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Библиографический список по дисциплине «Портфельный анализ»

Опубликовано на портале: 11-08-2004
Данный библиографический список рекомендуется при изучении дисциплины «Портфельный анализ».

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  2. Balvers R.J., Cosimano T.F., McDonald B. - Predicting stock returns in an efficient market// Journal of Finance, vol.45 (September 1990), pp. 1109-1128.
  3. Beckers S. The constant elasticity of variance model and its implications for option pricing// Journal of Finance, vol.35 (June 1980), pp. 661-673.
  4. Breeden D.T., Gibbons M.R., Litzenberger R.H. Empirical tests of the consumption-oriented CAPM// Journal of Finance, vol.44 (June 1989), pp. 231-262.
  5. Chopra V., Ziemba W. The effect of errors in means, variances covariances on optimal portfolio choice// Journal of Portfolio Management, (Winter 1993), pp. 6-11.
  6. Cox J.C., Ross S.A., Rubinstein M. Option pricing: a simplified approach// Journal of Financial Economics, vol.7 (September 1979), pp. 229-263.
  7. Elton E.J., Gruber M.J. Modern portfolio theory and investment analysis: 5 ed.// NY.: John Wiley & Sons, Inc., 1995.
  8. Elton E.J., Gruber M.J., Das S., Hiavka M. Efficiency with costly information: a reinterpretation of evidence from managed portfolios// Review of Financial Studies, vol.6 (1993), pp. 1-22.
  9. Elton E.J., Gruber M.J., Padberg M.W. Simple criteria for optimal portfolio selection// Journal of Finance, vol.11 (December no.5, 1976), pp. 1341-1357.
  10. Elton E.J., Gruber M.J., Padberg M.W. - Simple criteria for optimal portfolio selection: tracing out the efficient frontier// Journal of Finance, vol.13 (March no.1, 1978), pp. 296-302.
  11. Emanuel D. Theoretical model for valuing preferred stock// Journal of Finance, vol.38 (September 1983), pp. 113-1155.
  12. Engle R. Measuring and testing the impact of news on volatility// Journal of Finance, vol.48 (1993), pp. 1749-1801.
  13. Fama E.F., French K.R. The cross-section of expected stock returns// Journal of Finance, vol.47 (June 1992), pp. 427-465.
  14. Fama E.F., French K.R. Permanent and temporary components of stock prices// Journal of political economy, vol.96 (April 1988), pp. 246-273.
  15. Fama E.F., French K.R. Dividend yields and expected stock returns// Journal of Financial Economics, vol.22 (October 1988), pp. 3-25.
  16. Fama E.F., French K.R. Business conditions and expected returns on stocks and bonds// Journal of Financial Economics, vol.33 (November 1989), pp. 23-49.
  17. Fama E.F., French K.R. Common risk factors in the returns of stocks and bonds// Journal of Financial Economics, vol.33 (1993), pp. 3-56.
  18. Ferreira E.J., Spivey M.F., Edwards C.E. Ц Pricing new-issue and seasoned preferred stocks: a comparison of valuation models// Financial Management, vol.21 (Summer 1992), pp. 52-62.
  19. Hickman K., Petry G.H. A comparison of stock price predictions using court accepted formulas, dividend discount and P/E models// Financial Management, vol.19 (Summer 1990), pp. 76-97.
  20. Kleidon A.W. - Variance bonds tests and stock price valuation models// Journal of political economy, vol.94 (October 1986), pp. 953-1001.
  21. Kon S.J. Models of stock returns. A comparison// Journal of Finance, vol.39 (March 1984), pp. 147-165.
  22. Kothari S.P., Shanken J. Stock return variation and expected dividends// Journal of Financial Economics, vol.31 (April 1992), pp. 177-210.
  23. MacBeth J.D., Memlle L.J. - An empirical examination of the Black-Scholes call option pricing model// Journal of Finance, vol.34 (December 1979), pp. 1173-1186.
  24. MacBeth J.D., Memlle L.J. Tests of Black-Scholes and Cox call option valuation model// Journal of Finance, vol.35 (May 1980), pp. 285-303.
  25. Ravi J., Wang Zh. - The CAPM is alive and well// Journal of Finance, vol.51 (1996), pp. 1142-1158.
  26. Statman M. How many stocks make a diversified portfolio?// Journal of Financial and Quantitative Analysis, vol.22 (September 1987), pp. 353-363.
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