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rreece merged 1 commit into from
Jan 26, 2026
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update #124

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1 change: 1 addition & 0 deletions bibs/finance.txt
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Expand Up @@ -59,6 +59,7 @@ He, G. & Litterman, R. (2002). The intuition behind Black-Litterman model portfo
Hood, R.L. (2005). Determinants of portfolio performance: 20 years later. *Financial Analysts Journal*, 61(5), 6--8.
{Hudson & Thames}. (2024). The Modern Guide to Portfolio Optimization. https://github.com/hudson-and-thames/guide_to_modern_portfolio_optimization
Jagannathan, R. & Ma, T. (2003). Risk reduction in large portfolios: Why imposing the wrong constraints helps. *Journal of Finance*, 58(4), 1651--1683. https://www.jstor.org/stable/3648224
Jegadeesh, N. & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. *The Journal of Finance*, 48, 65--91. http://relative-performance.technicalanalysis.org.uk/JegadeeshTitman1993.pdf
Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. *Journal of Finance*, 23, 389--416. https://www.jstor.org/stable/2325404
Karatzas, I., Lehoczky, J.P., Sethi, S.P., & Shreve, S.E (1986). Explicit solution of a general consumption/investment problem. *Mathematics of Operations Research*, 11, 261--294. https://www.jstor.org/stable/3689808
Kelly, J.L. (1956). A new interpretation of information rate. *Bell System Technical Journal*, 35, 917--926. https://www.princeton.edu/~wbialek/rome/refs/kelly_56.pdf
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5 changes: 5 additions & 0 deletions portfolio-theory.qmd
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Expand Up @@ -570,7 +570,12 @@ Four-factor model:

$$ r_{it} - r_{\mathrm{f}t} = \alpha_{i} + \beta^\mathrm{m}_{i} \, (r_{\mathrm{m}t} - r_{\mathrm{f}t}) + \beta^\mathrm{s}_{i} \, \mathrm{SMB}_{t} + \beta^\mathrm{v}_{i} \, \mathrm{HML}_{t} + \beta^\mathrm{mom}_{i} \, \mathrm{PR1YR}_{t} + \varepsilon_{it} $$

On using momentum:

- Jegadeesh, N. & Titman, S. (1993). [Returns to buying winners and selling losers: Implications for stock market efficiency](http://relative-performance.technicalanalysis.org.uk/JegadeeshTitman1993.pdf). [^Jegadeesh1993]

[^Carhart1997]: @Carhart_1997_On_persistence_in_mutual_fund_performance\.
[^Jegadeesh1993]: @Jegadeesh_1993_Returns_to_buying_winners_and_selling_losers\.


### Asness six-factor model
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