Enhanced active equity strategies

Journal of Portfolio Management

Volumn 32, Issue 3, 2006, Pages

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

^a Jacobs Levy Equity Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33744526490     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2006.628405     Document Type: Article

References (14)

1. Clarke, Roger G., Harindra de Silva, and Steven Sapra. "Toward More Information-Efficient Portfolios." The Journal of Portfolio Management, Fall 2004, pp. 54-63.
2. Ennis, Richard M. "The Case for Whole-Stock Portfolios." The Journal of Portfolio Management, Spring 2001, pp. 17-16.
3. Grinold, Richard C. "The Fundamental Law of Active Management." The Journal of Portfolio Management, Spring 1989, pp. 30-37.
4. Jacobs, Bruce I., and Kenneth N. Levy. "Alpha Transport With Derivatives." The Journal of Portfolio Management, May 1999, pp. 55-60.
5. _. "Investment Management: An Architecture for the Equity Market" In Frank Fabozzi, ed., Active Equity Portfolio Management. New Hope, PA: Frank J. Fabozzi Associates, 1998, pp. 1-20.
6. _. "Long/Short Equity Investing." The Journal of Portfolio Management, Fall 1993, pp. 52-63.
7. _. "Residual Risk: How Much Is Too Much?" The Journal of Portfolio Management, Spring 1996, pp. 10-16.
8. _"The Long and Short on Long-Short." The Journal of Investing, Spring 1997, pp. 73-86.
9. Jacobs, Bruce I., and Kenneth N. Levy, eds. Market Neutral Strategies. Hoboken, NJ: John Wiley, 2005.
10. Jacobs, Bruce I., Kenneth N. Levy, and Harry M. Markowitz. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions." Operations Research, July/August 2005, pp. 586-599.
11. _. "Trimability and Fast Optimization of Long-Short Portfolios." Financial Analysts Journal, March/April 2006.
12. Jacobs, Bruce I., Kenneth N. Levy, and David Starer. "Long-Short Portfolio Management: An Integrated Approach." The Journal of Portfolio Management, Winter 1999, pp. 23-32.
13. _. "On the Optimality of Long-Short Strategies." Financial Analysts Journal, March/April 1998, pp. 40-51.
14. Miller, Edward M. "Why the Low Returns to Beta and Other Forms of Risk?" The Journal of Portfolio Management, Winter 2001, pp. 40-55.