References
Amenc, N. and Martellini, L. (2003) Desperately seeking pure style indices. Working Paper, EDHEC Risk and Asset Management Research Centre.
Amenc, N., Sfeir, D. and Martellini, L. (2003) An integrated framework for style analysis and performance measurement, Journal of Performance Measurement, 7(4), 35–41.
Anson, M. (2008) The beta continuum: From classic beta to bulk beta. Journal of Portfolio Management, 34(2), 53–64.
Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. (1999) Coherent measures of risk. Mathematical Finance, 3(9), 203–228.
Bailey, J.V. (1990) Some thoughts on performance-based fees. Financial Analysts Journal, 46(4), 31–40.
Black, F. and Litterman, R. (1992) Global portfolio optimization. Financial Analysts Journal, 48(5), 28–43.
Carhart, M.M. (1997) On persistence in mutual fund performance. Journal of Finance, 52(1), 57–82.
Castillo, E. and Hadi, A. (1997) Fitting the generalised Pareto distribution to data. Journal of the American Statistical Association, 92(440), 1609–1620.
Clarke, R.C., de Silva, H. and Thorley, S. (2009) Investing separately in alpha and beta. Research Foundation of CFA Institute.
Cornish, E.A. and Fisher, R.A. (1937) Moments and cumulants in the specification of distributions. Review of the International Statistical Institute, 5(4), 307–320.
Embrechts, P. Klüppelberg, C. and Mikosch, T. (1999) Modelling Extremal Events. Berlin: Springer-Verlag.
Fama, E. and French, K.R. (1992) The cross-section of expected stock returns. Journal ...
Get Hedge Fund Modelling and Analysis Using Excel and VBA now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
