Alpha transport with derivatives: Separating security selection from asset allocation

Journal of Portfolio Management

Volumn 25, Issue SUPPL., 1999, Pages 55-60

  Jacobs, Bruce I ^a   Levy, Kenneth N ^a  

^a Jacobs Levy Equity Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 20144385769     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1999.319699     Document Type: Article

References (7)

1. Brinson, G.P., B.D. Singer, and G.L. Beebower. "Determinants of Portfolio Performance II: An Update." Financial Analysts Journal, May/June 1991.
2. Jacobs, B.I., and K.N. Levy. "Engineering Portfolios: A Unified Approach." Journal of Investing, Winter 1995.
3. _. "Investment Management: An Architecture for the Equity Market." In F.J. Fabozzi, ed., Active Equity Portfolio Management. New Hope, PA: Frank J. Fabozzi Associates, 1998.
4. _. "The Long and Short on Long-Short. "Journal of Investing, Spring 1997.
5. _. "20 Myths about Long-Short." Financial Analysts Journal, September/October 1996.
6. Jacobs, B.I., K.N. Levy, and D. Starer. "Long-Short Portfolio Management: An Integrated Approach." Journal of Portfolio Management, Winter 1999.
7. Sharpe, W.F. "Asset Allocation: Management Style and Performance Measurement." Journal of Portfolio Management, Winter 1992.