2004 Spring Seminar

POLICY PORTFOLIOS AND PREDICTING RETURNS

Papers and Speakers
Note: Titles in blue indicate available link to paper. Click on link to download papers.

• Paradigm Shift? Are We Due?
  – WHEELER, LANGDON B.
• Active Alpha Investing Series
  – LITTERMAN, ROBERT B
• The Fuss About Policy Portfolios: Adrift In Institutional Wonderland
  – AMBACHTSHEER, KEITH
• Who’s Minding the Store?
  Managing Investments for the Long Term
  What Risk Matters?
  The Meaning of a Slender Risk Premium
  ARNOTT, ROBERT D.
• Death to the Policy Portfolio
  – JAHNKE, WILLIAM W.
• When do Active Equity Managers Add Alpha
  When do Hedge Fund Managers Add Alpha
  When do Enhanced Indexation Managers Add Alpha
  – HILL, JOANNE
• A Stockpicker’s Reality – Part II
  A Stockpicker’s Reality – Part III
  – STRONGIN, STEPHEN
• PIMCO Bonds – Engineering an Alpha Engine – Part 1
  – THOMAS, LEE
• A Reality Check for Data Snooping
  Data Snooping, Technical Trading Rule Performance, and the Bootstrap
  Dangers of Data Mining: The Case of Calendar Effects in Stock Returns
  Can Mutual Fund ‘Stars’ Really Pick Stocks? New Evidence from a Bootstrap Analysis
  – WHITE, HALBERT
• On the Predictability of Stock Returns in Real Time
  – COOPER, MICHAEL J.
• Is Stock Return Predictability Spurious?
  – FERSON, WAYNE
• Value Versus Glamour
  – CONRAD, JENNIFER
• CAPM Over the Long Run: 1926-2001
  – ANG, ANDREW
• Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios
  – SCHAEFER, STEPHEN

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