Distinction: FINC3017 Detailed Notes on Readings

Description

These notes provide a comprehensive analysis on each of the literature readings examinable in the FINC3017 course. The readings covered are: Kritzman – The graceful aging of mean-variance optimisation Michaud – The Markowitz Optimisation Enigma: Is ‘Optimized’ Optimal? Page and Taborsky – The Myth of Diversification: Risk Factors versus Asset Classes Lamont and Thaler – The Law of One Price in Financial Markets Arnott, Hsu and Moore – Fundamental Indexation Fama & French (2004). The capital asset pricing model: theory and evidence Elton, Gruber, Brown & Goetzmann (2003). Modern Portfolio Theory and Investment Analysis Asness & Liew. (2014). The great divide over market efficiency Ang. (2014). Illiquid assets (from ‘Asset management: a systematic approach to factor investing)