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Other Portfolio Construction

•Almgren, Robert and Chriss, Neil A , "Optimal Portfolios from Ordering Information", (December 2004).

•Chriss, Neil A and Almgren, Robert, "Portfolios from Sorts", (April 27, 2005).

•Qian, Edward E., On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up (February 2005). [Discusses percent contribution to loss]

•Tactical Asset Allocation With Pair-wise Strategies," The Journal of Portfolio Management, Fall 2003.

•Klass, Michael J. & Nowicki, Krzysztof, 2005. "The Grossman and Zhou investment strategy is not always optimal," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 245-252, October.

•Sandy Grossman, Zhongquan Zhou, "Optimal Investment Strategies for Controlling Drawdowns", Mathematical Finance, July 1993.

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