USING ELLIOTT WAVE THEORY PREDICTIONS AS INPUTS IN EQUILIBRIUM PORTFOLIO MODELS WITH VIEWS
Abstract
References
1. Allocation Model: Three Years of Practical Experience. Fixed Income Research.
2. A. J. Frost and R. R. Prechter. "Elliott Wave Theory", seventh edition 1995.
3. Bevan, A., and Winkelmann, K. (1998). Using the Black-Litterman Global Asset.
4. Black, Fischer, and Robert Litterman. Global Portfolio optimization. Financial Analysts Journal, September/October 1992, pp. 28-43.
5. Black, Fischer, Litterman, Robert, "Global Portfolio Optimization, Journal of Fixed Income, 1991.
6. French, Craig W. (2003). "The Treynor Capital Asset Pricing Model". Journal of Investment Management 1 (2): 60-72. SSRN 447580.
7. Goldman Sachs Asset Management Working paper, 1999, Goldman, Sachs & Company, December.
8. George S. Atsalakis. Elliott Wave Theory and neuro-fuzzy systems, in stock market prediction: The WASP system.
9. He, Guangliang, Litterman, Robert, "The Intuition Behind Black-Litterman Model Portfolios".
10. He, Guangliang, and Robert Litterman. "The Intuition Behind Black-Litterman Model Portfolios". Investment Management Research, Goldman, Sachs & Company, December 1999.
11. Idzhorek, Thomas, "A Step-By-Step guide to the Black-Litterman Model, Incorporating User-Specifi ed".
12. Jerry A. Miccolis. Next generation Investment Risk management: Putting the ‘Modern’ back into Modern Portfolio theory".
13. Jay Walters, "The Black-Litterman Model in Detail. Working paper, 2008.
14. Litterman, Robert, and the Quantitative Resources Group, Goldman Sachs Asset Management. Modern Investment Management: An Equilibrium Approach. New Jersey: John Wiley & Sons, 2003.
15. Markowitz, H. M. (March 1952). "Portfolio Selection". The Journal of Finance 7 (1): 77-91.
16. Markowitz, H. M. (1959). Portfolio Selection: Effi cient Diversification of Investments. New York: John Wiley & Sons. (reprinted by Yale University Press, 1970, ISBN 978-0-300-01372-6; 2nd ed. Basil.
17. Roy, Arthur D. (1952). "Safety First and the Holding of Assets". Econometrics 1952 (July): 431-450.
18. Meucci, Attilio, "The Black-Litterman Approach: Original Model and Extensions. " The Encyclopedia of Quantitative Finance, Wiley, 2010. Prechter R. R. "Beautiful Pictures", 2003
19. Prechter R. R. "At the crest of the Tidal wave", 1995.
20. Poser S. W. Appling Elliott Wave Theory Profi tably, 2002. Quantitative and Traditional Portfolio Construction. " Journal of Asset Management, Vol 1, 2, 138-150.
21. Ross, Stephen (1976). "The arbitrage theory of capital asset pricing". Journal of Economic Theory 13 (3): 341-360. Stephen J. Brown. William Peter Hamilton’s Track Record the Dow Theory: Reconsidered. 1998. Theil, Henri, Principles of Econometrics, Wiley and Sons, 1971.
Review
For citations:
Batyrbekova N. USING ELLIOTT WAVE THEORY PREDICTIONS AS INPUTS IN EQUILIBRIUM PORTFOLIO MODELS WITH VIEWS. Review of Business and Economics Studies. 2015;3(2):33-45. (In Russ.)