Диссертация (793627), страница 26
Текст из файла (страница 26)
Alexander C. Market Risk Analysis. Volume I: Quantitative Methods inFinance. John Wiley and Sons Ltd, 2008, 320 p.22. Alexander C. Market Risk Analysis. Volume II: Practical FinancialEconometrics. John Wiley and Sons Ltd, 2008, 430 p.15623. Alexander C. Market Risk Analysis. Volume III: Pricing, Hedging andTrading Financial Instruments. John Wiley and Sons Ltd, 2008, 423 p.24. Alexander C. Market Risk Analysis. Volume IV: Value at Risk Models.John Wiley and Sons Ltd, 2008, 494 p.25. Alexander Carol and Dimitriu A.
Rank alpha funds of hedge funds. Journalof Alternative Investments 2005, №8, pp. 48–61.26. Ang James S. and Chua Jess H. Composite Measures for the Evaluation ofInvestment Performance. Journal of Financial and Quantitative Analysis,1979, vol. 14, № 2, pp. 361-384.27. Arrow, K.J. Essays in the Theory of Risk Bearing. Chicago, IL: MarkhamPublishing Co, 1971.28. Artzner Philippe, Delbaen Freddy, Eber Jean-Marc and Heath David.Coherent Measures of Risk. Mathematical Finance, 1999, vol. 9, № 3, pp.203-228.29. Bachelier L. Théorie de la Spéculation.
Gauthier-Villars, 1900.30. Bawa V.S. Optimal Rules for Ordering Uncertain Prospects. Journal ofFinancial Economics, 1975, vol. 2, № 1, pp. 95-121.31. Bello Zakri Y. and Janjigian Vahan. A Reexamination of the Market-Timingand Security-Selection Performance of Mutual Funds. Financial AnalystsJournal, 1997, vol. 53, № 5, pp. 24-30.32. Bernardo Antonio and Ledoit Olivier. Gain, Loss and Asset Pricing. Journalof Political Economy, 2000, vol. 108, № 1, pp.
144-172.33. Bhattacharya S. and Pfleiderer P. A Note on Performance Evaluation.Stanford University, Technical Report 714, 1983.34. Biglova Almira, Ortobelli Sergio, Rachev Svetlozar and Stoyanov Stoyan.Different Approaches to Risk Estimation in Portfolio Theory. Journal ofPortfolio Management, 2004, vol. 31, № 4, pp. 103-112.35. Black Fischer. Capital Market Equilibrium with Restricted Borrowing.Journal of Business, 1972, vol. 45, № 3, pp. 444-455.15736. Briec W., Kerstens K. and Jokung O.
Mean-Variance-Skewness PortfolioPerformance Gauging: A General Shortage Function and Dual Approach.Management Science, 2007, №53, pp. 135-149.37. Burke Gibbons. A Sharper Sharpe Ratio. Futures (Cedar Falls, Iowa), 1994,vol. 23, № 3, p. 56.38. Campbell J.Y., Lo A.W. and Mackinley A.C. The Econometrics ofFinancial Markets.
Princeton University Press, Princeton, NJ, 1997.39. Cantaluppi Laurent and Hug Ruedi. Efficiency Ratio: A New Methodologyfor Performance Measurement. Journal of Investing, 2000, vol. 9, № 2, pp.19-25.40. Caporin M., Jannin G.M., Lisi F., Maillet B.B. A survey on four families ofperformance measures. Journal of Economic Surveys, 2014, vol. 8, № 5, pp.917-942.41. Caporin M. and Lisi F. Comparing and Selecting Performance MeasuresusingRankCorrelations.Economics,2011,№5.Availableathttp://www.dx.doi.org/10.5018/economics-ejournal.ja.2011-10.42. Carhart Mark M.
On Persistence in Mutual Fund Performance. Journal ofFinance, 1997, vol. 52, № 1, pp. 57-82.43. Chan Louis K. C., Chen Hsiu-Lang and Lakonishok Josef. On Mutual fundInvestment Styles. Review of Financial Studies, 2002, vol. 15, № 5, pp.1407-1437.44. Chen Carl R.
and Stockum Steve. Selectivity, Market Timing and RandomBeta Behavior of Mutual Funds: A Generalised Model. Journal of FinancialResearch, 1986, vol. 9, № 1, pp. 87-96.45. Cheng P.L., Deets M.K. Portfolio returns and the random walk theory.Journal of Finance 1971, vol. 26, №1, pp.
11–30.46. Cheung J.H.B. Does Mr. Market Suffer From Bipolar Disorder? Journal ofBehavioral Finance, 2010, vol.11, № 4, pp. 224-238.15847. Christopherson Jon A., Ferson Wayne E. and Turner Andrew L.Performance Evaluation using Conditional Alphas and Betas. Journal ofPortfolio Management, 1999, vol. 26, № 5, pp. 59-72.48. Comer George. Hybrid Mutual Funds and Market Timing Performance.Journal of Business, 2006, vol.
79, № 2, pp. 771-797.49. Cornell Bradford. Asymmetric Information and Portfolio PerformanceManagement. Journal of Financial Economics, 1979, vol. 7, № 4, pp. 381390.50. Cornish E.A. and Fisher R.A. Moments and Cumulants in the Specificationof Distributions. Review of the International Statistical Institute, 1937, №5,pp. 307-320.51. Cogneau P., Hubner G. The (more than) 100 Ways to Measure PortfolioPerformance - Part 1: Standardized Risk-Adjusted Measures, Journal ofPerformance Measurement, 2009, vol. 13, № 4, pp. 56-71.52. Cogneau P., Hubner G. The (more than) 100 Ways to Measure PortfolioPerformance - Part 2: Special Measures and Comparison, Journal ofPerformance Measurement, 2009, vol.
14, № 1, pp. 56-69.53. Cumova D., Nawrocki D. A symmetric LPM model for heuristic meansemivariance analysis. Journal of Economics and Business, 2011, vol. 63,№2, pp. 217–236.54. Cumova D., Nawrocki D. Portfolio optimization in an upside potential anddownside risk framework. Journal of Economics and Business, 2014, №71,pp. 68–89.55. Daniel Kent, Grinblatt Mark, Titman Sheridan and Wermers Russ.MeasuringMutualFundPerformancewithCharacteristic-BasedBenchmarks. Journal of Finance, 1997, vol.
52, № 3, pp. 1035-1058.56. Darolles S., Gourieroux C. and Jasiak J. L-performance with an Applicationto Hedge Funds. Journal of Empirical Finance, 2009, vol. 16, №4, pp. 671685.15957. DaviesG.Whatisrisk(II)?BarclaysCompass,2013.https://wealth.barclays.com/en_gb/home/research/researchcentre/compass/compass-july-2013/what-is-risk.html58. Davies G., de Servigny A. Behavioral Investment Management: AnEfficient Alternative to Modern Portfolio Theory.
McGraw-Hill, 2012.59. Dowd Kevin. A Value at Risk Approach to Risk-Return Analysis. Journalof Portfolio Management, 1999, vol. 25, № 4, pp. 60-67.60. Dowd Kevin. Adjusting for Risk: An Improved Sharpe Ratio. Internationalreview of Economics and Finance, 2000, vol. 9, № 3, pp. 209-222.61. Drew Michael E., Veeraraghavan Madhu and Wilson Vanessa. MarketTiming and Selectivity: Evidence from Australian Equity SuperannuationFunds. Queensland University of Technology – Discussion Papers inEconomics, Finance and International Competitiveness, 2002, № 105.62.
Ellsberg D. Risk, ambiguity, and the Savage axioms. Quarterly Journal ofEconomics, 1961, vol. 75, №4, pp. 643–669.63. Elton E.J., Gruber M.J., Urich T.J. Are betas best? Journal of Finance, 1978,vol. 33, № 5, pp. 1375–1384.64. Fama Eugene F. Components of Investment Performance. Journal ofFinance, 1972, vol. 27, № 3, pp. 551- 567.65.
Fama Eugene F. and French Kenneth. The Cross-Section of Expected StockReturns. Journal of Finance, 1992, vol. 47, № 2, pp. 427-465.66. Fama Eugene F. and French Kenneth. Common Risk Factors in the Returnson Stocks and Bonds. Journal of Financial Economics, 1993, vol. 33, № 1,pp. 3-56.67. Fang H. and Lai T.
Cokurtosis and capital asset pricing. Financial Review1997, vol. 32, № 2, pp. 293–307.68. Farinelli Simone and Tibiletti Luisa. Sharpe Thinking in Asset Ranking withOne-Sided Measures. European Journal of Operational Research, 2008, vol.185, № 3, pp. 1542–1547.16069. Favre Laurent and Galeano José-Antonio. Mean-Modified Value-at-RiskOptimization with Hedge Funds. Journal of Alternative Investments, 2002,vol. 5, № 2, pp. 21-25.70. Ferson Wayne and Khang Kenneth. Conditional Performance MeasurementUsing Portfolio Weights: Evidence for Pension Funds.
Journal of FinancialEconomics, 2002, vol. 65, № 2, pp. 249-282.71. Ferson Wayne and Schadt Rudi W. Measuring Fund Strategy andPerformance in Changing Economic Conditions. Journal of Finance, 1996,vol. 51, № 2, pp. 425-461.72. Fishburn P.C. Mean-risk analysis with risk associated with belowtargetreturns.
American Economic Review, 1977, vol. 67, №2, pp. 116–126.73. Fishburn P.C., Kochenberger G.A. Two-piece Von Neumann–Morgensternutility functions. Decision Sciences, 1979, vol. 10, №4, pp. 503–518.74. Frankfurter G.M., Phillips H.E. Forty Years of Normative Portfolio Theory:Issues, Controversies, and Misconceptions. JAI Press, 1995.75.
Frankfurter G.M., Phillips H.E., Seagle J.P. Portfolio selection: the effectsof uncertain means, variances and covariances. Journal of Financial andQuantitative Analysis, 1971, vol. 6, № 5, pp. 1251–1262.76. Friedman M., Savage L.J. The utility analysis of choices involving risk.Journal of Political Economy, 1948, vol. 56, №4, pp. 279–30477. Fung Hung-Gay, Xu Xiaoqing Eleanor and Yau Jot. Do Hedge ManagersDisplay Skill? Journal of Alternative Investments, 2004, vol.
6, № 4, pp. 2231.78. Holthausen D.M. A risk-return model with risk and return measured asdeviations from a target return. American Economic Review, 1981, vol. 71,№1, 182–188.79. Gillet Philippe and Moussavou Jean. L’importance du choix du benchmarket du taux sans risque dans la mesure des performances des fondsd’investissement.
![](https://s.studizba.com/z.php?f=/templates/si/i/noavatar.png&w=100&h=100&t=1"){kind=avatar}
