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A text book treatment of calculating returns on non-traditional portfolios

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  • Hancock, G.D.
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    File URL: http://www.sciencedirect.com/science/article/B6W61-4F29T3V-1/2/9e30edef2cc381e18e90e0bf4a3e566e
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 14 (2005)
    Issue (Month): 2 ()
    Pages: 173-186

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    Handle: RePEc:eee:revfin:v:14:y:2005:i:2:p:173-186

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    Web page: http://www.elsevier.com/locate/inca/620170

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    1. Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt59c8m4x6, Department of Agricultural & Resource Economics, UC Berkeley.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    3. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
    4. Figlewski, Stephen, 1984. " Hedging Performance and Basis Risk in Stock Index Futures," Journal of Finance, American Finance Association, vol. 39(3), pages 657-69, July.
    5. Fama, Eugene F & French, Kenneth R, 1996. " The CAPM Is Wanted, Dead or Alive," Journal of Finance, American Finance Association, vol. 51(5), pages 1947-58, December.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    7. Green, Richard C, 1986. " Positively Weighted Portfolios on the Minimum-Variance Frontier," Journal of Finance, American Finance Association, vol. 41(5), pages 1051-68, December.
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