Acknowledgments |
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xiii | |
Introduction |
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1 | (8) |
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David Leinweber, President, Leinweber & Co |
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9 | (20) |
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10 | (3) |
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13 | (3) |
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16 | (2) |
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A Little Artificial Intelligence Goes a Long Way |
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18 | (2) |
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How Do You Keep the Rats from Eating the Wires |
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20 | (3) |
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Stocks are Stories, Bonds are Mathematics |
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23 | (3) |
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26 | (3) |
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Ronald N. Kahn, Global Head of Advanced Equity Strategies, Barclays Global Investors |
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29 | (20) |
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30 | (4) |
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BARRA's First Rocket Scientist |
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34 | (8) |
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Active Portfolio Management |
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42 | (2) |
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Barclays Global Investors |
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44 | (2) |
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46 | (3) |
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Gregg E. Berman, Strategic Business Development, RiskMetrics Group |
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49 | (18) |
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50 | (3) |
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53 | (4) |
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57 | (1) |
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57 | (2) |
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59 | (1) |
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60 | (1) |
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A Circuitous Route to Wall Street |
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61 | (4) |
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65 | (2) |
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Evan Schulman, Chairman, Upstream Technologies, LLC |
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67 | (16) |
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68 | (1) |
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69 | (1) |
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69 | (1) |
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70 | (1) |
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71 | (1) |
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72 | (1) |
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73 | (1) |
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73 | (2) |
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75 | (1) |
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75 | (1) |
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76 | (3) |
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79 | (2) |
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81 | (2) |
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Leslie Rahl, President, Capital Market Risk Advisors |
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83 | (12) |
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83 | (2) |
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College and Graduate School |
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85 | (3) |
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Nineteen Years at Citibank |
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88 | (2) |
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Fifteen Years (So Far!) Running Capital Market Risk Advisors |
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90 | (2) |
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92 | (1) |
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92 | (1) |
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So How Did I Become a Quant? |
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92 | (3) |
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Thomas C. Wilson, Chief Insurance Risk Officer, ING Group |
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95 | (12) |
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Quantitative Finance: The Means to an End? |
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96 | (2) |
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98 | (1) |
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The Early 1990s: The Market Risk Era |
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99 | (2) |
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The Late 1990s: The Credit Risk Era |
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101 | (1) |
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The Great Strategy Debate: From the 1990s to Today |
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102 | (2) |
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104 | (3) |
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Neil Chriss, Former Managing Director of Quantitative Strategies, SAC Capital Management, LLC |
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107 | (30) |
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108 | (3) |
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Of Explorers and Mountain Climbers |
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111 | (2) |
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113 | (4) |
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117 | (1) |
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The University of Chicago PhD Program |
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118 | (2) |
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120 | (4) |
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The Harvard Mathematics Department |
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124 | (1) |
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125 | (2) |
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127 | (1) |
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Quant Research and the Mathematics of Portfolio Trading |
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128 | (2) |
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Quantitative Portfolio Management |
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130 | (1) |
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Mathematical Finance Education |
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131 | (2) |
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133 | (4) |
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Peter Carr, Head of Quantitative Financial Research, Bloomberg |
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137 | (6) |
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138 | (1) |
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Accounting for the Future Instead of the Past |
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139 | (1) |
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140 | (1) |
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141 | (2) |
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Mark Anson, CEO, Hermes Pensions Management Ltd. CEO, British Telecommunications Pension Scheme |
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143 | (8) |
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144 | (2) |
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146 | (2) |
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148 | (1) |
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149 | (2) |
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Bjorn Flesaker, Senior Quant, Bloomberg L.P. |
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151 | (12) |
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152 | (3) |
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155 | (5) |
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Heeding the Call of the Street |
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160 | (2) |
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Becoming a Real Quant Again |
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162 | (1) |
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163 | (14) |
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164 | (1) |
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165 | (2) |
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167 | (1) |
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All the Models in the World |
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168 | (2) |
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170 | (3) |
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173 | (4) |
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Andrew Davidson, President, Andrew Davidson & Co., Inc |
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177 | (10) |
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Conjecture 1: If It Quacks Like a Quant |
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177 | (2) |
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If You Don't Know Where You Are Going, any Road Will Get You There |
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179 | (2) |
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Pay No Attention to the Man behind the Curtain |
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181 | (1) |
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If It May Be True in Theory but It Won't Work in Practice, Get a Better Theory |
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182 | (3) |
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To Thine Own Self Be True |
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185 | (2) |
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Andrew B. Weisman, Managing Director, Merrill Lynch |
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187 | (10) |
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188 | (1) |
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Trading for Fun and Profit |
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189 | (1) |
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190 | (4) |
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194 | (3) |
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Clifford S. Asness, Managing and Founding Principal, AQR Capital Management, LLC |
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197 | (14) |
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198 | (1) |
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199 | (3) |
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202 | (4) |
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206 | (1) |
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207 | (4) |
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Stephen Kealhofer, Managing Partner, Diversified Credit Investments |
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211 | (16) |
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213 | (1) |
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214 | (3) |
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217 | (2) |
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219 | (1) |
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Portfolio Management of Credit Risk |
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220 | (3) |
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223 | (4) |
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Julian Shaw, Head Risk Management & Quantitative Research, Permal Group |
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227 | (16) |
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229 | (2) |
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231 | (1) |
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232 | (1) |
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233 | (1) |
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234 | (1) |
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The Strange Evolution of Value at Risk |
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235 | (1) |
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236 | (1) |
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236 | (1) |
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237 | (1) |
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The Art of Leaving Things Out |
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238 | (1) |
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The Art of Choosing the Right Tools |
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238 | (2) |
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Do Quants Lack Business Sense? |
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240 | (1) |
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241 | (2) |
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Steve Allen, Deputy Director, Masters Program in Mathematics in Finance, Courqnt Institute of Mathematical Sciences, New York University |
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243 | (8) |
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In Which the Author Is Seriously Misled |
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243 | (3) |
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In Which a Fortuitous Opportunity Appears |
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246 | (2) |
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In Which Reason Prevails and All Rejoice |
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248 | (3) |
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Mark Kritzman, President and CEO, Windham Capital Management, LLC |
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251 | (12) |
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252 | (2) |
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How I Developed My Quant Skills |
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254 | (1) |
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How I Applied My Quantitative Training |
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255 | (6) |
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261 | (2) |
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Bruce I. Jacobs and Kenneth N. Levy, Principals, Jacobs Levy Equity Management |
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263 | (22) |
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Portraits of Two Investors |
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264 | (1) |
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New Concepts, Foggy Ideas |
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265 | (3) |
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The Jacobs Levy Investment Approach |
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268 | (1) |
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Benefits of Disentangling |
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269 | (4) |
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Integrating the Investment Process |
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273 | (2) |
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Relaxing Portfolio Constraints |
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275 | (2) |
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Integrated Long-Short Optimization |
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277 | (1) |
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Books and an Ethical Debate |
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278 | (3) |
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Portfolio Optimization and Market Simulation with Shorting |
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281 | (4) |
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Tanya Styblo Beder, Chairman, SBCC |
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285 | (10) |
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286 | (3) |
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289 | (1) |
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290 | (2) |
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292 | (1) |
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293 | (2) |
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Allan Malz, Head of Risk Management, Clinton Group |
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295 | (10) |
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296 | (1) |
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How Not to Get a PhD, Continued |
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297 | (3) |
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300 | (2) |
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302 | (3) |
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Peter Muller, Senior Advisor, Morgan Stanley |
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305 | (12) |
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305 | (3) |
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308 | (2) |
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You Gotta Know When to Fold'em |
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310 | (2) |
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The Call that Changed Everything |
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312 | (5) |
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Andrew J. Sterge, President, AJ Sterge (a division of Magnetar Financial, LLC) |
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317 | (12) |
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320 | (1) |
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321 | (1) |
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Early Days at Cooper Neff |
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322 | (2) |
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Active Portfolio Strategies |
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324 | (3) |
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327 | (2) |
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Senior Principal of Marshall, Tucker & Associates, LLC and Vice Chairman of the International Securities Exchange, John F. (Jack) Marshall |
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329 | (10) |
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From Premed to Derivatives |
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330 | (1) |
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Frustration with Academia and the Birth of a Profession |
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331 | (3) |
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The IAFE and the Road to MSFE Degrees |
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334 | (5) |
Notes |
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339 | (20) |
Bibliography |
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359 | (4) |
About the Contributors |
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363 | (16) |
About the Authors |
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379 | (2) |
Index |
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381 | |