CAPM and Efficient Frontier:
- The Variation of Certain Speculative Prices Benoit Mandelbrot, 1962
- Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk William F Sharpe, 1964
- The Capital Asset Pricing Model: Some Empirical Tests, F Black, M Jensen, M Scholes, 1972
- Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios F Black, 1995
- The Makowitz Optimization Enigma: Is Optimized Optimal?, Richard Michaud, 1989
- Asset allocation:combining investor views with market equilibrium, F Black, R Litterman, 1990
- Efficient Asset Management Richard Michaud, 1998
- Modern Portfolio Theory, 1950 to Date, E Edwin, M Gruber, 1997
- Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, O Ledoit, M Wolf, 2000
- Deconstructing Black-Litterman: How to Get the Portfolio You Already Knew You Wanted, R Michaud, R Michaud, 2012
- Robust Asset Allocation for Robo-Advisors, T Bourgeron, E Lezmi, T Roncali, 2018
- A Robust Estimator of the Efficient Frontier M Lopez de Prado, 2019
Factor Portfolios:
- The Cross-section of Expected Stock Returns Eugene Fama, Kenneth French, 1992
- A five-factors Asset Pricing Model Eugene Fama, Kenneth French, 2015
- Choosing Factors Eugene Fama, Kenneth French, 2018
- Which Factors Kewei Hou,Haitao Mo,Chen Xue,Lu Zhang 2018
- q5 Kewei Hou,Haitao Mo,Chen Xue,Lu Zhang 2018
Investment Timing
- Explaining the recent failure of value investing Baruch Lev, Anup Srivastava, 2019
- Understanding the performance of the Equity Value Factor by Thierry Roncali, Lauren Stagnol, 2021
- rInvesting in deflation, inflation, and stagflation regimes Guido Baltussen, Laurens Swinkels, Pim van Vliet, 2022
Fundamentals:
- Capital Allocation Michael Mauboussin, Dan Callahan 2022
Fun Article:
- New approach to solving the cubic: Cardan's solution revealed by R W D Nickalls
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