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Literature: authors starting with C

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

Cici et al. (2011) · Missing the marks? Dispersion in corporate bond valuations across mutual funds

Cici, Gjergji; Gibson, Scott; Merrick, John J.. Journal of Financial Economics 101 (1), pp. 206–226. doi:10.1016/j.jfineco.2011.02.001

Different funds value the same corporate bond differently at month-end, the more so the more illiquid the bond and the more turbulent the market; the patterns are consistent with smoothed returns.

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

Clarke et al. (2002) · Portfolio Constraints and the Fundamental Law of Active Management

Clarke, Roger; de Silva, Harindra; Thorley, Steven. Financial Analysts Journal 58 (5), pp. 48–66. doi:10.2469/faj.v58.n5.2468

Generalizes the fundamental law with the transfer coefficient: constraints such as short-selling bans reduce how much of the forecasting skill reaches the portfolio.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Transfer coefficient

Climate TRACE (2026) · Data Downloads: emissions inventory by sector, country, and asset (sector packages, version 5.10)

Climate TRACE. Climate TRACE; sector packages in 100-year CO2e, accessed October 25, 2026. Source

Freely usable estimates of emissions per asset and month for power, fossil fuels, manufacturing, mining and other sectors, with the owners of each asset.

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

Climate TRACE, Terms of Use (2026) · Terms of Use

Climate TRACE. Climate TRACE; accessed October 25, 2026. Source

Apart from third-party data, the data are licensed under CC BY 4.0: they may be copied, modified and shared, including commercially, with attribution and an indication of changes, and without warranty.

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

CME Group, TMAC (2023) · Overview of Trade Marker at Close (TMAC) on E-mini Equity Index futures

CME Group. CME Group, learning module; accessed October 25, 2026. Source

With TMAC, participants trade E-mini index futures as a spread to a fixing based on the volume-weighted average price of the futures in a 30-second window at the 16:00 New York time close.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Trade at settlement

CME Group, BTIC (2026) · Basis Trade at Index Close (BTIC) Transactions

CME Group. CME Group, © 2026; accessed October 25, 2026. Source

With BTIC, participants trade a future as a spread (basis) to the official index close; the futures price is the closing level plus the agreed basis, and it is used for cash equitization and index rebalancing, among other purposes.

Cited in: Basket swaps, total return swaps or futures: building market exposure efficiently · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: BTIC

CME Group, TAS (2026) · Trading at Settlement (TAS)

CME Group. CME Group, © 2026; accessed October 25, 2026. Source

TAS is an order type that executes during the session at a difference of a few ticks from the subsequent settlement price; it is available for agricultural, energy, metals, crypto and Treasury futures, while TMAC serves equity index futures.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Trade at settlement

CME Group, TACO (2026) · Introduction to Trade at Cash Open (TACO)

CME Group. CME Group, course “Trading at a Basis to an Index”; accessed October 27, 2026. Source

With TACO, participants trade E-mini S&P 500 futures as a basis to the official opening level of the index (Special Opening Quotation); the futures price is the opening level plus the basis.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Market on cash close

Cocco et al. (2005) · Consumption and Portfolio Choice over the Life Cycle

Cocco, João F.; Gomes, Francisco J.; Maenhout, Pascal J.. Review of Financial Studies 18 (2), pp. 491–533. doi:10.1093/rfs/hhi017

With labor income treated as a bond-like asset, the optimal equity share falls with age.

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 · Asset-liability management: aligning your wealth with future spending · Financial goals methodology: how Portfolio Lab simulates a life plan · Glossary: Life-cycle model · Glossary: Lifecycle fund · Glossary: Human capital

Cochrane (2005) · Asset Pricing

Cochrane, John H.. Princeton University Press, revised edition.

Textbook on asset pricing theory: stochastic discount factor, factor models, predictability.

Cited in: CAPM: the capital asset pricing model and the security market line

Cochrane and Piazzesi (2005) · Bond Risk Premia

Cochrane, John H.; Piazzesi, Monika. American Economic Review 95 (1), pp. 138–160. doi:10.1257/0002828053828581

A single tent-shaped factor built from forward rates predicts one-year excess returns on bonds with maturities of one to five years; it is partly independent of the level, slope and curvature of the curve.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Bond math: calculating price, yield, duration, convexity and spreads

Cochrane (2005) · The risk and return of venture capital

Cochrane, John H.. Journal of Financial Economics 75 (1), pp. 3–52. doi:10.1016/j.jfineco.2004.03.006

Estimates the return and risk of venture capital investments with a correction for the fact that valuations are observed mainly for successful firms; the correction lowers the mean log return from 108% to 15% per year.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Cochrane (2011) · Presidential Address: Discount Rates

Cochrane, John H.. The Journal of Finance 66 (4), pp. 1047–1108. doi:10.1111/j.1540-6261.2011.01671.x

Presidential address on the importance of time-varying discount rates; it shaped the image of a “zoo” of factors.

Cited in: Factor investing: understanding the Fama-French factors · Backtest overfitting: when the past looks too good · Glossary: Factor zoo

Cohen et al. (2012) · Decoding Inside Information

Cohen, Lauren; Malloy, Christopher; Pomorski, Lukasz. The Journal of Finance 67 (3), pp. 1009–1043. doi:10.1111/j.1540-6261.2012.01740.x

Separates predictable, routine insider trades from opportunistic ones: only the opportunistic trades earn abnormal returns (82 basis points a month, value-weighted).

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

CFTC (2022) · CFTC Orders Event-Based Binary Options Markets Operator to Pay $1.4 Million Penalty (Release Number 8478-22, January 3, 2022; Blockratize, Inc., d/b/a Polymarket)

Commodity Futures Trading Commission. CFTC; accessed October 25, 2026. Source

The operator offered event-based binary options, which the CFTC classifies as swaps, without registration; it paid a $1.4 million penalty and had to wind down non-compliant markets.

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Event contract

Future Fund Investment Mandate (2024) · Future Fund Investment Mandate Direction 2024 (F2024L01477)

Commonwealth of Australia. Federal Register of Legislation, November 19, 2024; accessed October 25, 2026. Source

Investment mandate of Australia's Future Fund: over the long term, at least inflation plus 4 to 5% a year with an acceptable but not excessive level of risk.

Cited in: Strategic and tactical asset allocation and the total portfolio approach

CMA (2018) · Investment Consultants Market Investigation: Final Report

Competition and Markets Authority. Competition and Markets Authority, London, December 12, 2018; accessed October 25, 2026. Source

Investment consultants influence more than £1.6 trillion of UK pension assets; recommended products beat their benchmarks before fees, but barely after fees; the three largest consultants had a combined market share of about 54% in fiduciary management in 2017.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Investment consultant

CMA, Order (2019) · Final step taken in CMA reform of investment consultants (press release, June 10, 2019)

Competition and Markets Authority. Competition and Markets Authority, London; accessed October 25, 2026. Source

Trustees of UK pension schemes who delegate at least 20% of their assets to fiduciary managers must run a tender with at least three providers.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Request for proposal

Cong and He (2019) · Blockchain Disruption and Smart Contracts

Cong, Lin William; He, Zhiguo. The Review of Financial Studies 32 (5), pp. 1754–1797. doi:10.1093/rfs/hhz007

Smart contracts can reduce information asymmetries and foster competition, but because decentralized consensus distributes information, it can also facilitate collusion.

Cited in: Digital assets: tokenization, stablecoins, crypto securities and the digital euro · Glossary: Smart contract

Conlon et al. (2026) · The collapse of the FTX exchange: The end of cryptocurrency's age of innocence

Conlon, Thomas; Corbet, Shaen; Hu, Yang. The British Accounting Review 58 (3), pp. 101277. doi:10.1016/j.bar.2023.101277

Traces the collapse of the FTX trading platform: large risk and liquidity mismatches between assets and liabilities, and contagion via other crypto products.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Conover et al. (2016) · What Difference Do Dividends Make?

Conover, C. Mitchell; Jensen, Gerald R.; Simpson, Marc W.. Financial Analysts Journal 72 (6), pp. 28–40. doi:10.2469/faj.v72.n6.1

High-dividend stocks had less risk and more return than stocks without dividends; the advantage depends heavily on investment style.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, factors, risks

Constantinides (1979) · A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy

Constantinides, George M.. The Journal of Financial and Quantitative Analysis 14 (2). doi:10.2307/2330513

Shows formally that investing in equal installments (dollar-cost averaging) is inferior to an optimal strategy.

Cited in: Dollar-cost averaging: what the average-cost effect really delivers · Lump sum or dollar-cost averaging: invest a large amount at once or in installments? · Glossary: Lump-sum investing

Constantinides (1983) · Capital Market Equilibrium with Personal Tax

Constantinides, George M.. Econometrica 51 (3). doi:10.2307/1912150

Optimal realization of losses and gains under capital gains tax (tax-loss harvesting).

Cited in: Glossary: Tax-loss harvesting

Cont and Tankov (2009) · Constant Proportion Portfolio Insurance in the Presence of Jumps in Asset Prices

Cont, Rama; Tankov, Peter. Mathematical Finance 19 (3), pp. 379–401. doi:10.1111/j.1467-9965.2009.00377.x

Gap risk of CPPI when prices jump: the probability of falling below the floor, the expected loss and the choice of multiplier.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · CPPI backtest: methodology · Glossary: Multiplier (CPPI) · Glossary: Gap risk

Conze and Viswanathan (1991) · Path Dependent Options: The Case of Lookback Options

Conze, Antoine; Viswanathan. The Journal of Finance 46 (5), pp. 1893–1907. doi:10.1111/j.1540-6261.1991.tb04648.x

Explicit formulas for European lookback options, including fixed-strike ones, and results on American variants.

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

Cooley et al. (2003) · Comparative Analysis of Retirement Portfolio Success Rates

Cooley, Philip L.; Hubbard, Carl M.; Walz, Daniel T.. Financial Services Review 12 (2), pp. 115–128. doi:10.61190/fsr.v12i2.4759

Compares Monte Carlo simulation and overlapping historical periods for sustainable withdrawal rates: similar results under some conditions, very different ones under others.

Cited in: FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE

Cornish and Fisher (1938) · Moments and Cumulants in the Specification of Distributions

Cornish, E. A.; Fisher, R. A.. Revue de l'Institut International de Statistique / Review of the International Statistical Institute 5 (4). doi:10.2307/1400905

A series expansion that can be used to adjust the quantiles of a distribution for skewness and kurtosis (Cornish-Fisher VaR).

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Value at risk and conditional VaR: how much you could lose in a bad case · Glossary: Cornish-Fisher expansion

Corrado (1989) · A nonparametric test for abnormal security-price performance in event studies

Corrado, Charles J.. Journal of Financial Economics 23 (2), pp. 385–395. doi:10.1016/0304-405X(89)90064-0

Rank test for event studies that does not assume normally distributed abnormal returns.

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

CJEU (2026) · Urteil vom 16. April 2026, C-229/24 (Brännelius), ECLI:EU:C:2026:298 [Judgment of April 16, 2026, C-229/24 (Brännelius), ECLI:EU:C:2026:298]

Court of Justice of the European Union. Court of Justice of the European Union, Fourth Chamber; provisional German-language version, accessed October 25, 2026. Source

Information is only considered public within the meaning of Art. 7 MAR once it has been disclosed under Art. 17 MAR; disclosure to a limited group or mere availability on request is not enough.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Insider trading: what is prohibited, what is allowed and what insider purchases reveal · Glossary: Inside information

Couts et al. (2024) · Unsmoothing Returns of Illiquid Funds

Couts, Spencer J.; Gonçalves, Andrei S.; Rossi, Andrea. Review of Financial Studies 37 (7), pp. 2110–2155. doi:10.1093/rfs/hhae006

Funds with illiquid assets report smoothed returns with artificial autocorrelation; standard corrections underestimate systematic risk, and the alpha of such funds is lower than thought.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Measuring private markets: J-curve, cash flows, smoothing and public proxies · Glossary: Return smoothing

Coval and Moskowitz (1999) · Home Bias at Home: Local Equity Preference in Domestic Portfolios

Coval, Joshua D.; Moskowitz, Tobias J.. The Journal of Finance 54 (6), pp. 2045–2073. doi:10.1111/0022-1082.00181

Home bias even at home: fund managers favor companies from their own region.

Cited in: Home bias: the preference for your home market and what it costs · Look-through: what is really inside your ETFs · Glossary: Home bias

Coval and Shumway (2001) · Expected Option Returns

Coval, Joshua D.; Shumway, Tyler. The Journal of Finance 56 (3), pp. 983–1009. doi:10.1111/0022-1082.00352

Expected option returns in the framework of capital market theory; zero-beta at-the-money straddles lost substantially on average.

Cited in: Short selling, hedge funds and hedging: types and how they work · Option pricing: where fair option prices come from · Tail hedging: what put protection costs, when it pays off and what short-vol strategies teach · Glossary: Straddle

Cox et al. (1979) · Option pricing: A simplified approach

Cox, John C.; Ross, Stephen A.; Rubinstein, Mark. Journal of Financial Economics 7 (3), pp. 229–263. doi:10.1016/0304-405X(79)90015-1

The binomial model of option valuation: replication in discrete steps, risk-neutral probabilities and convergence to Black-Scholes in the limit.

Cited in: Option pricing: where fair option prices come from · Option pricer: how Portfolio Lab values options · Glossary: Risk-neutral valuation · Glossary: Binomial tree

CPP Investments (2023) · Investment strategy: Reference Portfolio and Total Portfolio Investment Framework (website, as of the 2023 annual report)

CPP Investments. Canada Pension Plan Investment Board; accessed October 25, 2026. Source

Reference portfolio of the Canadian base plan with 85% global equities and 15% Canadian government bonds as a risk-equivalent benchmark; CPP Investments calls its decision process the total portfolio approach.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Reference portfolio

SEC, listing standards (2025) · Passing the Buck on Reviewing Proposals to List and Trade Digital Asset ETPs (Statement, September 17, 2025)

Crenshaw, Caroline A.. U.S. Securities and Exchange Commission; accessed October 25, 2026. Source

A dissenting statement on the approval of generic listing standards under which exchanges can list qualifying ETPs on commodities and digital assets without an individual review by the SEC.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Croushore and Stark (2001) · A real-time data set for macroeconomists

Croushore, Dean; Stark, Tom. Journal of Econometrics 105 (1), pp. 111–130. doi:10.1016/S0304-4076(01)00072-0

A data set containing the values that were actually known at each point in time; shows how much revisions change results based on macroeconomic data.

Cited in: Regime models: hidden Markov, Markov switching and more · Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Macro dashboard and regime analysis: methodology

Crowley (2023) · Luxembourg in catch-up mode as Ireland leads in ETFs

Crowley, John. Investment Officer, June 8, 2023; accessed October 25, 2026. Source

Thanks to the tax treaty, Irish-domiciled US equity ETFs pay 15% withholding tax on US dividends, while ETFs from Luxembourg and other European countries pay 30%.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, factors, risks · Index providers and valuation points: why the same index is calculated differently · Index replication: full replication, optimized sampling and swaps

Cuchiero and Möller (2025) · Signature Methods in Stochastic Portfolio Theory

Cuchiero, Christa; Möller, Janka. SIAM Journal on Financial Mathematics 16 (4), pp. 1239–1303. doi:10.1137/24m1700223

Signature portfolios built from the path signature of the (ranked) market weights can approximate any continuous, even path-dependent, portfolio function; optimizations become convex quadratic problems, and on the index data studied they did better out of sample, even after transaction costs.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Glossary: Path signature

Cunliffe (2022) · Letter to the Chair of the Treasury Committee on the Bank of England's intervention in the gilt market (October 5, 2022)

Cunliffe, Jon. Bank of England, October 5, 2022; accessed October 25, 2026. Source

The Deputy Governor explains the yield shock in long-dated gilts in September 2022, the collateral calls on leveraged LDI funds and the Bank's temporary bond purchases.

Cited in: Liability-driven investing and cash flow driven investing: covering liabilities with bonds · Overlay management with futures: beta, duration and currency overlays, contract numbers and liquidity needs

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