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Literature: authors starting with M

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

Macaulay (1938) · Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856

Macaulay, Frederick R.. National Bureau of Economic Research. Source

Introduces duration as the average time to a bond's payments.

Cited in: Duration: how strongly bonds react to interest rates · Asset-liability management: aligning your wealth with future spending · Bond math: calculating price, yield, duration, convexity and spreads · ALM methodology: how Portfolio Lab measures assets against liabilities · Risk factors in the look-through: methodology · Glossary: Macaulay duration

MacKinlay (1997) · Event Studies in Economics and Finance

MacKinlay, A. Craig. Journal of Economic Literature 35 (1), pp. 13–39. Source

Standard survey of event study methodology: estimation and event windows, the market model, abnormal and cumulative abnormal returns and their tests.

Cited in: Event studies: how to measure and test price reactions to events · Glossary: Event study · Glossary: Cumulative abnormal return

MacKinnon (1994) · Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests

MacKinnon, James G.. Journal of Business & Economic Statistics 12 (2), pp. 167–176. doi:10.1080/07350015.1994.10510005

Approximation formulas for the distributions of unit root and cointegration test statistics that can be used to calculate p-values.

Cited in: Pairs trading and statistical arbitrage: idea, methods, research · Long/short and statistical arbitrage: methodology · Glossary: Engle-Granger test

MacLean et al. (2010) · Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria

MacLean, Leonard C.; Thorp, Edward O.; Ziemba, William T.. Quantitative Finance 10 (7), pp. 681–687. doi:10.1080/14697688.2010.506108

Summarizes the good and bad properties of the Kelly criterion: the highest growth, but very large interim losses.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · The Kelly criterion: how much to bet for maximum growth · Glossary: Fractional Kelly

Madhavan (2003) · The Russell Reconstitution Effect

Madhavan, Ananth. Financial Analysts Journal 59 (4), pp. 51–64. doi:10.2469/faj.v59.n4.2545

Return effects of the annual Russell reconstitution 1996–2002: costly for funds that rebalance on the effective date, profitable but risky for liquidity providers.

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

Magdon-Ismail et al. (2004) · On the maximum drawdown of a Brownian motion

Magdon-Ismail, Malik; Atiya, Amir F.; Pratap, Amrit; Abu-Mostafa, Yaser S.. Journal of Applied Probability 41 (1), pp. 147–161. doi:10.1239/jap/1077134674

Derives the distribution of the maximum drawdown of a Brownian motion as a function of drift, volatility and duration.

Cited in: Maximum drawdown: the largest loss from a peak · Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more

Maillard et al. (2010) · The Properties of Equally Weighted Risk Contribution Portfolios

Maillard, Sébastien; Roncalli, Thierry; Teïletche, Jérôme. The Journal of Portfolio Management 36 (4), pp. 60–70. doi:10.3905/jpm.2010.36.4.060

Describes the properties of equal risk contribution portfolios (risk parity), which lie between minimum variance and equal weighting.

Cited in: All Weather portfolio: ready for every economic climate? · Efficient frontier: Markowitz portfolio optimization · Liquid real assets: inflation protection with tradable real assets in a portfolio · Risk contribution: breaking portfolio risk down into its parts · Risk parity: equal risk contributions instead of equal weights · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Risk budgeting

Harvard Law School Forum (2019) · Trading and Arbitrage in Cryptocurrency Markets

Makarov, Igor; Schoar, Antoinette. Harvard Law School Forum on Corporate Governance, 21.9.2019; abgerufen am 31.10.2026. Source

Authors' summary: data from 34 exchanges in 19 countries; US and Korea price ratio up to 40% on several days from December 2017 to February 2018, at least $2 billion in potential arbitrage profits; within a country mostly below 1%.

Cited in: Glossary: Kimchi premium

Makarov and Schoar (2020) · Trading and arbitrage in cryptocurrency markets

Makarov, Igor; Schoar, Antoinette. Journal of Financial Economics 135 (2), pp. 293–319. doi:10.1016/j.jfineco.2019.07.001

Large, recurring price differences between crypto exchanges, especially across national borders; capital controls hamper arbitrage, and a common component of trading volume explains 80% of bitcoin returns.

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

Malkiel (2003) · The Efficient Market Hypothesis and Its Critics

Malkiel, Burton G. Journal of Economic Perspectives 17 (1), pp. 59–82. doi:10.1257/089533003321164958

Defends the efficient market hypothesis against criticism from behavioral finance and the anomalies literature.

Cited in: The efficient market hypothesis: why it is so hard to beat the market · Glossary: Efficient market hypothesis

Malkiel (1995) · Returns from Investing in Equity Mutual Funds 1971 to 1991

Malkiel, Burton G.. The Journal of Finance 50 (2), pp. 549–572. doi:10.1111/j.1540-6261.1995.tb04795.x

Equity mutual funds lagged the market after costs in 1971–1991; survivorship bias distorts many studies.

Cited in: Active or passive investing: ETFs versus fund managers · ETF basics: costs, replication and distributions · Backtest overfitting: when the past looks too good · Data checks: loading, preparing and checking price series · Glossary: Survivorship bias

Mallaby (2010) · More Money Than God: Hedge Funds and the Making of a New Elite

Mallaby, Sebastian. Penguin Press.

A history of hedge funds from Alfred Winslow Jones to the financial crisis, featuring Soros, Druckenmiller, Tudor Jones, Robertson and the quants, among others.

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

MFSA (2024) · Publication of the AIFMD II (circular on Directive (EU) 2024/927)

Malta Financial Services Authority. MFSA, April 19, 2024; accessed October 25, 2026. Source

The supervisor's summary of the revised AIFM Directive: rules for loan-originating funds (leverage limits of 175% and 300% respectively, a single-borrower limit, 5% risk retention) and transposition by April 16, 2026.

Cited in: Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles

Mandel (2009) · Art as an Investment and Conspicuous Consumption Good

Mandel, Benjamin R.. American Economic Review 99 (4), pp. 1653–1663. doi:10.1257/aer.99.4.1653

Model in which art pays a dividend from conspicuous consumption on top of capital gains, which is why financial returns are low and risk premiums small or even negative.

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

Mandelbrot (1963) · The Variation of Certain Speculative Prices

Mandelbrot, Benoit. The Journal of Business 36 (4). doi:10.1086/294632

Shows that price changes are extreme far more often than a normal distribution predicts (fat tails).

Cited in: Volatility: how much a portfolio fluctuates · Monte Carlo simulation: how safe is your plan? · Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Data checks: loading, preparing and checking price series · Glossary: Fat tails

Marchenko and Pastur (1967) · Distribution of eigenvalues for some sets of random matrices

Marčenko, V. A.; Pastur, L. A.. Mathematics of the USSR-Sbornik 1 (4), pp. 457–483. doi:10.1070/SM1967v001n04ABEH001994

Mathematical paper on the distribution of eigenvalues of large random matrices; the Marchenko-Pastur distribution of the eigenvalues of sample covariance matrices is named after it.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Marchenko-Pastur distribution

Markowitz (1959) · Portfolio Selection: Efficient Diversification of Investments

Markowitz, Harry M.. Wiley (Cowles Foundation Monograph 16), new edition, Blackwell 1991.

Book version of portfolio theory with methods for computing efficient portfolios (a Cowles monograph).

Cited in: Efficient frontier: Markowitz portfolio optimization

Markowitz and Usmen (2003) · Resampled Frontiers vs Diffuse Bayes: An Experiment

Markowitz, Harry M.; Usmen, Nilufer. Journal of Investment Management 1 (4). Source

Game between a resampling player and a Bayesian player with diffuse priors, in which resampling came out ahead.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Michaud resampled optimization: more stable portfolio weights through simulation

Marks (2011) · The Most Important Thing: Uncommon Sense for the Thoughtful Investor

Marks, Howard. Columbia University Press.

The co-founder of Oaktree Capital on risk, market cycles, contrarian behavior and thinking one level deeper than the market.

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

Marshall et al. (2006) · Candlestick technical trading strategies: Can they create value for investors?

Marshall, Ben R.; Young, Martin R.; Rose, Lawrence C.. Journal of Banking & Finance 30 (8), pp. 2303–2323. doi:10.1016/j.jbankfin.2005.08.001

Tests candlestick strategies on Dow Jones Industrial Average stocks with a bootstrap of open, high, low and close prices.

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

Martellini and Milhau (2012) · Dynamic allocation decisions in the presence of funding ratio constraints

Martellini, Lionel; Milhau, Vincent. Journal of Pension Economics and Finance 11 (4), pp. 549–580. doi:10.1017/s1474747212000194

With floors on the funding ratio, dynamic strategies reminiscent of portfolio insurance are optimal; a cap on the funding ratio makes protection against shortfalls cheaper.

Cited in: Liability-driven investing and cash flow driven investing: covering liabilities with bonds

Martin and Puthenpurackal (2005) · Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Martin, Gerald S.; Puthenpurackal, John. SSRN Working Paper No. 806246. doi:10.2139/ssrn.806246

A portfolio that buys Berkshire Hathaway's reported stock purchases only after they have been disclosed earned clearly positive excess returns over the S&P 500 from 1976 to 2006.

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

Martin and McCann (1989) · The Investor's Guide to Fidelity Funds

Martin, Peter G.; McCann, Byron B.. Wiley.

Introduces the Ulcer Index, which combines the depth and duration of declines from the previous peak.

Cited in: Maximum drawdown: the largest loss from a peak · Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more · Glossary: Ulcer index · Glossary: Martin ratio

Masters (2003) · Rebalancing

Masters, Seth J.. The Journal of Portfolio Management 29 (3), pp. 52–57. doi:10.3905/jpm.2003.319883

Framework for setting rebalancing tolerance bands based on costs and tracking error.

Cited in: Rebalancing: getting your portfolio back on course · Strategic and tactical asset allocation and the total portfolio approach · Backtest methodology: data, process, rebalancing and costs

Art Basel and UBS (2026) · The Art Basel and UBS Global Art Market Report 2026

McAndrew, Clare. Art Basel and UBS (Arts Economics); summary on artbasel.com, accessed October 25, 2026. Source

Global art market in 2025: sales of $59.6 billion (+4%), of which dealers accounted for $34.8 billion and public auctions for $20.7 billion; about 41.5 million transactions.

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

McConnell and Xu (2008) · Equity Returns at the Turn of the Month

McConnell, John J.; Xu, Wei. Financial Analysts Journal 64 (2), pp. 49–64. doi:10.2469/faj.v64.n2.11

From 1926 to 2005, US investors on average received a premium for market risk only at the turn of the month; the effect appears in 31 of 35 countries.

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

McLean and Pontiff (2016) · Does Academic Research Destroy Stock Return Predictability?

McLean, R. David; Pontiff, Jeffrey. The Journal of Finance 71 (1), pp. 5–32. doi:10.1111/jofi.12365

Across 97 published return predictors, returns fall by 26% out of sample and by 58% after publication, partly because of data mining and partly because of arbitrage.

Cited in: How to backtest an ETF portfolio: a guide to portfolio backtesting · Alternative data: job ads, Reddit, X, satellites and card payments · Factor investing: understanding the Fama-French factors · The efficient market hypothesis: why it is so hard to beat the market · Backtest overfitting: when the past looks too good · Glossary: Alpha decay · Glossary: Anomaly · Glossary: Data snooping

Mehra and Prescott (1985) · The equity premium: A puzzle

Mehra, Rajnish; Prescott, Edward C.. Journal of Monetary Economics 15 (2), pp. 145–161. doi:10.1016/0304-3932(85)90061-3

The equity premium puzzle: with standard preferences, the historical premium of about 6% is far too high.

Cited in: Equity risk premium: how much more equities return and why it is a puzzle · Glossary: Equity risk premium · Glossary: Equity premium puzzle

Mei and Moses (2002) · Art as an Investment and the Underperformance of Masterpieces

Mei, Jianping; Moses, Michael. American Economic Review 92 (5), pp. 1656–1668. doi:10.1257/000282802762024719

Repeat-sales index for art 1875–2000 from New York auctions: art beat fixed-income investments but lagged well behind US equities, and expensive masterpieces did worse than the index.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Repeat-sales index

Meli and Todorova (2026) · Portfolio Trading and Corporate Bond ETFs

Meli, Jeffrey; Todorova, Zornitsa. Financial Management. doi:10.1111/fima.70044

Portfolio trading (a basket of bonds traded as a single risk unit with a market maker) is closely linked to bond ETFs, which help dealers to price, hedge and unwind the risk.

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

Mellor (2022) · Does synthetic replication offer an advantage?

Mellor, Chris. Invesco, undated (data as of October 31, 2022); accessed October 25, 2026. Source

One provider's swap ETFs: a basket owned by the fund, up to six swap counterparties, swap resets, variable swap fees and no US withholding tax on swaps on broad indices.

Cited in: Basket swaps, total return swaps or futures: building market exposure efficiently · Index replication: full replication, optimized sampling and swaps · Glossary: Dividend equivalent

Menchero (2004) · Multiperiod Arithmetic Attribution

Menchero, Jose. Financial Analysts Journal 60 (4), pp. 76–91. doi:10.2469/faj.v60.n4.2638

Sets out requirements for linking arithmetic attribution effects over several periods and uses them to compare common methods.

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: Linking of attribution effects

Menchero (2005) · Optimized Geometric Attribution

Menchero, Jose. Financial Analysts Journal 61 (4), pp. 60–69. doi:10.2469/faj.v61.n4.2743

Geometric attribution in two steps: first pure geometric effects, then the smallest possible adjustment so that they add up without a residual.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays · Glossary: Geometric attribution

Menchero and Davis (2011) · Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula

Menchero, Jose; Davis, Ben. The Journal of Portfolio Management 37 (2), pp. 97–106. doi:10.3905/jpm.2011.37.2.097

Decomposes the risk contribution of each return source into exposure times volatility times correlation with the portfolio, which generalizes the marginal contribution.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Risk & attribution: methodology of risk decomposition and Brinson attribution

Menchero (2000) · An Optimized Approach to Linking Attribution Effects Over Time

Menchero, Jose G.. The Journal of Performance Measurement 5 (1), pp. 36–42. Source

Links attribution effects with a factor that is the same for all periods plus the smallest possible correction per period (cited in US patent 7,249,082 as the Fall 2000 issue, pp. 36–42).

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays

Menkhoff et al. (2012) · Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas. The Journal of Finance 67 (2), pp. 681–718. doi:10.1111/j.1540-6261.2012.01728.x

High-interest currencies deliver low returns when global FX volatility rises unexpectedly, while low-interest currencies then provide a hedge; volatility risk explains more than liquidity risk.

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

Merton (1969) · Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Merton, Robert C.. The Review of Economics and Statistics 51 (3). doi:10.2307/1926560

Optimal allocation between equities and a riskless asset over the life cycle in continuous time (Merton ratio).

Cited in: Equity allocation by age: rules of thumb, glide paths and what theory says · Leverage in a portfolio: return, risk, costs and margin calls · The Kelly criterion: how much to bet for maximum growth · Glossary: Merton share

Merton (1972) · An Analytic Derivation of the Efficient Portfolio Frontier

Merton, Robert C.. The Journal of Financial and Quantitative Analysis 7 (4). doi:10.2307/2329621

Derives the efficient frontier analytically and shows that it is a hyperbola in return-volatility space.

Cited in: Efficient frontier: Markowitz portfolio optimization

Merton (1973) · Theory of Rational Option Pricing

Merton, Robert C.. The Bell Journal of Economics and Management Science 4 (1). doi:10.2307/3003143

Arbitrage bounds for option prices, Black-Scholes with dividends, no early exercise of American calls without dividends, and a formula for down-and-out options.

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

Merton (1973) · An Intertemporal Capital Asset Pricing Model

Merton, Robert C.. Econometrica 41 (5), pp. 867–887. doi:10.2307/1913811

For investors over many periods, possible changes in investment opportunities affect demand; expected returns can differ from the risk-free rate without market risk.

Cited in: Glossary: ICAPM

Merton (1987) · A Simple Model of Capital Market Equilibrium with Incomplete Information

Merton, Robert C.. The Journal of Finance 42 (3), pp. 483–510. doi:10.1111/j.1540-6261.1987.tb04565.x

Equilibrium model in which investors know only some of the stocks; less-followed stocks must offer higher returns (investor recognition).

Cited in: The index effect: what happens to prices when stocks join or leave an index

Metrick and Yasuda (2010) · The Economics of Private Equity Funds

Metrick, Andrew; Yasuda, Ayako. Review of Financial Studies 23 (6), pp. 2303–2341. doi:10.1093/rfs/hhq020

Model of private equity managers' revenue based on 238 fund contracts: about two thirds comes from fixed fees that do not depend on performance.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Carried interest

Meucci (2005) · Risk and Asset Allocation

Meucci, Attilio. Springer.

Textbook on risk and asset allocation with Bayesian methods, estimation error and scenarios.

Cited in: Risk contribution: breaking portfolio risk down into its parts

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