GET 2003: projects on portfolio management at Russian financial markets
Modeling risk factors at the Russian stock market
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Haugen,
Modern Investment Theory, ch. 6. Basics of factor models.
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Fama and French,
1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465. Testing for significant
factors.
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Fama and
French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Link between factors at the stock and bond markets.
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Carhart, 1997, On persistence in
mutual fund performance, Journal of
Finance 52, 57-82. Four-factor model of US stock returns.
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Chen, Roll, and Ross,
1986, Economic forces and the stock market, Journal
of Business 59, 383-403. A model with macroeconomic factors.
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Chan,
Karceski, and Lakonishok, 1998, The risk and return from factors, Journal of Financial and Quantitative
Analysis 33, 159-188. Evaluating performance of various (statistical,
macroeconomic, and fundamental) factors.
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Rouwenhorst,
1999, Local return factors and turnover in emerging stock markets, Journal of Finance 54, 1439-1464. Modeling risk factors in the emerging markets.
Finding the optimal portfolio of
Russian assets
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Haugen,
Modern Investment Theory, ch. 6-7. Basics of factor models and asset
allocation.
Attractiveness of foreign stock
markets for Russian investors
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Elton
and Gruber, Modern Portfolio Theory and Investment Analysis, chapter on international
portfolio management.
Evaluating performance of Russian
mutual and pension funds
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Haugen,
Modern Investment Theory, ch. 11-12. Basics of performance evaluation.
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Grinblatt
and Titman, Performance evaluation (Ch. 19 in the Handbook on Finance). Review
of the return-based and characteristic-based approaches to performance
evaluation.
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Carhart, 1997, On persistence in
mutual fund performance, Journal of
Finance 52, 57-82. Classic analysis of mutual fund performance on the
basis of a four-factor model.
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Ferson and Schadt, 1996,
Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425-461. Using a conditional performance
measure.
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Daniel, Grinblatt, Titman,
and Wermers, 1997, Measuring mutual fund performance with characteristic-based
benchmarks, Journal of Finance 52, 1035-1058. Classic analysis of mutual fund
performance on the basis of characteristic-based approach.
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Dahlquist
and Soderlind, 1999, Evaluating portfolio performance with stochastic discount
factors, Journal of Business 72/3.
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Farnsworth,
Ferson, Jackson, and Todd, 2002, Performance evaluation with stochastic
discount factors, Journal of Business 75/3,
473-503.
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Barinov,
2003, Measuring
performance of Russian mutual funds, Master’s thesis. An initial analysis based
on a market model.
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Kiselev, Kapitan, and Kokorev, A
note on Russian PIFs.
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Russian federal law on PIFs.
On the predictability of mutual fund performance
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