TOPICS
REFERENCES
NOTES
12 CHAPTER 6: Correlation Asymmetry FALLACY: DIVERSIFICATION IS SYMMETRIC CORRELATION MATHEMATICS CORRELATION ASYMMETRY BETWEEN ASSET CLASSES IMPLICATIONS FOR PORTFOLIO CONSTRUCTION THE BOTTOM LINE RELATED TOPICS REFERENCES NOTES
13 CHAPTER 7: Error Maximization FALLACY: OPTIMIZED PORTFOLIOS ARE HYPERSENSITIVE TO INPUT ERRORS THE INTUITIVE ARGUMENT THE EMPIRICAL ARGUMENT THE ANALYTICAL ARGUMENT THE BOTTOM LINE RELATED TOPICS REFERENCES NOTES
14 CHAPTER 8: Factors FALLACY: FACTORS OFFER SUPERIOR DIVERSIFICATION AND NOISE REDUCTION WHAT IS A FACTOR? EQUIVALENCE OF ASSET CLASS AND FACTOR DIVERSIFICATION NOISE REDUCTION THE BOTTOM LINE RELATED TOPICS REFERENCES NOTES
15 CHAPTER 9: 1/N FALLACY: EQUALLY WEIGHTED PORTFOLIOS ARE SUPERIOR TO OPTIMIZED PORTFOLIOS THE CASE FOR 1/N SETTING THE RECORD STRAIGHT EMPIRICAL EVIDENCE IN DEFENSE OF OPTIMIZATION PRACTICAL PROBLEMS WITH 1/N BROKEN CLOCK THE BOTTOM LINE RELATED TOPICS REFERENCES NOTE
16 CHAPTER 10: Policy Portfolios FALLACY: POLICY PORTFOLIOS MATTER RISK INSTABILITY WHAT INVESTORS WANT RESPONDING TO RISK REGIMES THE BOTTOM LINE RELATED TOPICS REFERENCE
17 CHAPTER 11: The Private Equity Leverage Myth FALLACY: PRIVATE EQUITY VOLATILITY SCALES WITH ITS LEVERAGE THE PRIVATE EQUITY LEVERAGE PUZZLE LEVERAGE AND VOLATILITY IN THE PUBLIC EQUITY MARKET THE BOTTOM LINE RELATED TOPICS REFERENCES NOTES
18 CHAPTER 12: Necessary Conditions for Mean-Variance Analysis THE CHALLENGE DEPARTURES FROM ELLIPTICAL DISTRIBUTIONS DEPARTURES FROM QUADRATIC UTILITY FULL-SCALE OPTIMIZATION THE CURSE OF DIMENSIONALITY APPLYING FULL-SCALE OPTIMIZATION THE BOTTOM LINE RELATED TOPICS REFERENCES NOTES
19 CHAPTER 13: Forecasting THE CHALLENGE CONVENTIONAL LINEAR REGRESSION REGRESSION REVISITED PARTIAL SAMPLE REGRESSION THE BOTTOM LINE RELATED TOPICS REFERENCES NOTE
20 CHAPTER 14: The Stock–Bond Correlation THE CHALLENGE SINGLE-PERIOD CORRELATION FUNDAMENTAL PREDICTORS OF THE STOCK–BOND CORRELATION MODEL SPECIFICATION MODEL
