The hierarchy of investment choice

Journal of Portfolio Management

Volumn 29, Issue 4, 2003, Pages

  Kritzman, Mark ^a   Page, Sébastien ^b  

^a Windham Capital Management LLC   (United States)

^b State Street Associates ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041831115     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2003.319891     Document Type: Article

References (8)

1. Brinson, G.P., L.R. Hood, and G.L. Beebower. "Determinants of Portfolio Performance." Financial Analysts Journal, July/August 1986, pp. 39-44.
2. Cavaglia, S., C. Brightman, and M. Aked. "The Increasing Importance of Industry Factors." Financial Analysts Journal, September/October 2000, pp. 41-54.
3. Heston, S.L., and K.G. Rouwenhorst. "Does Industrial Structure Explain the Benefits of International Diversification?" Journal of Financial Economics, Vol. 36, No. 1 (August 1994), pp. 3-27.
4. Hopkins, J.B., and C. Miller. Country, Sector, and Company Factors in Global Equity Portfolios. Charlottesville, VA: The Research Foundation of AIMR, 2001.
5. Kritzman, M. "The Hierarchy of Investment Choice." Economics and Portfolio Strategy, October 15, 2002.
6. Kritzman, M., and S. Page. "The Relative Importance of Asset Allocation and Security Selection: Evidence from Global Markets." The Journal of Asset Management, December 2002, pp. 202-212.
7. Margrabe, W. "The Value of an Option to Exchange One Asset for Another." Journal of Finance, March 1978, pp. 177-186.
8. Page, S., and A-S Van Royen. "The Multiple Dimensions of Asset Allocation: Countries, Sectors, or Factors?" Working Paper No. 6, State Street Associates, 2002.