Bob Litterman

Finance · 2003

A researcher in the Science corpus: 1 paper; trusts 2 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Bob Litterman trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Robert F. Engle
  2. Narasimhan Jegadeesh
  3. Eugene F. Fama
  4. Tim Bollerslev
  5. R. C. Merton
  6. P. Bostock
  7. Eric Zitzewitz
  8. Kenneth R. French

Who trusts Bob Litterman overall

  1. Thomas M. Idzorek
  2. K. Brown
  3. Rosella Giacometti
  4. Lorenzo Garlappi
  5. Victor DeMiguel
  6. Guofu Zhou
  7. M. Bertocchi
  8. Jun Tu
  9. Raymond Kan
  10. Cristian Tiu

Papers from Bob Litterman's perspective

Ordered by how strongly the researchers Bob Litterman trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Generalized autoregressive conditional heteroskedasticity
  2. The Cross-Section of Volatility and Expected Returns
  3. The Cross‐Section of Expected Stock Returns
  4. The Behavior of Stock-Market Prices
  5. The Pricing of Options and Corporate Liabilities
  6. The jump-risk premia implicit in options: evidence from an integrated time-series study $
  7. CAPM Over the Long-Run: 1926-2001
  8. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
  9. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
  10. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

Their papers