Practical Risk Analysis

Journal of Portfolio Management

Volumn 30, Issue 1, 2003, Pages

  Madhavan, Ananth ^a   Yang, Jian ^b  

^a Federal Service for Surveillance on Consumer Rights Protection and Human Well Being   (United States)

^b ITG Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0345099670     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2003.319921     Document Type: Review

References (9)

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2. Chan, Louis K.C., and Josef Lakonishok. "Are the Reports of Beta's Death Premature?" The Journal of Portfolio Management, 19 (Summer 1993), pp. 51-62.
3. Clarke, Roger, Harindra de Silva, and Brett Wander. "Risk Allocation versus Asset Allocation." The Journal of Portfolio Management, 29 (Fall 2002), pp. 9-30.
4. Connor, Gregory, and Robert A. Korajczyk. "Performance Measurement with the Arbitrage Pricing Theory." Journal of Financial Economics, 15 (1986), pp. 373-394.
5. Connor, Gregory, Robert A. Korajczyk, and Oliver Linton. "The Common and Specific Components of Dynamic Volatility." Working Paper No. 311, Kellogg School of Management, Northwestern University, 2003.
6. Fama, Eugene F., and Kenneth R. French. "Common Risk Factors in the Returns on Stock and Bonds. "Journal of Financial Economics, 33 (1993), pp. 3-56.
7. Jones, Christopher S. "Extracting Factors from Heteroskedastic Asset Returns. "Journal of Financial Economics, 62 (2001), pp. 293-325.
8. Lo, Andrew. "Risk Management for Hedge Funds: Introduction and Overview." Financial Analysts Journal, 57 (November/December 2001), pp. 16-33.
9. Madhavan, Ananth. "Market Microstructure: A Practitioner's Guide." Financial Analysts Journal, 58 (September/October 2002), pp. 28-42.