Claim Your Author Page
Ensure your research is discoverable on Semantic Scholar. Claiming your author page allows you to personalize the information displayed and manage publications.
Markowitz (1959) mean-variance (MV) portfolio optimization has been the practical standard for asset allocation and equity portfolio management for almost fifty years. However, it is known to be… (More)
For years, investment professionals have used stock factors, such as price-to-book ratio, to help make stock selection decisions. If a stock factor is associated with ex post risk-adjusted returns,… (More)
Empirical tests of the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM) have generally concluded that there is a positive, approximately linear, trade-off between average return and systematic… (More)
The Markowitz (1952, 1959) mean-variance (MV) efficient frontier has been the theoretical standard for defining portfolio optimality for more than a half century. However, MV optimized portfolios are… (More)
Equity analysts and asset managers often focus on which stocks to buy rather than which stocks to sell. Consequently "sells," or overvalued stocks, may be perceived as relatively less efficiently… (More)
PCT No. PCT/DE95/00471 Sec. 371 Date Oct. 9, 1996 Sec. 102(e) Date Oct. 9, 1996 PCT Filed Apr. 12, 1995 PCT Pub. No. WO95/27909 PCT Pub. Date Oct. 19, 1995A satellite navigation process, in… (More)
A once-through steam generator or boiler of simple modular construction that utilizes vertical heat transfer tubes, intended primarily for heat recovery in combined cycles. It utilizes a novel method… (More)
In the second resampled efficiency article in EPN, Richard Michaud explains the importance of taking into account statistical errors in asset allocation decisions.