Long-Term Investing - Basics and Bibliography

 

Portfolios for Long-Term Investors* 

John H Cochrane Author Notes

Review of Finance, Volume 26, Issue 1, February 2022, Pages 1–42, https://doi.org/10.1093/rof/rfab038

https://academic.oup.com/rof/article/26/1/1/6484661

January 2022

https://johnhcochrane.blogspot.com/2022/01/stock-market-fall-and-long-term.html

https://johnhcochrane.blogspot.com/2022/01/portfolios-for-long-term-investors.html

Video of the presentation of the above paper.   https://www.nber.org/lecture/ltam-2021-john-cochrane-keynote-speaker

Value Investing Now - Ben Graham - Narayana Rao - Jeffrey Towson

What Would Ben Graham Do Now?: A New Value Investing Playbook for a Global Age
Jeffrey Towson
FT Press, 21-Apr-2011 - Business & Economics - 288 pages
As originally conceived by the legendary Benjamin Graham, traditional value investing involves purchasing relatively stable stocks and companies at a percentage below their intrinsic value. But this approach contains many hidden, U.S.-centric assumptions that simply don’t work well in today’s high-growth emerging markets. In this book, leading global value investor Jeffrey Towson extends and modernizes value investing, helping you apply its core principles while you access tremendous opportunities available in today’s fastest-growing markets.

Towson introduces the powerful Value Point system that grows out of his experience on the elite investing team selected by Prince Alwaleed, the "Arabian Warren Buffett." While retaining Graham’s relentless focus on price and quality, he shows how to integrate three crucial additional forms of value into your stock assessments: the value of political access in a government-infused investment world, the value of reputation in a world of colliding markets, actors and biases, and the value of capabilities in a multi-local world.

Building on these techniques, Towson presents a complete investment playbook for the next five years. Next, he shows how to invest for the next twenty years—successfully navigating the titanic market collisions that will batter investors who aren’t prepared for them.
https://books.google.co.in/books?id=gmBNEyhTBpYC

Financial Statement Analysis Mistakes by Analysts

Even basics not followed by analysts.

http://blogs.cfainstitute.org/investor/2015/05/12/the-top-five-accounting-mistakes-analysts-make/

One Billion Dollar Assets Under Management - Goal for Retirement Investment Adviser Firms

The principals of the firm need to reinvest the earnings in the firm to grow assets. But asset quality is important. Growth should not come at lower profits. If profits decrease, the firm may find it difficult to provide the services desired by the client.

http://www.financial-planning.com/blogs/1-billion-is-not-your-magic-number-2692820-1.html

US Patent 7,251,627 - Identifying stocks for inclusion in a portfolio

Publication number US7251627 B1
Publication type Grant
Application number US 09/406,394
Publication date Jul 31, 2007
Filing date Sep 27, 1999
Inventors Thomas E. Vass
Original Assignee Vass Thomas E

https://www.google.com/patents/US7251627

Portfolio Theory and Management - Baker and Filbeck - 2013 - Oxford - Book Information

Google Book Link with Preview Facility
http://books.google.co.in/books?id=r2Tf_PiqlA8C

This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.

Handbook of Portfolio Construction - John B. Guerard - 2010 - Book Information

Google book link with Preview facility

http://books.google.co.in/books?id=YZZJka5wu_8C

Springer - Publisher book link - has  a sample chapter for download

http://www.springer.com/economics/financial+economics/book/978-0-387-77438-1




Contents
Part I Markowitz for the Masses: Portfolio Construction Techniques
1 Markowitz for the Masses: The Risk and Return of Equity
and Portfolio Construction Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
John B. Guerard, Jr.
2 Markowitz and the Expanding Definition of Risk:
Applications of Multi-factor Risk Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
John B. Guerard, Jr.
3 Markowitz Applications in the 1990s and the New
Century: DataMining Corrections and the 130/30 .. . . . . . . . . . . . . . . . . . . . . . 61
John B. Guerard, Jr.
4 Markowitz’s Mean–Variance Rule and the Talmudic
Diversification Recommendation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
Haim Levy and Ran Duchin
5 On the Himalayan Shoulders of HarryMarkowitz . . . . . . . . . . . . . . . . . . . . . . .125
Paul A. Samuelson
6 Models for Portfolio Revision with Transaction Costs
in the Mean–Variance Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .133
Andrew H. Chen, Frank J. Fabozzi, and Dashan Huang
7 Principles for Lifetime Portfolio Selection: Lessons
from Portfolio Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .153
James H. VanderWeide
8 Harry Markowitz and the Early History
of Quadratic Programming.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .179
Richard W. Cottle and Gerd Infanger
9 Ideas in Asset and Asset–Liability Management
in the Tradition of H.M. Markowitz .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .213
William T. Ziemba
10 Methodologies for Isolating and Assessing the Portfolio
Performance Potential of Stock Return Forecast Models
with an Illustration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .259
Bernell K. Stone and John B. Guerard, Jr.
11 Robust Portfolio Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .337
R. Douglas Martin, Andrew Clark, and Christopher G. Green
Part II Owitz and the Expanding Definition of Risk: Applications
of Multi-Factor Risk Models
12 Applying Markowitz’s Critical Line Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . .383
Andras Niedermayer and Daniel Niedermayer
13 FactorModels in Portfolio and Asset Pricing Theory . . . . . . . . . . . . . . . . . . . .401
Gregory Connor and Robert A. Korajczyk
14 Applications of Markowitz Portfolio
Theory To Pension Fund Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .419
Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake
15 Global Equity Risk Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439
Jose Menchero, Andrei Morozov, and Peter Shepard
16 What Matters Most in Portfolio Construction? . . . . . . . . . . . . . . . . . . . . . . . . . . .481
Dean M. Petrich and Ronald N. Kahn
17 Risk Management and Portfolio Optimization for Volatile
Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .493
Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan
V. Stoyanov, and Frank J. Fabozzi
Part III Applications of Portfolio Construction, Performance
Measurement, and Markowitz DataMining Corrections Tests
18 Linking Momentum Strategies with Single-Period
Portfolio Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511
John M. Mulvey,Woo Chang Kim, and Mehmet Bilgili
19 Reflections on Portfolio Insurance, Portfolio Theory,
and Market Simulation with HarryMarkowitz. . . . . . . . . . . . . . . . . . . . . . . . . . .529
Bruce I. Jacobs and Kenneth N. Levy
20 Evaluating Hedge Fund Performance: A Stochastic
Dominance Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .551
Sheng Li and Oliver Linton
21 Multiportfolio Optimization: A Natural Next Step . . . . . . . . . . . . . . . . . . . . . . .565
Martin W.P. Savelsbergh, Robert A. Stubbs, and Dieter
Vandenbussche
22 Alternative Model to Evaluate Selectivity
and Timing Performance of Mutual Fund Managers:
Theory and Evidence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .583
Cheng-few Lee, Alice C. Lee, and Nathan Liu
23 Case Closed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .601
Robert A. Haugen and Nardin L. Baker
24 Stock-Selection Modeling and Data Mining Corrections:
Long-Only Versus 130/30Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .621
John B. Guerard, Jr., Sundaram Chettiappan, and GanLin Xu
25 Distortion Risk Measures in Portfolio Optimization . . . . . . . . . . . . . . . . . . . . .649
Ekaterina N. Sereda, EfimM. Bronshtein, Svetozar T. Rachev,
Frank J. Fabozzi,Wei Sun, and Stoyan V. Stoyanov
26 A Benefit from the Modern Portfolio Theory
for Japanese Pension Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .675
Makoto Suzuki
27 Private Valuation of Contingent Claims
in a Discrete Time/State Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .691
Alan J. King, Olga Streltchenko, and Yelena Yesha
28 Volatility Timing and Portfolio Construction
Using Realized Volatility for the S&P500 Futures Index. . . . . . . . . . . . . . . . .711
Dimitrios D. Thomakos and Tao Wang
29 The Application of Modern Portfolio
Theory to Real Estate: A Brief Survey . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .733
TimothyW. Viezer
About the Editor and Contributors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .761
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 777