548.

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Stephen M. Horan and David Adler, Tax-aware investment management practice, CFA Digest 40 (2010), no. 1, 133–135, available at http://dx.doi.org/10.2469/dig.v40.n1.41.

Jeffrey E. Horvitz and Jarrod W. Wilcox, Know when to hold ’em and when to fold ’em: The value of effective taxable investment management, The Journal of Wealth Management 6 (2003), no. 2, 35–59, available at http://www.iijournals.com/doi/abs/10.3905/jwm.2003.320481.

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, Wealthfront’s tax-optimized direct indexing (2015), available at https://research. wealthfront.com/whitepapers/tax-optimized-direct-indexing/.

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Geoff Longmeier and Gordon Wotherspoon, The value of tax efficient investments: An analysis of after-tax mutual fund and index returns, The Journal of Wealth Management 9 (2006), no. 2, 46–53, available at http://www.iijournals.com/doi/abs/10.3905/jwm.2006.644218.

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Sandhya Krishnamurthy, “Modelling the Taxlot Matching Process in N1QL,” Couchbase, July 22nd, 2016.

Tax-Loss Harvesting

Lisa R. Goldberg, Pete Hand, and Taotao Cai, “Tax-Managed Factor Strategies.” Financial Analysts Journal, 2019. https://doi.org/doi:10.1080/0015198X.2019.1567191

Zoran Ivkovic, James Poterba, and Scott Weisbenner, “Tax-Motivated Trading by Individual Investors.” American Economic Review, 2005. https://doi.org/doi:10.1257/000282805775014461

Jean-Michel Maeso. Lionel Martellini, and Riccardo Rebonato, “Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management,” The Journal of Portfolio Management, Vol. 46, Issue 3, Ethical Investing 2020. https://jpm.pm-research.com/content/46/2/121

Rey Santodomingo, Vassili Nemtchinov, and Tianchuan Li, “Tax Management of Factor-Based Portfolios,” Journal of Index Investing, 2016. https://doi.org/doi:10.3905/jii.2016.7.2.078

CASE STUDY: REBALANCING STRATEGY

CASE STUDY: TAX-LOSS HARVESTING ALPHA AND DECAY

PART 3: WORKING YOUR PLAN

CHAPTER 19: PERFORMANCE AND RISK MEASURMENT

Emilian Belev and Richard B. Gold, “Replicating Expected Commercial Real Estate Performance Using Liquid Market Instruments,” Northfield, Newsletter, September 2018.

Robin Hogarth, “Educating Intuition: A Challenge for the 21st Century,” Centre de Recerca en Economia Internacional, Universitat Pompeu Fabra, 2003.

Marcus Gustavsson, Daniel Levén, and Hans Sjögren, “The timing of the popping: using the log-periodic power law model to predict the bursting of bubbles on financial markets,” Cambridge University Press, 2016.

Kahneman, Daniel. Thinking, Fast and Slow. New York: Farrar, Straus and Giroux, 2011.

Gary A. Klein, Sources of Power: How People Make Decisions, 1997.

Frank Knight, “Risk, Uncertainty, and Profit,” Hart, Schaffner and Marx; Houghton Mifflin, 1921.

Paul E. Meehl, “Clinical Versus Statistical Prediction: A Theoretical Analysis and a Review of the Evidence,” 1954.

D. Sornette, P. Cauwels, “Financial bubbles: mechanisms and diagnostics”. Review of Behavioral Economics, 2015.

MEASUREMENT (STATISTICS)

ABSOLUTE SYMMETRIC MEASURES

ASYMMETRIC MEASURES

RELATIVE MEASURES

MEASUREMENT

Klakow Akepanidtaworn, Rick Di Mascio, Alex Imas, and Lawrence Schmidt, “Selling Fast and Buying SLow: Heuristics and Trading Perfomrance of Institutional Investors,” NBER Working Paper Series, July 2021.

Brad M. Barber, Terrance Odean, and Lu Zheng, “The Behavior of Mutual Fund Investors,” September 20, 2000.

Sayan Chaudhry and Chinmay Kulkarni, “Design Patterns of Investing Apps and Their Effects on Investing Behaviours,” Designing Interactive Systems Conference 2021, June 2021.

Felix Fritz, Trading Heuristics in Financial Markets: Technical Analysis and Round Number Effects,” PhD. Dissertation, Karlsruher Institut fur Technologie, December 2017.

Terrence Hendershott, Albert J. Menkveld, Remy Praz, and Mark Seasholes, “Asset Pirce Dynamics with Limited Attention,” The Review of Financial Studies, 2022.

Habib Hussain Kahn, Iram Naz, Fiza Qureshi, and Abdul Ghafoor, “Heuristics and Stock Buying Decision: Evidence from Malaysian and Pakistani Stock Markets,” Borsa Istanbul Review, 2017.

Maximilian Koestner, Steffen Meyer, and Andreas Hackethal, “Do Individual Inestors Learn from Their Mistakes?,” August 2, 2012.

Moran Ofir, Zvi Wiener, and Yevgeny Mugerman, “Heuristics and Biases in the Israeli Mortgage Market: Where Do Investors’ Biases Come From?,” December 2016.

Remo Pareschi and Federico Zappone, “Integrating Heuristics and Learning in a Computational Architecture for Cognative Trading,” August 27, 2021.

Tim Plamer, The ECMWF Ensemble Prediction System: Looking Back (More Than) 25 Years and Porjecting Forward 25 years,” Quarterly Journal of The Royal Meteorological Society, September 30, 2018.

Tim Plamer, “A Vision for Numerical Weather Prediction in 2030,” June 11 2020.

Julia Slingo and Tim Plamer, Uncertainty in Weather and Climate Prediction,” Philosophical Transactions of the Royal Soicety A, 2011.

DECOMPOSITION

Klakow Akepanidtaworn, Rick Di Mascio, Alex Imas, and Lawrence Schmidt, “Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors,” December 2018

Debarshi Basu, Michael Gates, Vishal Karir, and Andrew Ang, “Model Portfolios” .

Carl R. Bacon, “Practical Portfolio Performance Measurement and Attribution,” 2nd Ed., John Wiley & Sons, 2008.

Breiman L., Friedman J.H., Olshen R.A. and Stone C.J., “Classification and Regression Trees,” Chapman & Hall/CRC, 1984.

Brinson Gary P. and Fachler N., “Measuring Non-US Equity Portfolio Performance,” Journal of Portfolio Management, Spring 1985.

Gobind Daryanani, “Opportunistic Rebalancing: A New Paradigm for Wealth Managers,” Journal of Financial Planning, January 2008.

Lev Dynkin, Vadim Konstantinovsky, and Bruce Phelps, “Tradable Proxy Portfolios for an MBS Index,” Journal of Fixed Income 11 (2001), pp. 70– 87.

Frank J. Fabozzi, Steven V. Mann, Francesco Fabozzi, “The Handbook of Fixed Income Securities,” 9th Edition, McGraw-Hill Education, Jul 5, 2021.

Eugene Fama, Peter O. Dietz and Jeannette R. Kirschman, “Evaluating Portfolio Performance,” 1972.

Frongello, “Linking Single Period Attribution Results,” Journal of Performance Measurement, Spring 2002.

William Hooke, The Signal and the Noise, January 26, 2017.

J.G. Menchero, “Multiperiod Arithmetic Attribution,” 2004.

J.G. Menchero, “Optimized Geometric Attribution,” Financial Analysts Journal, 2005.

Yang Liu, Jose Menchero, D. J. Orr, Jun Wang, The Barra US Equity Model (USE4), Empirical Notes, September 2011.

Kwok-Yuen Ng, and Bruce Phelps, “Capturing the Credit Spread Premium,” Financial Analysts Journal 67(3), 2011, pp. 63–75.

Russ Wermers, “Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transaction Costs, and Expenses,” The Journal of Finance, August 2000.

RELATIVE MEASURES

D. Gardner, D. Bowie, M. Brooks and M. Cumberworth “Predicted TEs: Fact or Fantasy”, Working Paper, Faculty and Institute of Actuaries, 2000.

E. Fishwick, “Unexpectedly Large or Frequent Extreme Returns in Active TE Portfolios”, Franklin Portfolio Associates, 1999.S. Hartmann, “Laying the Foundations”, ABN AMRO Research Paper, January, 2002.

C. Lawton, “An Alternative Calculation of TE”, Journal of Asset Management, 2001.

R. Michaud, “The Markowitz Optimization Enigma: Is Optimized Optimal?”, Financial Analysts Journal, 1989.

S. Satchell and J. MacQueen, “Why Forecast TE Seem Sometimes Inconsistent with Actual Performance”, Working Paper, Alpha Strategies Ltd., 1998.

M. Wang, “Multiple-Benchmark and Multiple Portfolio Optimization”, Financial Analysts Journal, 1999.

RISK-ADJUSTED PERFORMANCE

UTILITY

“The Morningstar RatingTM for Funds,” Morningstar Methodology, August 2021.

STRESS AND SENSITIVITY

DECOMPOSITION AND ATTRIBUTIONS

PERFORMANCE EVALUATION

CHAPTER 20: INVESTMENT, RISK. AND CASH MANAGEMENT: IMPROVING YOUR PROCESS

R.M. Stulz, “Why risk management is not rocket science,” Financial Times, Series 10, June 27th, 2000.

Stefan Jansen, Machine Learning for Algorithmic Trading, 2018.

Pulkit Sharma, The Ultimate Guide to 12 Dimensionality Reduction Techniques (with Python codes), August 27, 2018.

Guyon, Isabell, and André Elisseeff. “An Introduction to Variable and Feature Selection.” Journal of Machine Learning Research Special Issue on Variable and Feature Selection 3 (2003.

Markus M. Breunig, Hans-Peter Kriegel, Raymond T., “OPTICS-OF: Identifying Local Outliers, Ng1”, Jörg Sander Institute for Computer Science, University of Munich in Proceedings of the 3rd European Conference on Principles and Practice of Knowledge Discovery in Databases (PKDD’99), Prague, September 1999.

Ryan Prescott Adams, David J.C. MacKay, Bayesian Online Changepoint Detection, Oct 2007

The people I study are humans that are closer to Homer Simpson. —Richard Thaler.

Bektic, D., Wenzler, J.S., Wegener, M., Schiereck, D., and Spielmann, T. (2019) Extending Fama-French Factors to Corporate Bond Markets, Journal of Portfolio Management, 45(3), pp. 141-158.

Bektic, D., Neugebauer, U., Wegener, M. and Wenzler, J.S. (2017) Common Equity Factors in Corporate Bond Markets, in Jurczenko, E. (Ed.), Factor Investing and Alternative Risk Premia, ISTE Press-Elsevier.

Ben Slimane, M., De Jong, M., Dumas, J-M., Fredj, H., Sekine, T., and Srb, M. (2019) Traditional and Alternative Factors in Investment Grade Corporate Bond Investing, Amundi Working Paper, 78, www.research-center.amundi.com

Cazalet, Z., and Roncalli, T. (2014) Facts and Fantasies About Factor Investing, SSRN, www.ssrn.com/abstract=252454

Houweling, P., and Van Zundert, J. (2017) Factor Investing in the Corporate Bond Market, Financial Analysts Journal, 73(2), pp. 100-115.

Israel, R., Palhares, D., and Richardson, S.A. (2018) Common Factors in Corporate Bond and Bond Fund Returns, Journal of Investment Management, 16(2), pp. 17-46

Koijen, R.S.J., Moskowitz, T.J., Pedersen, L.H., and Vrugt, E.B. (2018) Carry, Journal of Financial Economics, 127(2), pp. 197-225.

Olson, Investment Committee Handbook.

Marco Cipriani Gabriele La Spada, “Sophisticated and Unsophisticated Runs,” Federal Reserve Bank of New York, Staff Report No. 956, December 2020.

Partners Capital Stan Miranda July 2013

Henry Mintzberg The Rise and Fall of Strategic Planning, 1994.

“The Strategic Plan Is Dead. Long Live Strategy,” SSIR, 2013.

2002, Ronald Heifetz (adaptive problems)

John Kotter, “Accelerate!,” Harvard business Review, 2012.

A.G. Laffey and Roger Martin, “Playing to Win: How Strategy Really Works,”

2014 Bridgespan Group Nonprofit Management and Trends Report.

Sam Potter, Elaine Chen, Denitsa Tsekova, and Emily Graffeo,“Cathie Wood’s True Believers Are Sticking With Her,” Bloomberg Businessweek, February 2, 2022. https://www.bloomberg.com/Fnew/articles/2022-02-02/Fcathie-wood-s-true-believers-are-sticking-with-ark-despite-stock-investment-woes

HEURISTICS

M.S. Ackerman, ed. “Sharing expertise beyond knowledge management,” MIT Press., 2003.

Brad M. Barber And Terrance Odean, “Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” The Journal Of Finance • Vol. LV, No. 2, April, 2000.

Frank J. Fabozzi, Sergio M. Focardi, and K.C. Ma, Implementable Quantitative Equity Research,” in “Equity Valuation and Portfolio Management,” edited by Frank J. Fabozzi and Harry. M. Markowitz, John Wiley & Sons, 2011.

Hirshleifer, D. (2001). Investor psychology and asset pricing. Journal of Finance, 56(4), 1533– 1597..

G.L. Iverson, B.L. Brooks, J.A. Holdnack, “Misdiagnosis of Cognitive Impairment in Forensic Neuropsychology,” . in Heilbronner, 2008.

Daniel Kahneman and Mark Riepe, “Aspects of Investor Psychology,” The Journal of Portfolio Management, 24th, 1998.

Stephen I. Kramer, “Neuropsychology in the Courtroom: Expert Analysis of Reports and Testimony,” Journal of the American Academy of Psychiatry and the Law, March 2009.

Franco Modigliani and Merton Miller, “The Cost of Capital, Corporation Finance and the Theory of Investment,” American Economic Review 48, 1958.

Hersh Shefrin and Meir Statman, “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence,” Journal of Finance 40, 1985.

Nassim Taleb, “Fooled by Randomness”.

Y. Zhang, M. Lewis, M. Pellon, and P. Coleman, “A Preliminary Research on Modeling Cognitive Agents for Social Environments in Multi-Agent Systems,” 2007.

Lucca e Paoli and Tasos Vossos, Credit Suisse Woes Sink Catastrophe Bonds Tied to Bank’s Risks,” August 11, 2021

Matt Levine, “Creidt Suisse’s Oopsie Bonds Go Down,” August 12, 2021.

Matt Levine, “Hedge Fund Managers Are Expensive,” February, 7, 2022.

Matt Levine, “Marvel at The Derivative on Its Derivatives That Credit Suisse Wrote to Iteslf,” April 25th, 2012.

World Bank, “World Bank Launches First-Ever Pandemic Bonds to Support $500 Million Pandemic Emergency Financing Facility,” June 28, 2017.

Quantitative Asset Management

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Endnotes

8

CHAPTER 8: FINANCIAL AND ECONOMIC FEATURES

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Quantitative Asset Management

Endnotes

8

CHAPTER 8: FINANCIAL AND ECONOMIC FEATURES