Portfolio Lab
Sign inCreate account

Literature: authors starting with B

78 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters

Bessembinder et al. (2020) · A Survey of the Microstructure of Fixed-Income Markets

Bessembinder, Hendrik; Spatt, Chester; Venkataraman, Kumar. Journal of Financial and Quantitative Analysis 55 (1), pp. 1–45. doi:10.1017/S0022109019000231

A survey of trading rules and costs in bond markets (government, corporate and municipal bonds, securitized products) compared with equities: OTC trading with search costs, dealer networks, limited transparency.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing

Bessembinder et al. (2023) · Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks

Bessembinder, Hendrik; Chen, Te-Feng; Choi, Goeun; Wei, K. C. John. Financial Analysts Journal 79 (3), pp. 33–63. doi:10.1080/0015198X.2023.2188870

Globally too, most stocks returned less than one-month US Treasury bills from 1990 to 2020, and a small fraction of companies created all of the wealth.

Cited in: Stock picking: why individual stocks are so hard to get right

Best and Grauer (1991) · On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

Best, Michael J.; Grauer, Robert R.. Review of Financial Studies 4 (2), pp. 315–342. doi:10.1093/rfs/4.2.315

Shows how much optimal weights shift even with small changes in expected returns.

Cited in: Efficient frontier: Markowitz portfolio optimization · Beyond Markowitz: estimation error, noise and true diversification · Covariance estimation: why optimizers need shrinkage · Michaud resampled optimization: more stable portfolio weights through simulation · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Betzer and Theissen (2009) · Insider Trading and Corporate Governance: The Case of Germany

Betzer, André; Theissen, Erik. European Financial Management 15 (2), pp. 402–429. doi:10.1111/j.1468-036x.2007.00422.x

German insider trades are associated with significant abnormal returns, more so ahead of earnings announcements; ownership structure and accounting matter, the insider's position does not.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal

Bhardwaj et al. (2014) · Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Bhardwaj, Geetesh; Gorton, Gary B.; Rouwenhorst, K. Geert. Review of Financial Studies 27 (11), pp. 3099–3132. doi:10.1093/rfs/hhu040

CTAs from 1994 to 2012: no significant excess return over US money market instruments after fees, against 6.1% before fees, most of which the managers kept; no alpha relative to simple futures strategies.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · CTAs and managed futures: industry, position sizing, costs and crisis protection · Glossary: Performance fee

Bhardwaj et al. (2015) · Facts and Fantasies about Commodity Futures Ten Years Later

Bhardwaj, Geetesh; Gorton, Gary; Rouwenhorst, Geert. National Bureau of Economic Research, NBER Working Paper 21243. doi:10.3386/w21243

Re-examines the findings of Gorton and Rouwenhorst (2006) out of sample ten years later; they essentially hold.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Bhattacharya and Daouk (2002) · The World Price of Insider Trading

Bhattacharya, Utpal; Daouk, Hazem. The Journal of Finance 57 (1), pp. 75–108. doi:10.1111/1540-6261.00416

Of 103 countries with a stock market, 87 had insider trading laws but only 38 enforced them; the cost of equity fell only after the first prosecution.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal

Black (1972) · Capital Market Equilibrium with Restricted Borrowing

Black, Fischer. The Journal of Business 45 (3). doi:10.1086/295472

Presents the CAPM without risk-free borrowing (the zero-beta CAPM) and explains why the security market line can be flatter.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Leverage in a portfolio: return, risk, costs and margin calls · The low-volatility anomaly and betting against beta · Glossary: Security market line · Glossary: Zero-beta CAPM

Black and Scholes (1973) · The Pricing of Options and Corporate Liabilities

Black, Fischer; Scholes, Myron. Journal of Political Economy 81 (3), pp. 637–654. doi:10.1086/260062

The Black-Scholes formula for option prices; the basis of implied volatility.

Cited in: VIX: how to read the stock market's fear gauge · Option pricing: where fair option prices come from · Glossary: Option · Glossary: Black-Scholes model · Glossary: Implied volatility

Black (1976) · The pricing of commodity contracts

Black, Fischer. Journal of Financial Economics 3 (1-2), pp. 167–179. doi:10.1016/0304-405X(76)90024-6

Valuation of forward and futures contracts and of options on them (the Black-76 model).

Cited in: Option pricing: where fair option prices come from · Option pricer: how Portfolio Lab values options · Glossary: Black-76 model

Black and Jones (1987) · Simplifying portfolio insurance

Black, Fischer; Jones, Robert W.. The Journal of Portfolio Management 14 (1), pp. 48–51. doi:10.3905/jpm.1987.409131

Introduces the CPPI rule: an equity exposure equal to a fixed multiple of the cushion above a floor.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: CPPI

Black and Perold (1992) · Theory of constant proportion portfolio insurance

Black, Fischer; Perold, André F.. Journal of Economic Dynamics and Control 16 (3-4), pp. 403–426. doi:10.1016/0165-1889(92)90043-E

Mathematical theory of CPPI: how the strategy's value and cushion evolve and what properties it has.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: CPPI

Black and Litterman (1992) · Global Portfolio Optimization

Black, Fischer; Litterman, Robert. Financial Analysts Journal 48 (5), pp. 28–43. doi:10.2469/faj.v48.n5.28

The Black-Litterman model: market equilibrium as the starting point, with the investor's own views blended in by Bayesian methods according to the confidence placed in them.

Cited in: Black-Litterman: incorporating your own views cleanly · Michaud resampled optimization: more stable portfolio weights through simulation · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Bayesian statistics

Blake et al. (1993) · The Performance of Bond Mutual Funds

Blake, Christopher R.; Elton, Edwin J.; Gruber, Martin J.. The Journal of Business 66 (3). doi:10.1086/296609

US bond funds lag appropriate indices after costs; one percentage point more in costs reduces returns by about one percentage point, and past results do not predict future ones.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Blanc-Brude and Hasan (2016) · A Structural Model of Credit Risk for Illiquid Debt

Blanc-Brude, Frédéric; Hasan, Majid. The Journal of Fixed Income 26 (1), pp. 6–19. doi:10.3905/jfi.2016.26.1.006

Structural credit risk model for illiquid debt without a price history: the path of the debt service coverage ratio, the repayment schedule and the covenants are enough to estimate the default risk of project finance.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Project finance · Glossary: Debt service coverage ratio (DSCR)

Blanc-Brude et al. (2017) · Searching for a listed infrastructure asset class using mean–variance spanning

Blanc-Brude, Frédéric; Whittaker, Timothy; Wilde, Simon. Financial Markets and Portfolio Management 31 (2), pp. 137–179. doi:10.1007/s11408-017-0286-z

Defined by sector, listed infrastructure stocks do not form a separate asset class and do not improve existing portfolios; a definition based on business model reveals a different profile.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

Blanc-Brude et al. (2018) · Calibrating Credit Risk Dynamics in Private Infrastructure Debt

Blanc-Brude, Frédéric; Hasan, Majid; Whittaker, Timothy. The Journal of Fixed Income 27 (4), pp. 54–71. doi:10.3905/jfi.2018.27.4.054

Calibrates the dynamics of the debt service coverage ratio with Bayesian methods on cash flows from 267 European infrastructure projects over 17 years; rating agency models give a biased estimate of the credit risk of private debt.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Debt service coverage ratio (DSCR)

Blanchard and Watson (1982) · Bubbles, Rational Expectations and Financial Markets

Blanchard, Olivier J.; Watson, Mark W.. National Bureau of Economic Research, Working Paper 945. doi:10.3386/w0945

Rational bubbles: bubbles, runaway prices and crashes can be consistent with rational behavior, but they are hard to detect statistically.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Rational bubble

Blitz et al. (2012) · The Performance of European Index Funds and Exchange-Traded Funds

Blitz, David; Huij, Joop; Swinkels, Laurens. European Financial Management 18 (4), pp. 649–662. doi:10.1111/j.1468-036x.2010.00550.x

European index funds and ETFs lag their indices by 50 to 150 basis points a year; withholding tax on dividends explains this at least as well as costs do.

Cited in: Index providers and valuation points: why the same index is calculated differently

Block et al. (2024) · A Survey of Private Debt Funds

Block, Joern; Jang, Young Soo; Kaplan, Steven N.; Schulze, Anna. The Review of Corporate Finance Studies 13 (2), pp. 335–383. doi:10.1093/rcfs/cfae001

A survey of private debt funds in the US and Europe: how they select loans, negotiate covenants, use leverage and work with private equity sponsors.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles · Glossary: Direct lending · Glossary: Covenant

Bloomberg Methodology (2026) · Bloomberg Fixed Income Index Methodology

Bloomberg Index Services Limited. Bloomberg, January 8, 2026; accessed October 25, 2026. Source

Common rules of the Bloomberg bond indices: minimum issue size, the middle of three ratings, remaining maturity of at least one year and monthly rebalancing.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Index providers and valuation points: why the same index is calculated differently · Glossary: Bums problem

BCOM methodology (2026) · Bloomberg Commodity Index Methodology

Bloomberg Index Services Limited. Bloomberg, February 2026; accessed October 25, 2026. Source

Rules of the Bloomberg Commodity Index: liquidity and production in a 2:1 ratio, caps and floors per commodity and group, rolling from the 6th to the 10th business day, total return with US Treasury bills.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Glossary: Collateral yield

Blume and Edelen (2004) · S&P 500 Indexers, Tracking Error, and Liquidity

Blume, Marshall E.; Edelen, Roger M.. The Journal of Portfolio Management 30 (3), pp. 37–46. doi:10.3905/jpm.2004.412317

S&P 500 funds could gain return by trading early after announcements, but to keep tracking error small they trade at the closing price, often through arrangements with liquidity providers.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes

Federal Reserve (2026) · Federal Reserve Board's annual bank stress test confirms that large banks are well positioned to weather a severe recession (press release)

Board of Governors of the Federal Reserve System. Federal Reserve Board, June 24, 2026; accessed October 25, 2026. Source

2026 stress test of 32 large banks: a severe global recession with unemployment of up to 10%, house prices down 30% and commercial real estate down 39%; losses of more than $708 billion and an aggregate capital ratio decline of 1.6 percentage points.

Cited in: Scenario analysis and sensitivity analysis: stress testing equity, interest rate, credit and currency risk

Bodie et al. (1992) · Labor supply flexibility and portfolio choice in a life cycle model

Bodie, Zvi; Merton, Robert C.; Samuelson, William F.. Journal of Economic Dynamics and Control 16 (3-4), pp. 427–449. doi:10.1016/0165-1889(92)90044-f

Life cycle: people who can flexibly work longer can hold more equities when young.

Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says · Your whole wealth: total wealth from portfolio, home, human capital and car · Financial goals methodology: how Portfolio Lab simulates a life plan · Glossary: Life-cycle model · Glossary: Human capital

Boehmer et al. (1991) · Event-study methodology under conditions of event-induced variance

Boehmer, Ekkehart; Musumeci, Jim; Poulsen, Annette B.. Journal of Financial Economics 30 (2), pp. 253–272. doi:10.1016/0304-405X(91)90032-F

If the event raises variance, the usual tests reject too often; a standardized cross-sectional test (BMP test) fixes this without any loss of power.

Cited in: Event studies: how to measure and test price reactions to events

Boehmer et al. (2008) · Which Shorts Are Informed?

Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan. The Journal of Finance 63 (2), pp. 491–527. doi:10.1111/j.1540-6261.2008.01324.x

NYSE order data 2000 to 2004: heavily shorted stocks perform significantly worse over the following 20 trading days than lightly shorted ones, and institutional short sales outside program trading are the most informative.

Cited in: Short selling, hedge funds and hedging: types and how they work

Bogle (2007) · The Little Book of Common Sense Investing

Bogle, John C.. Wiley.

A case for low-cost, broad index funds: costs determine the returns investors actually earn.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Index fund

Bogousslavsky and Muravyev (2021) · Who Trades at the Close? Implications for Price Discovery, Liquidity, and Disagreement

Bogousslavsky, Vincent; Muravyev, Dmitriy. Preliminary version for the 2021 Annual Meeting of the American Economic Association; revised version published in the Journal of Financial Markets 66 (2023). Source

In 2018 the closing auction already accounted for 7.5% of daily volume in US stocks, up from 3.1% in 2010; index funds and ETFs pull trading toward the close, and deviations in closing prices subsequently reverse.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Closing auction

Böhme and Holz (2006) · The Effect of Stock Spam on Financial Markets

Böhme, Rainer; Holz, Thorsten. SSRN Working Paper 897431. doi:10.2139/ssrn.897431

Links incoming stock spam emails with market data and finds marked short-term reactions in trading volume and price.

Cited in: Pump and dump and penny stocks: how the scam works

Bollen et al. (2011) · Twitter mood predicts the stock market

Bollen, Johan; Mao, Huina; Zeng, Xiaojun. Journal of Computational Science 2 (1), pp. 1–8. doi:10.1016/j.jocs.2010.12.007

Mood measures from Twitter posts in 2008; individual mood dimensions are said to have predicted the daily direction of the Dow Jones considerably better.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Bollerslev (1986) · Generalized autoregressive conditional heteroskedasticity

Bollerslev, Tim. Journal of Econometrics 31 (3), pp. 307–327. doi:10.1016/0304-4076(86)90063-1

Generalizes ARCH to GARCH, today the standard model for time-varying volatility.

Cited in: Volatility: how much a portfolio fluctuates · Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · VIX: how to read the stock market's fear gauge · Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Glossary: GARCH model

Bollerslev et al. (2009) · Expected Stock Returns and Variance Risk Premia

Bollerslev, Tim; Tauchen, George; Zhou, Hao. Review of Financial Studies 22 (11), pp. 4463–4492. doi:10.1093/rfs/hhp008

The variance risk premium predicts stock returns over horizons of a few months.

Cited in: VIX: how to read the stock market's fear gauge · Volatility dashboard: methodology · Glossary: Variance risk premium

Bolton and Kacperczyk (2021) · Do investors care about carbon risk?

Bolton, Patrick; Kacperczyk, Marcin. Journal of Financial Economics 142 (2), pp. 517–549. doi:10.1016/j.jfineco.2021.05.008

US stocks of companies with higher CO₂ emissions earned higher returns, even after controlling for known factors, which the authors interpret as a premium for carbon risk.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds

Bond (2019) · T. Rowe Price: The Man, the Company, and the Investment Philosophy

Bond, Cornelius C.. Wiley.

A biography of Thomas Rowe Price Jr., who founded his firm in 1937 and set out to buy growth stocks early and hold them for a long time.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Bondarenko (2014) · Why Are Put Options So Expensive?

Bondarenko, Oleg. Quarterly Journal of Finance 4 (3), pp. 1450015. doi:10.1142/s2010139214500153

The puzzle of overpriced puts: historical prices of S&P 500 puts were inconsistent with standard equilibrium models, and a model-free method shows that no model from a broad class can explain them.

Cited in: Tail hedging: what put protection costs, when it pays off and what short-vol strategies teach

Böni and Manigart (2022) · Private Debt Fund Returns, Persistence, and Market Conditions

Böni, Pascal; Manigart, Sophie. Financial Analysts Journal 78 (4), pp. 121–144. doi:10.1080/0015198x.2022.2092384

Net-of-fee returns of private debt funds: above bond and equity benchmarks but widely dispersed, with persistence at manager level and dependent on credit market conditions.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles

Booth and Fama (1992) · Diversification Returns and Asset Contributions

Booth, David G.; Fama, Eugene F.. Financial Analysts Journal 48 (3), pp. 26–32. doi:10.2469/faj.v48.n3.26

Explains the diversification return: the geometric return of a portfolio exceeds the average of the individual geometric returns.

Cited in: CAGR: how to calculate the average annual return correctly · Compound interest: how returns on returns make wealth grow · Rebalancing: getting your portfolio back on course · Volatility drag: why volatility costs you return · Beyond Markowitz: estimation error, noise and true diversification · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Rebalancing bonus · Glossary: Volatility drag

Bouchaud et al. (2018) · Trades, Quotes and Prices: Financial Markets under the Microscope

Bouchaud, Jean-Philippe; Bonart, Julius; Donier, Jonathan; Gould, Martin. Cambridge University Press.

Textbook on order books, order flow and market impact, including the square-root law of market impact for large orders.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC

Bouchey et al. (2012) · Volatility Harvesting: Why Does Diversifying and Rebalancing Create Portfolio Growth?

Bouchey, Paul; Nemtchinov, Vassilii; Paulsen, Alex; Stein, David M.. The Journal of Wealth Management 15 (2), pp. 26–35. doi:10.3905/jwm.2012.15.2.026

Volatility harvesting: extra growth from diversifying and systematically rebalancing volatile, imperfectly correlated assets, but no higher arithmetic return.

Cited in: Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Volatility harvesting

Boudoukh et al. (2008) · The Myth of Long-Horizon Predictability

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F.. Review of Financial Studies 21 (4), pp. 1577–1605. doi:10.1093/rfs/hhl042

Warns against regressions with overlapping periods: the apparently high predictive power at long horizons is partly an artifact.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology · Glossary: Overlapping periods

Bouman and Jacobsen (2002) · The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle

Bouman, Sven; Jacobsen, Ben. American Economic Review 92 (5), pp. 1618–1635. doi:10.1257/000282802762024683

Returns from November to April exceed those from May to October in 36 of 37 stock markets, in the UK since 1694; tested with a regression on a dummy variable for the winter half-year.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Halloween effect

Box and Jenkins (1970) · Time Series Analysis: Forecasting and Control

Box, George E. P.; Jenkins, Gwilym M.. Holden-Day. Source

Introduces the Box-Jenkins method for ARIMA models: identify, estimate, check the residuals, forecast.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Glossary: ARIMA model

Boyle (1977) · Options: A Monte Carlo approach

Boyle, Phelim P.. Journal of Financial Economics 4 (3), pp. 323–338. doi:10.1016/0304-405x(77)90005-8

First application of Monte Carlo simulation in finance (option pricing).

Cited in: Monte Carlo simulation: how safe is your plan? · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Option pricer: how Portfolio Lab values options

Bradley et al. (2024) · Place Your Bets? The Value of Investment Research on Reddit’s Wallstreetbets

Bradley, Daniel; Hanousek, Jan; Jame, Russell; Xiao, Zicheng. The Review of Financial Studies 37 (5), pp. 1409–1459. doi:10.1093/rfs/hhad098

In-depth recommendations on WallStreetBets predicted returns and cash flow news before the GameStop squeeze but no longer did so afterward, while posts about price pressure and attention increased.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Braun et al. (2024) · In Pursuit of Trend-Following Beta: The Promise and Pitfalls of Replication

Braun, Steven; Hoffstein, Corey; Jablecki, Juliusz. SSRN Working Paper. doi:10.2139/ssrn.4990063

Tests whether an index of trend-following funds can be replicated: in principle yes, but simple regressions bring their own tracking risk, a trade-off between fee savings and forgone skill.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Brav et al. (2008) · Hedge Fund Activism, Corporate Governance, and Firm Performance

Brav, Alon; Jiang, Wei; Partnoy, Frank; Thomas, Randall. The Journal of Finance 63 (4), pp. 1729–1775. doi:10.1111/j.1540-6261.2008.01373.x

Activist hedge funds in the US from 2001 to 2006: success or partial success in two thirds of cases, an abnormal return of about 7% around the announcement with no subsequent reversal, followed by higher payouts and more frequent CEO turnover.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Schedule 13D · Glossary: Activist investor

Brée and Joseph (2013) · Testing for financial crashes using the Log Periodic Power Law model

Brée, David S.; Joseph, Nathan Lael. International Review of Financial Analysis 30, pp. 287–297. doi:10.1016/j.irfa.2013.05.005

Tests the model on eleven crashes in the Hang Seng from 1970 to 2008: the parameters fall only partly within the usual ranges, and the mechanism is not confirmed.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them

Breeden and Litzenberger (1978) · Prices of State-Contingent Claims Implicit in Option Prices

Breeden, Douglas T.; Litzenberger, Robert H.. The Journal of Business 51 (4). doi:10.1086/296025

The price of a claim that pays $1 if a portfolio lies between two values on a future date follows from the second derivative of the call price function, which is the basis of risk-neutral densities from option prices.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Glossary: Risk-neutral probability

Brennan and Schwartz (1988) · Time-Invariant Portfolio Insurance Strategies

Brennan, Michael J.; Schwartz, Eduardo S.. The Journal of Finance 43 (2), pp. 283–299. doi:10.1111/j.1540-6261.1988.tb03939.x

Describes the entire class of time-invariant insurance strategies, which need no fixed end date.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier

Brennan and Schwartz (1989) · Portfolio Insurance and Financial Market Equilibrium

Brennan, Michael J.; Schwartz, Eduardo S.. The Journal of Business 62 (4). doi:10.1086/296472

Equilibrium model with an insured investor: how the risk premium, the cost of insurance, market volatility and interest rates depend on the share of insurance.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier

Breuer et al. (2009) · How to Find Plausible, Severe, and Useful Stress Scenarios

Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; Summer, Martin. International Journal of Central Banking 5 (3), pp. 205–224. Source

Measures the plausibility of a scenario with the Mahalanobis distance and systematically searches the plausible region for the scenario with the largest loss; setting unstressed factors to their conditional expected value maximizes plausibility.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario analysis and sensitivity analysis: stress testing equity, interest rate, credit and currency risk · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Conditional expectation · Glossary: Mahalanobis distance

Brigo et al. (2013) · Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes

Brigo, Damiano; Morini, Massimo; Pallavicini, Andrea. Wiley.

Valuation of counterparty risk with collateral and funding costs, with case studies for all asset classes, including wrong-way risk.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps

Brinson and Fachler (1985) · Measuring non-US. equity portfolio performance

Brinson, Gary P.; Fachler, Nimrod. The Journal of Portfolio Management 11 (3), pp. 73–76. doi:10.3905/jpm.1985.409005

Measures non-US equity portfolios against country indices and separates country allocation from stock selection; the Brinson-Fachler variant of attribution goes back to this paper.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays · Performance attribution: Brinson decomposition, factors and linking over time · Risk & attribution: methodology of risk decomposition and Brinson attribution · Glossary: Brinson attribution · Glossary: Allocation effect

Brixton et al. (2023) · A Changing Stock–Bond Correlation: Drivers and Implications

Brixton, Alfie; Brooks, Jordan; Hecht, Pete; Ilmanen, Antti; Maloney, Thomas; McQuinn, Nicholas. The Journal of Portfolio Management 49 (4), pp. 64–80. doi:10.3905/jpm.2023.1.459

The correlation between stocks and bonds was negative in the first two decades of the 21st century and often positive in the century before; greater inflation uncertainty can turn it positive again.

Cited in: Leveraged ETFs and return stacking: how they work, long holding periods, costs and research · Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Broadie et al. (1997) · A Continuity Correction for Discrete Barrier Options

Broadie, Mark; Glasserman, Paul; Kou, Steven. Mathematical Finance 7 (4), pp. 325–349. doi:10.1111/1467-9965.00035

Discretely monitored barrier options can be valued with continuous-time formulas if the barrier is shifted by exp(0.5826 σ √Δt).

Cited in: Option pricing: where fair option prices come from · Option pricer: how Portfolio Lab values options · Glossary: Barrier option

Brock et al. (1992) · Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

Brock, William; Lakonishok, Josef; LeBaron, Blake. The Journal of Finance 47 (5), pp. 1731–1764. doi:10.1111/j.1540-6261.1992.tb04681.x

Moving averages and trading range breakouts on the Dow Jones in 1897–1986, tested against random models with the bootstrap.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Brooks et al. (2020) · Active Fixed Income Illusions

Brooks, Jordan; Gould, Tony; Richardson, Scott. The Journal of Fixed Income 29 (4), pp. 5–19. doi:10.3905/jfi.2020.1.086

The active returns of bond funds are largely explained by passive exposures to traditional risk premiums, above all credit risk; little genuine alpha remains.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Glossary: Credit beta

Brown and Warner (1980) · Measuring security price performance

Brown, Stephen J.; Warner, Jerold B.. Journal of Financial Economics 8 (3), pp. 205–258. doi:10.1016/0304-405X(80)90002-1

Simulates event studies with monthly data: simple methods for the normal return perform hardly worse than sophisticated ones.

Cited in: Event studies: how to measure and test price reactions to events

Brown and Warner (1985) · Using daily stock returns: The case of event studies

Brown, Stephen J.; Warner, Jerold B.. Journal of Financial Economics 14 (1), pp. 3–31. doi:10.1016/0304-405X(85)90042-X

Simulation with 250 samples of 50 stocks each: with daily data the market model is well specified, but if variance rises on the event day, the usual tests reject too often.

Cited in: Event studies: how to measure and test price reactions to events

Bruck (1988) · The Predators’ Ball: The Junk-Bond Raiders and the Man Who Staked Them

Bruck, Connie. Simon and Schuster.

Michael Milken and Drexel Burnham Lambert: how high-yield bonds financed takeovers in the 1980s.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Brunnermeier et al. (2008) · Carry Trades and Currency Crashes

Brunnermeier, Markus K.; Nagel, Stefan; Pedersen, Lasse H.. NBER Macroeconomics Annual 23 (1), pp. 313–348. doi:10.1086/593088

Carry trades carry crash risk: exchange rate moves between high- and low-interest currencies are negatively skewed, and losses arise from sudden unwinding when risk appetite and funding liquidity fall.

Cited in: Carry trade: earning interest with currencies and bonds · Carry backtest: methodology for FX and bond carry · Glossary: Carry trade · Glossary: Carry crash

Brunnermeier and Pedersen (2009) · Market Liquidity and Funding Liquidity

Brunnermeier, Markus K.; Pedersen, Lasse Heje. Review of Financial Studies 22 (6), pp. 2201–2238. doi:10.1093/rfs/hhn098

A model in which market liquidity and traders' funding (capital and margins) depend on each other: margins can be destabilizing and trigger liquidity spirals.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Basis trades: positive and negative basis in bonds, CDS and futures · Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds · Backtest methodology: data, process, rebalancing and costs · Glossary: Margin call · Glossary: Deleveraging

Bucher-Koenen et al. (2023) · Financial literacy, stock market participation, and financial wellbeing in Germany

Bucher-Koenen, Tabea; Janssen, Bennet; Knebel, Caroline; Tzamourani, Panagiota. Journal of Financial Literacy and Wellbeing 1 (3), pp. 486–513. doi:10.1017/flw.2024.5

Bundesbank PHF survey 2021: 81.0% answer the interest question, 88.3% the inflation question and 77.1% the diversification question correctly, 61.8% all three; among stockholders 76.5%, otherwise 57.4%.

Cited in: Glossary: Financial literacy

Buchner et al. (2010) · Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and Empirical Evidence

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas. The Journal of Alternative Investments 13 (1), pp. 41–54. doi:10.3905/jai.2010.13.1.041

Continuous-time stochastic model of private equity fund cash flows: the contribution rate as a mean-reverting square-root process and distributions as Brownian motion with time-dependent drift, calibrated to European funds.

Cited in: Takahashi-Alexander model: forecasting the cash flows of private markets funds

Budish et al. (2015) · The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response

Budish, Eric; Cramton, Peter; Shim, John. The Quarterly Journal of Economics 130 (4), pp. 1547–1621. doi:10.1093/qje/qjv027

In the continuous limit order book, correlations break down at the shortest time scales; this creates mechanical arbitrage rents and an arms race for speed. Proposal: frequent batch auctions, for example every tenth of a second.

Cited in: Glossary: Latency arbitrage

Buffett (2014) · Berkshire Hathaway Inc.: Letter to Shareholders 2013 (letter dated February 28, 2014)

Buffett, Warren E.. Berkshire Hathaway Inc., Omaha; accessed October 25, 2026. Source

Contains Buffett's advice to the trustee for his wife's inheritance: 10% in short-term government bonds and 90% in a very low-cost S&P 500 index fund.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Buffett (2024) · Berkshire Hathaway Inc.: Letter to Shareholders 2023 (letter dated February 24, 2024)

Buffett, Warren E.. Berkshire Hathaway Inc., Omaha; accessed October 25, 2026. Source

A tribute to Charlie Munger, who died on November 28, 2023, as the architect of today's Berkshire, who advised Buffett in 1965 to buy wonderful businesses at fair prices instead of mediocre ones at bargain prices.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Bun et al. (2017) · Cleaning large correlation matrices: Tools from Random Matrix Theory

Bun, Joël; Bouchaud, Jean-Philippe; Potters, Marc. Physics Reports 666, pp. 1–109. doi:10.1016/j.physrep.2016.10.005

Review of how large correlation matrices can be estimated and cleaned with methods from random matrix theory; in the authors' financial market applications, rotationally invariant estimators outperformed all previously proposed methods.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Glossary: Random matrix theory

BaFin (2026) · Advisory and trading systems: robo-advice (Themenseite FinTech)

Bundesanstalt für Finanzdienstleistungsaufsicht. BaFin, englische Fassung; abgerufen am 31.10.2026. Source

Depending on its design, robo-advice is investment advice or portfolio management requiring a license under the German Banking Act or the Investment Firm Act; automated portfolio management needs BaFin authorization.

Cited in: Glossary: Robo-advisor

Burnside et al. (2011) · Do Peso Problems Explain the Returns to the Carry Trade?

Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio. Review of Financial Studies 24 (3), pp. 853–891. doi:10.1093/rfs/hhq138

Carry returns are large on average and barely correlated with classic risk factors; the authors explain them with a peso problem whose rare event falls mainly in times with a high discount factor.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Peso problem

Burton and Jacobsen (1999) · Measuring Returns on Investments in Collectibles

Burton, Benjamin J.; Jacobsen, Joyce P.. Journal of Economic Perspectives 13 (4), pp. 193–212. doi:10.1257/jep.13.4.193

Review of price indices and return studies for collectibles: mostly positive real returns, but more risk and less return than equities.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Busch et al. (2022) · Corporate carbon performance data: Quo vadis?

Busch, Timo; Johnson, Matthew; Pioch, Thomas. Journal of Industrial Ecology 26 (1), pp. 350–363. doi:10.1111/jiec.13008

Compares CO2 data from several providers: direct emissions agree more closely than indirect ones (particularly poorly for Scope 3), and estimates agree less than figures taken from company reports.

Cited in: ESG methodology: sustainability in the look-through

Busse et al. (2010) · Performance and Persistence in Institutional Investment Management

Busse, Jeffrey A.; Goyal, Amit; Wahal, Sunil. The Journal of Finance 65 (2), pp. 765–790. doi:10.1111/j.1540-6261.2009.01550.x

Based on 4,617 active institutional US equity products from 1991 to 2008: factor-adjusted alphas are on average not different from zero, with little persistence.

Cited in: RFP and mandate awards: how institutional investors select asset managers

Butler et al. (2012) · Adaptive Asset Allocation: A Primer

Butler, Adam; Philbrick, Mike; Gordillo, Rodrigo. SSRN. doi:10.2139/ssrn.2328254

Adaptive asset allocation: momentum selection combined with minimum variance weighting.

Cited in: Tactical allocation: momentum, dual momentum and trend following · Tactical allocation methodology: how the eleven tactical models work

Journal article details checked via Crossref. The articles paraphrase the key findings; verbatim quotes are short and checked against the original.