Revisiting core-satellite investing - A dynamic model of relative risk management

Journal of Portfolio Management

Volumn 31, Issue 1, 2004, Pages

  Amenc, Noël ^a   Malaise, Philippe ^a   Martellini, Lionel ^a  

^a EDHEC BUSINESS SCHOOL   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 10044267440     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Review

References (22)

1. Amenc, N., P. Malaise, L. Martellini, and D. Sfeir. "Portable Alpha and Portable Beta Strategies in the Euro Zone - Implementing Active Asset Allocation Decisions Using Index Futures and Options." The Journal of Portfolio Management, Summer 2004.
2. Black, F., and R. Jones. "Simplifying Portfolio Insurance." The Journal of Portfolio Management, Fall 1987, pp. 48-51.
3. Black, F., and A. Perold. "Theory of Constant Proportion Portfolio Insurance." Journal of Economic Dynamics and Control, 16 (1992), pp. 403-426.
4. "Bridging the Pensions Gap." Standard Life Investments Global Bytes, 2003. Available at http://uk.standardlifeinvestments.com/ content/strategy/strategy_index.html.
5. Constantinides, G.M. "Capital Market Equilibrium with Transaction Costs." Journal of Political Economy, 94 (1986), pp. 842-862.
6. _. "Multiperiod Consumption and Investment Behavior with Convex Transaction Costs." Management Science, 25 (1979), pp. 1127-1137.
7. _. "Optimal Stock Trading with Personal Taxes."Journal of Finance, 15 (1984), pp. 676-713.
8. _. "Option Pricing Bounds with Transaction Costs." Working paper, University of Chicago, 1993.
9. Dixit, A. "A Simplified Treatment of Some Results Concerning Regulated Brownian Motion. "Journal of Economic Dynamics and Control, 15 (1991), pp. 657-674.
10. Dumas, B. "Super Contact and Related Optimality Conditions." Journal of Economic Dynamics and Control, 15 (1991), pp. 675-686.
11. Dumas, B., and E. Luciano. "An Exact Solution to a Dynamic Portfolio Choice Problem under Transaction Costs. "Journal of Finance, 46 (1991), pp. 577-595.
12. "Global Asset Study (Ongoing)." Watson Wyatt. As cited by Finanz und Wirtschaft (28/01/2004), http://www.finanzinfo.ch.
13. Grinold, R., and R. Kahn. Active Portfolio Management: A Quantitative Approach to Providing Superior Returns and Controlling Risk, 2nd ed. New York: McGraw-Hill, 2000.
14. Grossman, S., and J-L. Vila. "Optimal Dynamic Trading with Leverage Constraints." Journal of Financial and Quantitative Analysis, vol. 27, no. 2 (1992), pp. 151-168.
15. Hirt, G., and J. C. Singleton, eds. The Core-Satellite Approach to Portfolio Management. New York: McGraw-Hill, 2004.
16. Keim, D., and R. Stambaugh. "Predicting Returns in the Stock and Bond Markets. "Journal of Financial Economics, 17 (1986), pp. 357-390.
17. Leibowitz, M., and A., Weinberger. "Contingent Immunization - Part I: Risk Control Procedures." Financial Analysts Journal, November-December 1982, pp. 17-31.
18. _. "Contingent Immunization - Part II: Problem Areas." Financial Analysts Journal, January-February 1983, pp. 35-50.
19. Leland, H.E. "Optimal Portfolio Management with Transaction Costs and Capital Gains Taxes." Working paper, Haas School of Business, University of California at Berkeley, 1999.
20. Martellini, L., P. Priaulet, and S. Priaulet. Fixed-Income Securities-Valuation, Risk Management and Portfolio Strategies. New York: Wiley, 2003.
21. Merton, R. "Optimum Consumption and Portfolio Rules in a Continuous Time Model." Journal of Economic Theory, 3 (1971), pp. 373-413.
22. Scherer, B. Portfolio Construction and Risk Budgeting. New York: Risk Books, 2002.