17. 参考文献¶

[Grinold]

Richard C. Grinold, Ronald N. Kahn, 1999, “Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Money Managers”, McGraw-Hill Professional.

[CNE5]

1. Orr, Igor Mashtaler, Adam Nagy, 2012, “The Barra China Equity Model(CNE5)”, MSCI.

[USE4]

Jose Menchero, D. J. Orr and Jun Wang, 2011, “The Barra US Equity Model (USE4)”, MSCI.

[CHE2]

Nathan Sosner, Xiaowei Li and Cuy Miller, 2005, “CHE2: Forecasting Chinese Equity Risk”, MSCI.

[EUE3]

Beat G. Briner, Rachael C. Smith and Paul Ward, 2009, “The Barra Europe Equity Model (EUE3)”, MSCI.

[GEM2]

Jose Menchero, Andrei Morozov and Peter Shepard, 2008, “The Barra Global Equity Model (GEM2)”, MSCI.

[Campbell-1996]

John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, 1996, “The Econometrics of Financial Markets”, Princeton University Press.