Selected Publications
Selected Publications
Books
- The Economics of Computers,
- The Columbia University Press (New York), 1969, 571 pages.
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- Portfolio Theory and Capital Markets,
- McGraw-Hill Book Company (New York), 1970, 316 pages.
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- Introduction to Managerial Economics,
- Columbia University Press, 1973.
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- BASIC: An Introduction to Computer Programming Using the
Basic Language,
- (Third Edition, with Nancy L. Jacob), The Free Press (New York),
1979.
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- Asset Allocation Tools,
- (Second Edition), The Scientific Press, 1987, 139 pages.
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- Investments
- (Sixth Edition, with Gordon J. Alexander and Jeffrey V. Bailey),
Prentice-Hall, 1999.
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- Fundamentals of Investments
- (Third Edition, with Gordon J. Alexander and Jeffrey V. Bailey),
Prentice-Hall, 2000.
- Portfolio Theory and Capital Markets,the
Original Edition with a Forward
- McGraw-Hill Book Company (New York), 2000.
Investors and Markets: Portfolio Choices, Asset Prices and
Investment Advice
Princeton
University Press, 2007
Articles
- "A Simplified Model for Portfolio Analysis,"
- Management Science, January 1963, pp. 277-293.
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- "Capital Asset Prices - A Theory of Market Equilibrium Under
Conditions of Risk,"
- Journal of Finance, September 1964, pp. 425-442.
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- "Risk-Aversion in the Stock Market - Some Empirical Evidence,"
- Journal of Finance, September 1965, pp. 416-422.
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- "Mutual Fund Performance,"
- Journal of Business, January 1966, pp. 119-138.
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- "A Linear Programming Algorithm for Mutual Fund Portfolio
Selection,"
- Management Science, March 1967, pp. 499-510.
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- "Mean-Absolute Deviation Characteristic Lines for Securities and
Portfolios,"
- Management Science, October 1971, pp. B-1-B-13.
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- "A Linear Programming Approximation for the General Portfolio
Analysis Problem,"
- Journal of Financial and Quantitative Analysis, December
1971, pp. 1263-1275.
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- "Risk, Market Sensitivity and Diversification,"
- Financial Analysts Journal, January/February 1972, pp.
74-79.
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- "Risk-Return Classes of New York Stock Exchange Common Stocks,
1931-1967,"
- (with Guy M. Cooper), Financial Analysts Journal,
March/April 1972, pp. 46-54, 81, 95-101.
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- "The Capital Asset Pricing Model: Traditional and 'Zero-Beta'
Versions,"
- Journal of the Midwest Finance Association, 1973, pp.
1-12.
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- "Bonds Versus Stocks: Some Lessons From Capital Market Theory,"
- Financial Analysts Journal, November/December 1973, pp.
74-80.
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- "Imputing Expected Returns From Portfolio Composition,"
- Journal of Financial and Quantitative Analysis, June
1974, pp. 463-472.
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- "Adjusting for Risk in Portfolio Performance Measurement,"
- Journal of Portfolio Management, Winter 1975.
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- "Closed-end Investment Companies in the United States"
- (with Howard B. Sosin), European Finance Association,
1974 Proceedings (B. Jacquillat, Editor), North-Holland,
1975, pp. 37-63.
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- "Likely Gains From Market Timing,"
- Financial Analysts Journal, March/April 1975, pp. 60-69.
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- "Risk, Return and Yield: New York Stock Exchange Common Stocks,
1928-1969"
- (with Howard B. Sosin), Financial Analysts Journal,
March/April 1976, pp. 33-42.
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- "Corporate Pension Funding Policy,"
- Journal of Financial Economics, June 1976, pp. 183-193.
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- "The Capital Asset Pricing Model: A 'Multi-Beta' Interpretation,"
- Financial Decision Making Under Uncertainty,
(Haim Levy and Marshall Sarnat, Editors), Academic Press (New York),
1977, pp. 127-136.
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- "Bank Capital Adequacy, Deposit Insurance, and Security Values,"
- Journal of Financial and Quantitative Analysis, November
1978, pp. 701-718.
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- "Duration and Security Risk",
- (with Ronald Lanstein) Journal of Financial and Quantitative
Analysis, November 1978, pp. 653-668.
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- "Decentralized Investment Management,"
- Journal of Finance, May 1981, pp. 217-234.
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- "Bank Capital Adequacy, Deposit Insurance, and Security Values
- Risk and Capital Adequacy in Commercial Banks,
(Sherman J. Maisel, Editor), University of Chicago Press, 1981, pp.
187-202.
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- "Some Factors in New York Stock Exchange Security Returns,
1931-1979,"
- Journal of Portfolio Management, Summer 1982, pp. 5-19.
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- "Optimal Funding and Asset Allocation Rules for Defined-Benefit
Pension Plans",
- (with J. Michael Harrison), Financial Aspects of the
United States Pension System , (Zvi Bodie and John B. Shoven,
Editors), The University of Chicago Press (Chicago), 1983, pp. 91-105.
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- "Factor models, CAPMs, and the APT,"
- Journal of Portfolio Management, Fall 1984, pp. 21-25.
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- "Practical Aspects of Portfolio Optimization,"
- Improving the Investment Decision Process: Quantitative
Assistance for the Practitioner and for the Firm, Dow-Jones
Irwin (Homewood, Illinois), 1984, pp. 52-65.
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- "Financial Implications of South African Divestment,",
- (with Blake R. Grossman)Financial Analysts Journal,
July/August 1986, pp. 15-29.
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- "An Algorithm for Portfolio Improvement,"
- Advances in Mathematical Programming and Financial
Planning, (K.D. Lawrence, J.B. Guerard, Jr., and Gary D.
Reeves, Editors), JAI Press, Inc., 1987, pp. 155-170.
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- "Integrated Asset Allocation,"
- Financial Analysts Journal, September/October 1987, pp.
25-32.
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- "Dynamic Strategies for Asset Allocation",
- (with Andre Perold), Financial Analysts Journal,
January/February 1988, pp. 16-27.
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- "Determining a Fund's Effective Asset Mix,"
- Investment Management Review, November/December 1988,
pp. 59-69.
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- "Asset Allocation,"
- Managing Investment Portfolios, A Dynamic Process,
(John L. Maginn and Donald L. Tuttle, Editors), Warren, Gorham &
Lamont, 1990, pp. 7-1 through 7-71.
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- "Investor Wealth Measures and Expected Return,"
- Quantifying the Market Risk Premium Phenomenon for
Investment Decision Making, The Institute of Chartered
Financial Analysts, 1990, pp. 29-37
- .
- "Liabilities -- A New Approach,"
- (with Lawrence G. Tint), Journal of Portfolio Management,
Winter 1990, pp. 5-10.
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- "Capital Asset Prices with and without Negative Holdings,"
- Journal of Finance, June 1991, pp. 489-509.
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- "Policy Asset Mix, Tactical Asset Allocation and Portfolio
Insurance,"
- Active Asset Allocation, State-of-the-Art Portfolio
Policies, Strategies & Tactics, (Robert D. Arnott and
Frank J. Fabozzi, Editors), Probus Publishing Company, 1992, pp.
115-133.
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- "Asset allocation: Management style and performance measurement,"
- Journal of Portfolio Management, Winter 1992, pp. 7-19.
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- "International Value and Growth Stock Returns,"
- (with Carlo Capaul and Ian Rowley) Financial Analyst's
Journal, January/February 1993, pp. 27-36.
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- "The Sharpe Ratio,"
- Journal of Portfolio Management, Fall 1994, pp. 49-58.
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- "Nuclear Financial Economics,"
- Risk Management: Problems & Solutions,
(William H. Beaver and George Parker, editors), McGraw-Hill, 1995, pp.
17-35.
"Budgeting and Monitoring Pension Fund Risk,"
Financial Analysts'
Journal, Vol. 56, No. 5 (September/October
2002), 74-86.
"Asset Allocation" (with Peng Chen, Jerald E. Pinto and Dennis W.
McLeavey), pp. 230-327 in John L. Maginn, Donald L. Tuttle, Dennis W.
McLeavey and Jerald E. Pinto, Managing
Investment Portfolios, A Dynamic Process, Third Edition, John
Wiley & Sons, 2007
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