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Linear Factor Models in Finance
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Linear Factor Models in Finance (2005)Linear Factor Models in FinanceMeasures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity (2015)Measures of Residual Risk wit…Construction of Risk-Averse Enhanced Index Funds (2012)Construction of Risk-Averse E…Custom Factor Attribution (2008)Custom Factor AttributionCoherent Measures of Risk (1999)Convex Approximations of Chance Constrained Programs (2006)Optimization of Convex Risk Functions (2006)A Simplified Model for Portfolio Analysis (1963)On estimating the expected return on the market (1980)Common risk factors in the returns on stocks and bonds (1993)Complex portfolio selection via convex mixed‐integer quadratic programming: a survey (2018)Measuring non-US. equity portfolio performance (1985)Risk-Adjusted Performance Attribution (1992)
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  • 2012Construction of Risk-Averse Enhanced Index Funds35 cited
  • 2015Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity32 cited
  • 2008Custom Factor Attribution22 cited

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