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Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques

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  • David Buckle

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  • David Buckle, 2007. "Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 1-12.
    • Handle: RePEc:taf:quantf:v:7:y:2007:i:1:p:1-12
    DOI: 10.1080/14697680600919219
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    References listed on IDEAS

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    1. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Dybvig, Philip H & Ross, Stephen A, 1985. "Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-399, June.
    4. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    5. Dybvig, Philip H & Ross, Stephen A, 1985. "The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-416, June.
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