Bibliography

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BUILDING A SUCCESSFUL PORTFOLIO OF ALTERNATIVES

Asness, Clifford S., 2004. “Alpha, Beta and Schmalpha,” The 2004 IAFE Annual Conference.

Bernstein, Peter L., 1996. Against the Gods: The Remarkable Story of Risk, New York: John Wiley & Sons.

Bernstein, Peter L., 2003. “Are Policy Portfolios Obsolete?” Economics & Portfolio Strategy (March 1).

Bernstein, Peter L., February 2005. GR Symposium “Contrarian Strategies”.

Bernstein, Peter L., 2007. Capital Ideas Evolving, Hoboken, New Jersey: John Wiley & Sons.

Best, Michael J. and Robert R. Grauer, 1991. “On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results,” The Review of Financial Studies, Vol. 4, No. 2: 315-342.

Brinson, Gary P., L. Randolph Hood, and Gilbert L. Beebower, 1986. “Determinants of Portfolio Performance.” Financial Analysts Journal, Vol. 42, No. 4 (July/August): 39–48.

Brinson, Gary P., Brian D. Singer, and Gilbert L. Beebower, 1991. “Determinants of Portfolio Performance II: An Update,” Financial Analysts Journal, Vol. 47, No. 3 (May/June): 40–48.

Busse, Jeffrey A., Amit Goyal and Sunil Wahal, 2006. “Performance Persistence in Institutional Investment Management,” EFA 2006 Zurich Meetings Paper (July).

Chopra, Vijay K. and William T. Ziemba, 1993. “The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choices,” The Journal of Portfolio Management, Vol. 19, No. 6 (Winter): 6-11.

Commonfund Institute, 2008. Commonfund Benchmark Studies: Educational Endowment Report and Foundations Report, Weston, CT: Commonfund Institute.

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

Dimson, Elroy, Paul Marsh and Mike Staunton, 2003. “Global Evidence on the Equity Risk Premium,” LBS Institute of Accounting and Finance Working Paper, No. IFA 385.

Dimson, Elroy, Paul Marsh, and Mike Staunton. 2004. “Irrational Optimism,” Financial Analysts Journal, Vol. 60, No. 1 (January/February): 15-25.

Einhorn, David, April 2004. GR Symposium “What’s Up With The Stock Market?”

Glassman, James K. and Kevin A. Hassett, 1999. Dow 36,000: The New Strategy for Profiting From the Coming Risk in the Stock Market, New York: Crown Business.

Goyal, Amit and Sunil Wahal, 2008. “The Selection and Termination of Investment Managers by Plan Sponsors,” Journal of Finance, Vol. 63, No. 4 (August): 1805-1847.

Handy, Alice, July 2007. GR Symposium “The Role of the Chief Investment Officer”.

Hunt, Lacy H. and David M. Hoisington 2003. “Estimating the Stock/Bond Risk Premium: An Alternative Approach,” The Journal of Portfolio Management, Vol. 29, No. 2 (Winter): 28-34.

Hutton, Lyn, 2007. “Managed Beta, Unconstrained Alpha: Better Controls for Your Portfolio,” Mission Matters (Fall 2006/Winter 2007): 8-35.

Ibbotson, Roger G. and Paul D. Kaplan, 2000. “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal, Vol. 56, No.1 (January/February): 26-33.

Ilmanen, Antti, 2003. “Expected Returns on Stocks and Bonds,” The Journal of Portfolio Management, Vol. 29, No. 2 (Winter): 7-27.

Jorion, Philippe and William N. Goetzmann, 1996. “A Century of Global Stock Markets,” Yale School of Management Working Paper, No. F-55.

Krishnamurthi, Sudhir, April 2002. GR Symposium “The Management of Risk: Best Practices”.

Raymond, Donald M., 2008. “Paying (Only) for Skill (Alpha) - A Practical Approach,” CFA Conference Proceedings Quarterly (June): 51-59. Shiller, Robert J., 2000. Irrational Exuberance, Princeton: Princeton University Press.

Siegel, Laurence B., 1997. “Are Stocks Risky? Two Lessons,” Journal of Portfolio Management, (Spring): 29-34.

Swensen, David F., 2000. Pioneering Portfolio Management: An Unconventional Approach to Institutional Investing, New York: The Free Press.

Swensen, David F., 2005. Unconventional Success: A Fundamental Approach to Personal Investment, New York: The Free Press.

Tropin, Ken, November 2003. GR Symposium “Systematic Trading Strategies in Managed Futures”.

Wien, Byron, September 2006. GR Symposium “Asset Allocation for 2007: Managing the Risks, Charting the Opportunities”.

 

PUTTING IT ALL TOGETHER: THE POLICY PORTFOLIO

Arnott, Robert D. (2004). “Managing Assets in a World of Higher Volatility and Lower Returns.” CFA Institute Conference Proceedings, “Points of Inflection: New Directions for Portfolio Management” (July): 39-52.

Arnott, Robert D. and Clifford S. Asness (2003). “Surprise! Higher Dividends = Higher Earnings Growth”, Financial Analysts Journal, Vol. 59, No. 1: 70-87.

Bernstein, Peter L. November 2007. GR Symposium “Contemporary Perspectives in Investment Policy”.

Bhinsali, Vineer and Mark B. Wise, 2001. “Forecasting Portfolio Risk in Normal and Stressed Markets,” Working Paper.

Chopra, Vijay K. and William T. Ziemba (1993). “The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choices,” The Journal of Portfolio Management, Vol. 19, Issue 2 (Winter): 6-11.

Dimson, Elroy, Paul Marsh and Mike Staunton (2001). Triumph of the Optimists: 101 Years of Global Investment Returns. Princeton, New Jersey: Princeton University Press.

Ellis, Charley,  November 2007. GR Symposium “Contemporary Perspectives in Investment Policy”.

Fama, Eugene F.; French, Kenneth R. (1993). “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, No. 1: 3–56.

Fama, Eugene F.; French, Kenneth R. (1992). “The Cross-section of Expected Stock Returns”. Journal of Finance, Vol. 47, No. 2: 427–465.

Ibbotson, Roger G. and Chen, Peng (2006). “The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs,” Yale ICF Working Paper No. 06-10.

Lewis, Michael (1999). “How the Eggheads Cracked,” The New York Times Magazine, January 24.

Lintner, John (1965). “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets,” Review of Economics and Statistics, Vol. 47, No. 1: 13-37.

Mitchell, Mark L. and Pulvino, Todd C. (2001). “Characteristics of Risk and Return in Risk Arbitrage.” Forthcoming in Journal of Finance.

Mossin, Jan. (1966). “Equilibrium in a Capital Asset Market,” Econometrica, Vol. 34, No. 4: 768-783.

Sharpe, William F. (1964). “Capital asset prices: A theory of market equilibrium under conditions of risk”, Journal of Finance, Vol. 19, No. 3: 425-442.

Singer, Brian D. and Kevin Terhaar (1997). “Economic Foundations of Capital Market Returns,” Research Foundation of the Institute of Chartered Financial Analysts.

Terhaar, Kevin, Renato Staub, and Brian Singer (2003). “Appropriate Policy Allocation for Alternative Investments,” The Journal of Portfolio Management, Spring: 101-110.

Treynor, Jack L. (1961). “Market Value, Time, and Risk.” Unpublished manuscript.

Treynor, Jack L. (1962). “Toward a Theory of Market Value of Risky Assets.” Unpublished manuscript. A final version was published in 1999, in Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. Robert A. Korajczyk (editor) London: Risk Books, pp. 15-22.

 

CONSTRUCTING A SUCCESSFUL HEDGE FUND PORTFOLIO

Asness, Clifford, Robert Krail and John Liew, 2001. “Do Hedge Funds Hedge?” The Journal of Portfolio Management, Vol. 28, No. 1: 6-19.

Berger, Adam L., 2008. “Is Alpha Just Beta Waiting To Be Discovered? What the Rise of Hedge Fund Beta Means for Investors.” Greenwich: AQR Capital Management.

Caldwell, Ted, 1995. “Introduction: The Model for Superior Performance,” in: Lederman, Jess and Robert A. Klein, 1995. Hedge Funds: Investment and Portfolio Strategies for the Institutional Investor, New York: Irwin Professional Publishing: 1-17.

Fung, William and David A. Hsieh, 1999. “A Primer on Hedge Funds,” Journal of Empirical Finance, Vol. 6: 309-331.

Goodman, Mark S., Kenneth A. Shewer, and Richard Horowitz. “Shock Absorbers,” Global Pensions (February 2003) pp 30-31.

Ineichen, Alexander M., 2007. Asymmetric Returns: The Future of Active Asset Management, New York: John Wiley & Sons.

Jones, Alfred W., 1948. “Fashions in Forecasting,” Fortune: 88-91, 180-86.

Kundro, Christopher, 2003. “Understanding and Mitigating Operational Risk in Hedge Fund Investments: A Capco White Paper,” New York: Capco Consulting.

Landau, Peter, 1968. “The Hedge Funds: Wall Street’s New Way To Make Money,” New York, Vol. 1, No. 29 (October 21): 20-24.

Lo, Andrew, April 2002. GR Symposium “The Management of Risk:  Best Practices”.

Loomis, Carol J., 1966. “The Jones Nobody Keeps Up With,” Fortune (April): 237-42.

Loomis, Carol J., 1970. “Hard Times Come to the Hedge Funds,” Fortune (January): 100-103, 134-140.

Mitchell, Mark and Pulvino, Todd C. 2001. “Characteristics of Risk and Return in Risk Arbitrage,” Journal of Finance, Vol. 56, No. 6 (December): 2135-2175.

Petzel, Todd, September 2001. GR Symposium “Asset Allocation for 2002:  Navigating the Risks & Charting the Opportunities”.

Rohrer, Julie, 1986. “The Red-Hot World of Julian Robertson,” Institutional Investor (May): 86-92.

Taleb, Nassim, May 2003. GR Symposium “Behavioral Finance: Psycho Emotional Perspectives on Investing”.

Thackray, Jack, 1977. “Whatever Happened To The Hedge Funds,” Institutional Investor (May): 71-74.

 

CONSTRUCTING A SUCCESSFUL PRIVATE CAPITAL PORTFOLIO

Chen, P., G. T. Baierl and P.D. Kaplan, 2002. “Venture Capital and Its Role in Strategic Asset Allocation,” The Journal of Portfolio Management, (Winter): 83-89.

Commonfund Capital, 2007. “Buying more than buyouts,” PrinciplesPlus (May).

Ennis, Richard M. and Michael D. Sebastian, 2005. “Asset Allocation with Private Equity,” The Journal of Private Equity, (Summer): 81-87.

FLAG Capital Management, 2008. “The Commitment Conundrum,” Insights (January).

Hickey, Janet, December 2005. GR Symposium “The Globalization and Outlook on Venture Capital”.

Kaplan, Steven N. and Antoinette Schoar, 2005. “Private Equity Performance: Returns, Persistence, and Capital Flows,” The Journal of Finance, Vol. 60, No. 4 (August): 1791-1823.

Lamm, R. McFall, Jr., and Tanya E. Ghaleb-Harter, 2001. “Private Equity as an Asset Class: Its Role in Investment Portfolios,” The Journal of Private Equity, (Fall): 68-79.

Ljungqvist, Alexander and Matthew Richardson, 2003. “The Cash Flow, Return and Risk Characteristics of Private Equity,” NYU Finance Working Paper, No. 03-001.

Mathias, Ed, December 2003. GR Symposium “Private Equity: Issues & Outlook”.

Merrill Lynch Investment Managers, 2003. Bringing Private Equity into Focus, Volume II: Investing in Private Equity, London.

Peng, Liang, 2001. “Building a venture capital index,” Yale University ICF Working Paper, No. 00-51.

Reyes, Jesse, 2004. “Private Equity Performance 2004, the Coming Shakeout,” Thomson Financial/Venture Economics.

 

 CONSTRUCTING A SUCCESSFUL REAL ESTATE PORTFOLIO

Citrin, Jeffrey, 2006. “The Intrinsic Value Of The Underlying Asset,” Greenwich Roundtable Quarterly, Vol. 3, No. 3: 14-16.

Geltner, David M., 1993. “Estimating market values from appraised values without assuming an efficient market,” Journal of Real Estate Research, Vol. 8 (March): 325-45.

Geltner, David M. and Goetzmann, William N., “Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index”, Journal of Real Estate Finance and Economics, Vol. 21, Issue 1.

Kukral, John, 2006. “The Race Between Fundamentals and Interest Rates,” Greenwich Roundtable Quarterly, Vol. 3, No. 3: 17-19.

Lee, Stephen and Simon Stevenson, 2006. “Real Estate in the Mixed-Asset Portfolio: the Question of Consistency,” Journal of Property Investment & Finance, Vol. 24, No. 2: 123-35.

Zell, Sam, January 2003. GR Symposium “Real Estate: The Other Asset Class”.

 

CONSTRUCTING A SUCCESSFUL NATURAL RESOURCES PORTFOLIO

Alig, Ralph, John Mills and Brett Butler, 2002. “Private Timberlands: Growing Demands, Shrinking Land Base,” Journal of Forestry, Vol. 100, No. 2: 32-37.

Binkley, Clark S, Spencer B. Beebe, David A. New and Bettina von Hagen, 2006. An Ecosystem-based Forestry Strategy for the Coastal Temperate Rainforests of North America, White Paper (April 7).

Binkley, Clark S. April 2003. GR Symposium “Hard Assets: Timber, Water & Art”.

Binkley, Clark S., Courtland L. Washburn and Mary Ellen Aronow, 2005. “Timberland: The Natural Alternative,” Chapter 10, pp. 231-46 in Robert J. Greer, ed., The Handbook of Inflation Hedging Investments, New York: The McGraw-Hill Companies.

Bridgewater, 2008. The Role of Commodities in an Institutional Portfolio, White Paper (May), Westport, CT: Bridgewater Asset Management.

Erb, Claude and Campbell R. Harvey, 2006. “The Tactical and Strategic Value of Commodity Futures,” Financial Analysts Journal, Vol. 62, No. 2 (March/April): 69-97.

Gorton, Gary and K. Geert Rouwenhorst, 2004. “Facts and Fantasies About Commodity Futures,” Yale ICF Working Papers, No. 04-20 (June 14).

Heeson, Mark, December 2005. GR Symposium “The Globalization and Outlook on Venture Capital”.

McCabe, Don, October 2005. GR Symposium “Hard Assets: Farmland, Water & Grains”.

Smith, Richard N. and William H. Bradley, Esq., 2002. “Forestland Securitization: An Emerging Investment Phenomenon,” International Securitization & Structured Finance Report, Vol. 5, No. 16 (September 15): 1-2, 8-12.

Tertzakian, Peter, 2007. A Thousand Barrels a Second: The Coming Oil Break Point and the Challenges Facing An Energy Dependent World, New York: McGraw-Hill.

Washburn, Courtland L. and Clark S. Binkley, 1993. “Do Forest Assets Hedge Inflation?” Land Economics, Vol. 69, No. 3 (August): 215-24.

 

GOOD GOVERNANCE: THE CRUCIAL ELEMENT

Bernstein, Peter L., February 2005. GR Symposium “Contrarian Strategies”.

Bernstein, Peter L., 2007. Capital Ideas Evolving, Hoboken, New Jersey: John Wiley & Sons, Inc.

Dickerson, John, April 2003. GR Symposium “Hard Assets:  Timber, Water & Art”

Ellis, Charles D., 1993. Investment Policy: How to Win the Loser’s Game (2nd. ed.), Chicago: Irwin Professional Publishing.

Handy, Alice, July 2007. GR Symposium “The Role of the Chief Investment Officer”.

Olson, Russell L., 2005. The Handbook for Investment Committee Members, New York: John Wiley & Sons.

Perold, Andre, February 2006. GR Symposium “The Role of the Chief Investment Officer”.

Schneeweis, Tom, February 1999. GR Symposium “Managed Futures as an Asset Class:  Evolution and Opportunity”.

Wood, Arnie, February 2006. GR Symposium “Emotions & Intelligence in Investing”.