Markets: A Rigorous Course
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Readings and resources

Core about 5 min

Read first

  1. Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77–91.
  2. DeMiguel, V., Garlappi, L. & Uppal, R. (2009). Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy? Review of Financial Studies 22(5), 1915–1953. https://ideas.repec.org/a/oup/rfinst/v22y2009i5p1915-1953.html
  3. Barber, B. & Odean, T. (2000). Trading is hazardous to your wealth: the common stock investment performance of individual investors. Journal of Finance 55(2), 773–806.
  4. Kahneman, D. (2011). Thinking, Fast and Slow, parts III–IV. Talk: https://www.youtube.com/watch?v=CjVQJdIrDJ0
  5. M03 · 3.9 (position sizing) and M04A · 4A.6–4A.10 (stops and trade management), if they are not fresh: 14.8–14.10 assume both.

For depth 6. Roncalli, T. (2013). Introduction to Risk Parity and Budgeting. CRC Press, chs. 1–2. 7. Maillard, S., Roncalli, T. & Teiletche, J. (2010). The properties of equally weighted risk contribution portfolios. Journal of Portfolio Management 36(4), 60–70. 8. Ledoit, O. & Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis 88(2), 365–411; and Honey, I shrunk the sample covariance matrix. Journal of Portfolio Management 30(4), 110–119. 9. Michaud, R. (1989). The Markowitz optimization enigma: is "optimized" optimal? Financial Analysts Journal 45(1), 31–42. 10. Moreira, A. & Muir, T. (2017). Volatility-managed portfolios. Journal of Finance 72(4), 1611–1644. 11. Longin, F. & Solnik, B. (2001). Extreme correlation of international equity markets. Journal of Finance 56(2), 649–676. Forbes, K. & Rigobon, R. (2002). No contagion, only interdependence. Journal of Finance 57(5), 2223–2261. 12. Grossman, S. & Zhou, Z. (1993). Optimal investment strategies for controlling drawdowns. Mathematical Finance 3(3), 241–276. 13. Kahneman, D. & Tversky, A. (1979). Prospect theory. Econometrica 47(2), 263–291. Tversky, A. & Kahneman, D. (1992). Advances in prospect theory. Journal of Risk and Uncertainty 5(4), 297–323. https://econpapers.repec.org/RePEc:kap:jrisku:v:5:y:1992:i:4:p:297-323 14. Shefrin, H. & Statman, M. (1985). The disposition to sell winners too early and ride losers too long. Journal of Finance 40(3), 777–790. Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance 53(5), 1775–1798. 15. Barber, B. & Odean, T. (2001). Boys will be boys. Quarterly Journal of Economics 116(1), 261–292. Barber, Lee, Liu & Odean (2014), Journal of Financial Markets 18, 1–24: https://ideas.repec.org/a/eee/finmar/v18y2014icp1-24.html. Chague, De-Losso & Giovannetti, "Day Trading for a Living?": https://econpapers.repec.org/RePEc:fgv:eesptd:525 16. Douglas, M. (2000). Trading in the Zone. Steenbarger, B. The Daily Trading Coach (Wiley, 2009) and Trading Psychology 2.0 (Wiley, 2015). Duke, A. (2018). Thinking in Bets. 17. MacLean, Thorp & Ziemba (2010), "Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria", Quantitative Finance 10(7): https://www.stat.berkeley.edu/~aldous/157/Papers/Good_Bad_Kelly.pdf (links 14.8 to M03).

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