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Financial Analysts Journal Volume 69, 2013 - Issue 1
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Portfolio Management

How to Combine Long and Short Return Histories Efficiently

Sébastien Page Sébastien Page, CFA, is executive vice president and global head of client analytics at PIMCO, Newport Beach, California.
, CFA
Pages 45-52 | Published online: 28 Dec 2018

References

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  • Cremers, J.H., M. Kritzman, and S. Page. 2005. “Optimal Hedge Fund Allocations: Do Higher Moments Matter?” Journal of Portfolio Management, vol. 31, no. 3 (Spring): 70–8110.3905/jpm.2005.500356.
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  • Page, Sébastien, Joe Simonian, and Fei He. 2011. “Asset Allocation: Systemic Liquidity as a Risk Factor.” Institutional Investor Guide to Global Liquidity III (Spring): www.iijournals.com/doi/abs/10.3905/tr.2011.2011.1.019.
  • Peterson, Steven P., and John T. Grier. 2006. “Covariance Misspecification in Asset Allocation.” Financial Analysts Journal, vol. 62, no. 4 (July/August): 76–8510.2469/faj.v62.n4.4188.
  • Rekkas, M., and A. Wong. 2008. “Implementing Likelihood-Based Inference for Fat-Tailed Distributions.” Finance Research Letters, vol. 5, no. 1 (March): 32–4610.1016/j.frl.2007.12.004.
  • Stambaugh, Robert F.. 1997. “Analyzing Investments Whose Histories Differ in Length.” Journal of Financial Economics, vol. 45, no. 3 (September): 285–33110.1016/S0304-405X(97)00020-2.

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