Selected Publications

Selected Publications


The Economics of Computers,
The Columbia University Press (New York), 1969, 571 pages.
Portfolio Theory and Capital Markets,
McGraw-Hill Book Company (New York), 1970, 316 pages.
Introduction to Managerial Economics,
Columbia University Press, 1973.
BASIC: An Introduction to Computer Programming Using the Basic Language,
(Third Edition, with Nancy L. Jacob), The Free Press (New York), 1979.
Asset Allocation Tools,
(Second Edition), The Scientific Press, 1987, 139 pages.
(Sixth Edition, with Gordon J. Alexander and Jeffrey V. Bailey), Prentice-Hall, 1999.
Fundamentals of Investments
(Third Edition, with Gordon J. Alexander and Jeffrey V. Bailey), Prentice-Hall, 2000.
Portfolio Theory and Capital Markets,the Original Edition with a Forward
McGraw-Hill Book Company (New York), 2000.  

Investors and Markets: Portfolio Choices, Asset Prices and Investment Advice
Princeton University Press, 2007


"A Simplified Model for Portfolio Analysis,"
Management Science, January 1963, pp. 277-293.
"Capital Asset Prices - A Theory of Market Equilibrium Under Conditions of Risk,"
Journal of Finance, September 1964, pp. 425-442.
"Risk-Aversion in the Stock Market - Some Empirical Evidence,"
Journal of Finance, September 1965, pp. 416-422.
"Mutual Fund Performance,"
Journal of Business, January 1966, pp. 119-138.
"A Linear Programming Algorithm for Mutual Fund Portfolio Selection,"
Management Science, March 1967, pp. 499-510.
"Mean-Absolute Deviation Characteristic Lines for Securities and Portfolios,"
Management Science, October 1971, pp. B-1-B-13.
"A Linear Programming Approximation for the General Portfolio Analysis Problem,"
Journal of Financial and Quantitative Analysis, December 1971, pp. 1263-1275.
"Risk, Market Sensitivity and Diversification,"
Financial Analysts Journal, January/February 1972, pp. 74-79.
"Risk-Return Classes of New York Stock Exchange Common Stocks, 1931-1967,"
(with Guy M. Cooper), Financial Analysts Journal, March/April 1972, pp. 46-54, 81, 95-101.
"The Capital Asset Pricing Model: Traditional and 'Zero-Beta' Versions,"
Journal of the Midwest Finance Association, 1973, pp. 1-12.
"Bonds Versus Stocks: Some Lessons From Capital Market Theory,"
Financial Analysts Journal, November/December 1973, pp. 74-80.
"Imputing Expected Returns From Portfolio Composition,"
Journal of Financial and Quantitative Analysis, June 1974, pp. 463-472.
"Adjusting for Risk in Portfolio Performance Measurement,"
Journal of Portfolio Management, Winter 1975.
"Closed-end Investment Companies in the United States"
(with Howard B. Sosin), European Finance Association, 1974 Proceedings (B. Jacquillat, Editor), North-Holland, 1975, pp. 37-63.
"Likely Gains From Market Timing,"
Financial Analysts Journal, March/April 1975, pp. 60-69.
"Risk, Return and Yield: New York Stock Exchange Common Stocks, 1928-1969"
(with Howard B. Sosin), Financial Analysts Journal, March/April 1976, pp. 33-42.
"Corporate Pension Funding Policy,"
Journal of Financial Economics, June 1976, pp. 183-193.
"The Capital Asset Pricing Model: A 'Multi-Beta' Interpretation,"
Financial Decision Making Under Uncertainty, (Haim Levy and Marshall Sarnat, Editors), Academic Press (New York), 1977, pp. 127-136.
"Bank Capital Adequacy, Deposit Insurance, and Security Values,"
Journal of Financial and Quantitative Analysis, November 1978, pp. 701-718.
"Duration and Security Risk",
(with Ronald Lanstein) Journal of Financial and Quantitative Analysis, November 1978, pp. 653-668.
"Decentralized Investment Management,"
Journal of Finance, May 1981, pp. 217-234.
"Bank Capital Adequacy, Deposit Insurance, and Security Values
Risk and Capital Adequacy in Commercial Banks, (Sherman J. Maisel, Editor), University of Chicago Press, 1981, pp. 187-202.
"Some Factors in New York Stock Exchange Security Returns, 1931-1979,"
Journal of Portfolio Management, Summer 1982, pp. 5-19.
"Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans",
(with J. Michael Harrison), Financial Aspects of the United States Pension System , (Zvi Bodie and John B. Shoven, Editors), The University of Chicago Press (Chicago), 1983, pp. 91-105.
"Factor models, CAPMs, and the APT,"
Journal of Portfolio Management, Fall 1984, pp. 21-25.
"Practical Aspects of Portfolio Optimization,"
Improving the Investment Decision Process: Quantitative Assistance for the Practitioner and for the Firm, Dow-Jones Irwin (Homewood, Illinois), 1984, pp. 52-65.
"Financial Implications of South African Divestment,",
(with Blake R. Grossman)Financial Analysts Journal, July/August 1986, pp. 15-29.
"An Algorithm for Portfolio Improvement,"
Advances in Mathematical Programming and Financial Planning, (K.D. Lawrence, J.B. Guerard, Jr., and Gary D. Reeves, Editors), JAI Press, Inc., 1987, pp. 155-170.
"Integrated Asset Allocation,"
Financial Analysts Journal, September/October 1987, pp. 25-32.
"Dynamic Strategies for Asset Allocation",
(with Andre Perold), Financial Analysts Journal, January/February 1988, pp. 16-27.
"Determining a Fund's Effective Asset Mix,"
Investment Management Review, November/December 1988, pp. 59-69.
"Asset Allocation,"
Managing Investment Portfolios, A Dynamic Process, (John L. Maginn and Donald L. Tuttle, Editors), Warren, Gorham & Lamont, 1990, pp. 7-1 through 7-71.
"Investor Wealth Measures and Expected Return,"
Quantifying the Market Risk Premium Phenomenon for Investment Decision Making, The Institute of Chartered Financial Analysts, 1990, pp. 29-37
"Liabilities -- A New Approach,"
(with Lawrence G. Tint), Journal of Portfolio Management, Winter 1990, pp. 5-10.
"Capital Asset Prices with and without Negative Holdings,"
Journal of Finance, June 1991, pp. 489-509.
"Policy Asset Mix, Tactical Asset Allocation and Portfolio Insurance,"
Active Asset Allocation, State-of-the-Art Portfolio Policies, Strategies & Tactics, (Robert D. Arnott and Frank J. Fabozzi, Editors), Probus Publishing Company, 1992, pp. 115-133.
"Asset allocation: Management style and performance measurement,"
Journal of Portfolio Management, Winter 1992, pp. 7-19.
"International Value and Growth Stock Returns,"
(with Carlo Capaul and Ian Rowley) Financial Analyst's Journal, January/February 1993, pp. 27-36.
"The Sharpe Ratio,"
Journal of Portfolio Management, Fall 1994, pp. 49-58.
"Nuclear Financial Economics,"
Risk Management: Problems & Solutions, (William H. Beaver and George Parker, editors), McGraw-Hill, 1995, pp. 17-35.

"Budgeting and Monitoring Pension Fund Risk,"
        Financial Analysts' Journal, Vol. 56, No. 5 (September/October 2002), 74-86.

"Asset Allocation" (with Peng Chen, Jerald E. Pinto and Dennis W. McLeavey), pp. 230-327 in John L. Maginn, Donald L. Tuttle, Dennis W. McLeavey and Jerald E. Pinto, Managing Investment Portfolios, A Dynamic Process, Third Edition, John Wiley & Sons, 2007