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REFERENCES

  • 1
    Marshall Blume “The Assessment of Portfolio Performance”, (unpublished Ph.D. dissertation, University of Chicago, 1968).
  • 2
    Kalman J. Cohen and Jerry A. Pogue “An Empirical Evaluation of Alternative Portfolio Selection Models”, Journal of Business, XXXX (April, 1967), 166193.
  • 3
    Peter Dietz Pension Funds: Measuring Investment Performance. New York: The Free Press, 1966.
  • 4
    Eugene Fama “The Behavior of Stock-Market Prices”, Journal of Business, XXXVII (January, 1965), 34105.
  • 5
    Eugene Fama “Risk, Return and Equilibrium: Some Clarifying Comments”, Journal of Finance, XXIII (March, 1968), 2940.
  • 6
    Eugene Fama “Risk, Return, and General Equilibrium in a Stable Paretian Market”, (unpublished manuscript, University of Chicago, 1967).
  • 7
    Donald E. Farrar The Investment Decision Under Uncertainty. Englewood Cliffs, N.J.: Prentice Hall, Inc., 1962.
  • 8
    Irwin Friend, F. E. Brown, Edward S. Herman and Douglas Vickers A Study of Mutual Funds. Washington, D.C.: U.S. Government Printing Office, 1962.
  • 9
    Irwin Friend, F. E. Brown, Edward S. Herman and Douglas Vickers “Portfolio Selection and Investment Performance”, Journal of Finance, XX (September, 1965), 391415.
  • 10
    Ira Horowitz “A Model for Mutual Fund Evaluation”, Industrial Management Review, VI (Spring, 1965), 8192.
  • 11
    Michael C. Jensen “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios”, (unpublished preliminary draft of PhD. Thesis, University of Chicago, July, 1967).
  • 12
    J. Johnston. Econometric Methods. New York: McGraw Hill, Inc., 1963.
  • 13
    Benjamin F. King “Market and Industry Factors in Stock Price Behavior”, Journal of Business, XXXIX, Part II (January, 1966), 139190.
  • 14
    John Lintner “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics, XLVII (February, 1965), 1337.
  • 15
    John Lintner “Security Prices, Risk, and Maximal Gains from Diversification”, Journal of Finance, XX (December, 1965), 587616.
  • 16
    Benoit Mandelbrot “The Variation of Certain Speculative Prices”, Journal of Business, XXXVI (October, 1963), 394419.
  • 17
    H. M. Markowitz. Portfolio Selection: Efficient Diversification of Investments. Cowles Foundation Monograph No. 16. New York: John Wiley & Sons, Inc., 1959.
  • 18
    Richard Roll “The Efficient Market Model Applied to U.S. Treasury Bills”, (unpublished PhD. dissertation, University of Chicago, 1968).
  • 19
    William F. Sharpe “A Simplified Model for Portfolio Analysis”, Management Science (January, 1963), 277293.
  • 20
    William F. Sharpe “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finance, XIX (September, 1964), 425442.
  • 21
    William F. Sharpe “Mutual Fund Performance”, Journal of Business XXXIX, Part 2 (January, 1966), 119138.
  • 22
    William F. Sharpe “Linear Programming Algorithm for Mutual Fund Portfolio Selection”, Management Science, XIII (March, 1967), pp. 499510.
  • 23
    Standard and Poor's. Trade and Securities Statistics: Security Price Index Record. (Orange, Conn.: Standard and Poor's Corporation, 1964).
  • 24
    Jack L. Treynor “How to Rate Management of Investment Funds”, Harvard Business Review, XLIII (JanuaryFebruary, 1965), 6375.
  • 25
    Jack L. Treynor “Toward a Theory of Market Value of Risky Assets”, (unpublished manuscript, undated).
  • 26
    Arthur Wiesenberger Investment Companies. New York: Arthur Wiesenberger & Company, 1955 and 1965.
  • 27
    John Wise “Linear Estimators for Linear Regression Systems Having Infinite Variances”, (unpublished paper presented at the Berkeley-Stanford Mathematical Economics Seminar, October, 1963).