References
Ang, Andrew, Robert J Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further US Evidence.” Journal of Financial Economics 91 (1): 1–23.
Asness, Clifford S, Andrea Frazzini, and Lasse Heje Pedersen. 2019. “Quality Minus Junk.” Review of Accounting Studies 24 (1): 34–112.
Baker, Malcolm, Brendan Bradley, and Ryan Taliaferro. 2014. “The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects.” Financial Analysts Journal 70 (2): 43–58.
Baker, Malcolm, Brendan Bradley, and Jeffrey Wurgler. 2011. “Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly.” Financial Analysts Journal 67 (1): 40–54.
Basu, Sanjoy. 1977. “Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis.” The Journal of Finance 32 (3): 663–82.
Brunnermeier, Markus K, and Jonathan A Parker. 2005. “Optimal Expectations.” American Economic Review 95 (4): 1092–1118.
Butler, Adam, Mike Philbrick, Rodrigo Gordillo, and David Varadi. 2012. “Adaptive Asset Allocation: A Primer.” Available at SSRN 2328254.
Carhart, Mark M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82.
Choueifaty, Yves, and Yves Coignard. 2008. “Toward Maximum Diversification.” The Journal of Portfolio Management 35 (1): 40–51.
Choueifaty, Yves, Tristan Froidure, and Julien Reynier. 2013. “Properties of the Most Diversified Portfolio.” Journal of Investment Strategies 2 (2): 49–70.
De Bondt, Werner FM, and Richard Thaler. 1985. “Does the Stock Market Overreact?” The Journal of Finance 40 (3): 793–805.
Faber, Mebane T. 2007. “A Quantitative Approach to Tactical Asset Allocation.” The Journal of Wealth Management 9 (4): 69–79.
Fama, Eugene F, and Kenneth R French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56.
Greenblatt, Joel. 2010. The Little Book That Still Beats the Market. Vol. 29. John Wiley & Sons.
Grolemund, Garrett, and Hadley Wickham. 2018. R for Data Science.
Hsu, Jason, Vitali Kalesnik, and Engin Kose. 2019. “What Is Quality?” Financial Analysts Journal 75 (2): 44–61.
Jegadeesh, Narasimhan. 1990. “Evidence of Predictable Behavior of Security Returns.” The Journal of Finance 45 (3): 881–98.
Jegadeesh, Narasimhan, and Sheridan Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48 (1): 65–91.
Lehmann, Bruce N. 1990. “Fads, Martingales, and Market Efficiency.” The Quarterly Journal of Economics 105 (1): 1–28.
Novy-Marx, Robert. 2013. “The Other Side of Value: The Gross Profitability Premium.” Journal of Financial Economics 108 (1): 1–28.
Piotroski, Joseph D, and others. 2000. “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers.” Journal of Accounting Research 38: 1–52.
Qian, Edward. 2011. “Risk Parity and Diversification.” The Journal of Investing 20 (1): 119–27.
Rendleman Jr, Richard J, Charles P Jones, and Henry A Latane. 1982. “Empirical Anomalies Based on Unexpected Earnings and the Importance of Risk Adjustments.” Journal of Financial Economics 10 (3): 269–87.
Sefton, James, David Jessop, Giuliano De Rossi, Claire Jones, and Heran Zhang. 2011. “Low-Risk Investing.” UBS Investment Research.
Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” The Journal of Finance 19 (3): 425–42.
Wilkinson, Leland. 2012. The Grammar of Graphics. Springer.