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Index
COPYRIGHT
PRAISE
ALSO BY
ACKNOWLEDGEMENTS
FOREWORD
INTRODUCTION
CHAPTER 1: MARKET BETA
CHAPTER 2: THE SIZE FACTOR
CHAPTER 3: THE VALUE FACTOR
CHAPTER 4: THE MOMENTUM FACTOR
CHAPTER 5: THE PROFITABILITY & QUALITY FACTORS
CHAPTER 6: THE TERM FACTOR
CHAPTER 7: THE CARRY FACTOR
CHAPTER 8: DOES PUBLICATION REDUCE THE SIZE OF PREMIUMS?
CHAPTER 9: IMPLEMENTING A DIVERSIFIED FACTOR PORTFOLIO
CONCLUSION
APPENDIX A: TRACKING ERROR REGRET: THE INVESTOR'S ENEMY
APPENDIX B: THE TRUTH ABOUT SMART BETA
APPENDIX C: DIVIDENDS ARE NOT A FACTOR
APPENDIX D: THE LOW-VOLATILITY FACTOR
APPENDIX E: THE DEFAULT FACTOR
APPENDIX F: TIME-SERIES MOMENTUM
APPENDIX G: MARGINAL UTILITY OF INCREMENTAL FACTORS ON FUND RETURNS
APPENDIX H: SPORTS BETTING AND ASSET PRICING
APPENDIX I: REEVALUATING THE SIZE PREMIUM
APPENDIX J: IMPLEMENTATION: MUTUAL FUNDS AND EFTS
GLOSSARY
REFERENCES
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