The Smart Beta 2.0 Approach - EDHEC-Risk

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46 An ERI Scientific Beta Publication — Smart Beta 2.0 — April 2013 Copyright © 2013 ERI Scientific Beta. All rights reserved. Please refer to the disclaimer at the end of this document. References • Goltz, F. And V. Le Sourd. 2011. Does Finance Theory Make the Case for Capitalization-Weighted Indexing? Journal of Index Investing 2(2): 59-75. • Grinold, R. C. 1992. Are Benchmark Portfolios Efficient? Journal of Portfolio Management 19(1): 34-40. • Haugen, R. A. and N. L. Baker. 1991. The Efficient Market Inefficiency of Capitalization- Weighted Stock Portfolios. Journal of Portfolio Management 17(1): 35-40. • Huang, W., Q. Liu, S.G. Rhee and L. Zhang. 2010. Return Reversals, Idiosyncratic Risk, and Expected Returns. Review of Financial Studies 23(1): 147-168. • Jagannathan, R. and T. Ma. 2003. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. Journal of Finance 58(4): 1651-1684. • Jun, D. and B. Malkiel. 2008. New Paradigms in Stock Market Indexing. European Financial Management 14(1): 118–126. • Kan, R. and G. Zhou. 2007. Optimal Portfolio Choice with Parameter Uncertainty. Journal of Financial and Quantitative Analysis 42(3): 621-656. • Maillard, S., T. Roncalli and J. Teiletche. 2010. The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management 36(4): 60-70. • Markowitz, H. 1952. Portfolio Selection. Journal of Finance 7(1): 77-91. • Martellini, L. and V. Ziemann. 2010. Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection. Review of Financial Studies 23(4): 1467-1502. • Martellini, L., V. Milhau and A. Tarelli. 2013. To Try or not to Try – An Ex-ante Efficiency Analysis of Heuristic and Scientific Equity Portfolio Construction Strategies. EDHEC-Risk Institute Publication. • Melas, D. and X. Kang. 2010. Applications of Systematic Indexes in the Investment Process. Journal of Indexes (Sept/Oct). • Merton, R. 1980. On Estimating the Expected Return on the Market: An Exploratory Investigation. Journal of Financial Economics 8(4): 323-361. • Perold, A. 2007. Fundamentally Flawed Indexing. Financial Analysts Journal 63(6): 31-37. • Perold, A. and W. Sharpe. 1995. Dynamic Strategies for Asset Allocation. Financial Analysts Journal 51(1): 149-160. • Petkova, R. and L. Zhang. 2005. Is Value Riskier than Growth? Journal of Financial Economics 78: 187-202. • Platen E. and R. Rendek. 2010. Approximating the Numéraire Portfolio by Naive Diversification. Working paper. • Plyakha, Y., R. Uppal and G. Vilkov. 2012. Why Does an Equal-Weighted Portfolio Outperform Valueand Price-Weighted Portfolios? SSRN Working Paper. • Qian, E. 2005. Risk Parity Portfolios: Efficient Portfolios through True Diversification. Working paper, Panagora Asset Management (September). • Roll, R. 1977. A Critique of the Asset Pricing Theory’s Tests. Part I: On Past and Potential Testability of the Theory. Journal of Financial Economics 4(2): 129-176.
An ERI Scientific Beta Publication — Smart Beta 2.0 — April 2013 Copyright © 2013 ERI Scientific Beta. All rights reserved. Please refer to the disclaimer at the end of this document. 47 References • Schwartz, J. D and L. Siracusano. 2007. WisdomTree Earnings-Weighted Indexes – The Market at a Reasonable Price. WisdomTree White Papers. • Sharpe, W. 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19(3): 425-442. • Siegel, J. J., J. D. Schwartz and L. Siracusano. 2007. The Unique Risk and Return Characteristics of Dividend-Weighted Stock Indexes. WisdomTree White Papers. • Tobin, J. 1958. Liquidity Preference as Behavior towards Risk. Review of Economic Studies 25(2): 65-85. • Wood, P. and C. Evans. 2003. Fundamental Profit Based Equity Indexation. Journal of Indexes, 2nd Quarter Edition.
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