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Literature: authors starting with M

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

Meucci (2009) · Managing Diversification

Meucci, Attilio. Risk 22, pp. 74–79. Source

Measures diversification as the effective number of uncorrelated bets: the exponential of the entropy of the variance shares that the principal component portfolios contribute to portfolio risk.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Effective number of bets

Meucci et al. (2013) · Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Meucci, Attilio; Santangelo, Alberto; Deguest, Romain. SSRN Working Paper 2276632. doi:10.2139/ssrn.2276632

Minimum torsion bets: uncorrelated factors that stay as close as possible to the portfolio's building blocks, yielding risk contributions and the effective number of minimum torsion bets, with case studies on S&P 500 stocks and the five Fama-French factors.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Minimum-torsion bets

Meulbroek (2005) · Company Stock in Pension Plans: How Costly Is It?

Meulbroek, Lisa. The Journal of Law and Economics 48 (2), pp. 443–474. doi:10.1086/430807

Anyone holding a quarter of their wealth in employer stock sacrifices 42% of its market value because of the lack of diversification.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Employer stock

Meyer-Bullerdiek (2022) · Selected Methods of optimized Sampling for Index Tracking – Evidence from German Stocks

Meyer-Bullerdiek, Frieder. Journal of Applied Finance & Banking, pp. 151–173. doi:10.47260/jafb/1268

Compares four optimization methods for portfolios of ten DAX stocks; out of sample, simple equal weighting performed best.

Cited in: Index replication: full replication, optimized sampling and swaps

Michaely et al. (1995) · Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?

Michaely, Roni; Thaler, Richard H.; Womack, Kent L.. The Journal of Finance 50 (2), pp. 573–608. doi:10.1111/j.1540-6261.1995.tb04796.x

Prices react more strongly to dividend omissions than to initiations and then keep drifting in the same direction for a year.

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

Michaud and Michaud (1999) · Portfolio optimization by means of resampled efficient frontiers, US Patent 6,003,018

Michaud, Richard O.; Michaud, Robert. United States Patent and Trademark Office, granted December 14, 1999; accessed October 25, 2026. Source

Patent on the method: many simulated inputs, one efficient frontier for each, and averaging of portfolios of the same rank into the resampled efficient frontier.

Cited in: Michaud resampled optimization: more stable portfolio weights through simulation

Michaud and Michaud (2008) · Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation

Michaud, Richard O.; Michaud, Robert O.. Oxford University Press, 2nd edition (1st edition Harvard Business School Press 1998).

Textbook on portfolio optimization under estimation error using the authors' resampling method.

Cited in: Michaud resampled optimization: more stable portfolio weights through simulation · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Milevsky and Robinson (2000) · Self-Annuitization and Ruin in Retirement

Milevsky, Moshe Arye; Robinson, Chris. North American Actuarial Journal 4 (4), pp. 112–124. doi:10.1080/10920277.2000.10595940

Formula for the probability of ruin with withdrawals in retirement, using a lognormal approximation.

Cited in: Safe withdrawal rate: how good is the 4% rule? · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Monte Carlo simulation: how safe is your plan? · Sequence risk: when the order of returns decides your retirement · Financial goals methodology: how Portfolio Lab simulates a life plan · Glossary: Probability of ruin

Miller and Modigliani (1961) · Dividend Policy, Growth, and the Valuation of Shares

Miller, Merton H.; Modigliani, Franco. The Journal of Business 34 (4). doi:10.1086/294442

Dividend irrelevance: in a perfect capital market, a company's value does not depend on whether it pays out or retains its earnings.

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

Mitchell and Pulvino (2012) · Arbitrage crashes and the speed of capital

Mitchell, Mark; Pulvino, Todd. Journal of Financial Economics 104 (3), pp. 469–490. doi:10.1016/j.jfineco.2011.09.002

In 2008, the threatened failure of prime brokers abruptly cut hedge fund leverage, and arbitrageurs could no longer keep identical securities trading at identical prices.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Mitchell and Stafford (2000) · Managerial Decisions and Long-Term Stock Price Performance

Mitchell, Mark L.; Stafford, Erik. The Journal of Business 73 (3), pp. 287–329. doi:10.1086/209645

For acquisitions, equity issues and buybacks, the authors find little reliable long-term abnormal return; cross-sectional dependence inflates the test statistics.

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

Modigliani and Modigliani (1997) · Risk-Adjusted Performance

Modigliani, Franco; Modigliani, Leah. The Journal of Portfolio Management 23 (2), pp. 45–54. doi:10.3905/jpm.23.2.45

Introduces M²: a portfolio's return rescaled to the volatility of the benchmark index.

Cited in: Sharpe ratio: return per unit of risk · Risk metrics beyond the Sharpe ratio: Treynor, Calmar, Omega, Ulcer Index and more · Metrics methodology: how Portfolio Lab measures return and risk

Monin (2019) · The OFR Financial Stress Index

Monin, Phillip J.. Risks 7 (1), pp. 25. doi:10.3390/risks7010025

Construction and interpretation of the Office of Financial Research's daily stress index; rising stress precedes a decline in economic activity.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: Financial stress index

Montfort et al. (2008) · Index Tracking by Means of Optimized Sampling

Montfort, Kees van; Visser, Elout; van Draat, Laurens Fijn. The Journal of Portfolio Management 34 (2), pp. 143–152. doi:10.3905/jpm.2008.701625

Model for optimized sampling with a limited number of securities and low transaction costs; in a test on the MSCI Europe, the portfolio behaved much like the index.

Cited in: Index replication: full replication, optimized sampling and swaps

Moody's (2020) · Default and recovery rates for project finance bank loans, 1983-2018: Sustainable project finance bank loans

Moody's Investors Service. Moody's Investors Service, Default research, August 17, 2020 (supplement to the study of March 2020); accessed October 25, 2026. Source

Default and recovery rates of project finance bank loans since 1983: cumulative ten-year default rate of 5.5% (Basel definition, March 2020 study) and an average ultimate recovery rate of 77.9%.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Brownfield and greenfield · Glossary: Availability payment · Glossary: Project finance · Glossary: Recovery rate

Mora (2014) · Creditor Recovery: The Macroeconomic Dependence of Industry Equilibrium

Mora, Nada. Federal Reserve Bank of Kansas City, Research Working Paper 13-06, December 2014 version (later published in the Journal of Financial Stability 18, 2015); accessed October 25, 2026. Source

Recovery rates on defaulted debt by seniority from Moody's data for 1970–2008 (price about one month after default) and their dependence on the business cycle and industry conditions.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises

Moreira and Muir (2017) · Volatility-Managed Portfolios

Moreira, Alan; Muir, Tyler. The Journal of Finance 72 (4), pp. 1611–1644. doi:10.1111/jofi.12513

Volatility-managed portfolios (fewer equities when volatility is high) improve the Sharpe ratio of many factors.

Cited in: Carry trade: earning interest with currencies and bonds · Tactical allocation: momentum, dual momentum and trend following · Momentum crashes: why momentum collapses rarely but violently, and what volatility scaling and crowding measures show · Trend following: riding each asset's own trend · Tactical allocation methodology: how the eleven tactical models work

Mosk et al. (2022) · Cross-asset correlations in a more inflationary environment and challenges for diversification strategies (box in the Financial Stability Review, November 2022)

Mosk, Benjamin; Pangallo, Lorenzo; Zema, Sebastiano Michele. European Central Bank, November 16, 2022; accessed October 26, 2026. Source

The stock-bond correlation was mostly positive from the late 1960s to the late 1990s and negative in the 2000s, and has recently risen in the euro area and the US; it is lowest when inflation is close to 2%, and a higher correlation can initially lead to portfolio risk being underestimated.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Moskowitz et al. (2012) · Time series momentum

Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje. Journal of Financial Economics 104 (2), pp. 228–250. doi:10.1016/j.jfineco.2011.11.003

Time-series momentum: an asset's own trend over 12 months predicts its return in the following month.

Cited in: Market timing: can you pick the right moment? · CTAs and managed futures: industry, position sizing, costs and crisis protection · Tactical allocation: momentum, dual momentum and trend following · Technical analysis, chart patterns and candlesticks from a quant perspective · Trend following: riding each asset's own trend · Tactical allocation methodology: how the eleven tactical models work · Glossary: Time-series momentum

Mossin (1966) · Equilibrium in a Capital Asset Market

Mossin, Jan. Econometrica 34 (4). doi:10.2307/1910098

The third independent derivation of the CAPM, as the equilibrium of a capital market with many investors.

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

Mouakhar and Roberge (2009) · The Optimal Approach to Futures Contract Roll in Commodity Portfolios

Mouakhar, Tammam; Roberge, Mathieu. The Journal of Alternative Investments 12 (3), pp. 51–60. doi:10.3905/jai.2010.12.3.051

Most index providers roll inefficiently into the nearest contract; an optimized roll approach based on the shape of the futures curve can improve performance.

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

Moussawi et al. (2025) · The Role of Taxes in the Rise of ETFs

Moussawi, Rabih; Shen, Ke; Velthuis, Raisa. The Review of Financial Studies 38 (10), pp. 2988–3039. doi:10.1093/rfs/hhaf044

In-kind redemptions and heartbeat trades spare US ETFs from distributing capital gains, and this tax efficiency drives wealthy investors to switch from mutual funds to ETFs.

Cited in: Active ETFs: how they work and what they deliver · Glossary: Heartbeat trade

Mowat (2026) · Understanding and using Climate TRACE ownership data for emitting assets

Mowat, Anna. Climate TRACE, April 20, 2026; accessed October 25, 2026. Source

Explains the ownership chains of each asset from the direct owner to the ultimate parent company: stakes above 5%, with complete chains for assets accounting for 32% of global emissions.

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

MSCI Hedged Methodology (2020) · MSCI Hedged, MSCI Daily Hedged, MSCI Adaptive Hedged Indexes Methodology

MSCI Inc.. MSCI, August 2020; accessed October 25, 2026. Source

Spot rates are the WM/Reuters closing rates (mid of bid and ask) at 16:00 UK time, and forward rates are likewise taken at 16:00.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: FX fixing

MSCI (2020) · MSCI Multi-Asset Class (MAC) Performance Attribution Model – Factsheet

MSCI Inc.. MSCI, Factsheet (Copyright 2020); accessed October 25, 2026. Source

Attribution models in BarraOne: factor-based across equity, bond and commodity factors consistent with the risk model, Brinson-Fachler for top-down allocation, asset selection for bottom-up selection, currencies, bonds and multiple portfolio levels.

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

MSCI Equal Weighted Methodology (2021) · MSCI Equal Weighted Indexes Methodology

MSCI Inc.. MSCI, May 2021; accessed October 26, 2026. Source

Equal weighting is applied per issuer; rebalancing takes place quarterly on the last business day of February, May, August and November, and in between the weights drift with prices.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts

MSCI Corporate Events Methodology (2022) · MSCI Corporate Events Methodology

MSCI Inc.. MSCI, November 2022; accessed October 25, 2026. Source

How MSCI treats corporate actions: optional dividends according to the default option, takeover offers, spin-offs and price adjustment factors on the ex-date.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes · Glossary: Scrip dividend

MSCI GIMI Methodology (2024) · MSCI Global Investable Market Indexes Methodology

MSCI Inc.. MSCI, November 2024; accessed October 25, 2026. Source

Rules for the Standard and IMI indices: coverage of 85% ± 5% or about 99% of free-float market capitalization, buffer zones, minimum free float and quarterly reviews.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · The index effect: what happens to prices when stocks join or leave an index · Glossary: Investable Market Index (IMI) · Glossary: Buffer zone

MSCI Calculation Methodology (2025) · Index Calculation Methodology for the MSCI Equity Indexes

MSCI Inc.. MSCI, February 2025; accessed October 25, 2026. Source

Calculation of price, net and gross return indices; net return applies the highest withholding tax rate for non-resident institutional investors without a tax treaty, with reinvestment on the ex-date.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: Gross return index

MSCI ACWI IMI Factsheet (2026) · MSCI ACWI IMI Index (USD), Factsheet, as of September 30, 2026

MSCI Inc.. MSCI; accessed October 26, 2026. Source

8,036 large, mid and small cap constituents from developed and emerging markets; US 62.99%, the ten largest constituents 22.73%, information technology 31.32%.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Glossary: Investable Market Index (IMI)

MSCI World Equal Weighted Factsheet (2026) · MSCI World Equal Weighted Index (USD), Factsheet, as of September 30, 2026

MSCI Inc.. MSCI; accessed October 26, 2026. Source

The same 1,249 constituents as the MSCI World, equally weighted at each quarterly rebalancing date; US 40.61%, information technology 11.38%, turnover over the last twelve months 32.08% versus 3.18% for the MSCI World.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Equal weight vs cap weight: weighting, rebalancing and factor tilts

MSCI World High Dividend Yield Factsheet (2026) · MSCI World High Dividend Yield Index (USD), Factsheet, as of September 30, 2026

MSCI Inc.. MSCI; accessed October 26, 2026. Source

367 constituents of the MSCI World with an above-average dividend yield that appears sustainable; dividend yield 3.19% versus 1.52%, health care 22.41%, information technology 5.29%.

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

MSCI ACWI Factsheet (2026) · MSCI ACWI Index (GBP), Factsheet, as of September 30, 2026

MSCI Inc.. MSCI. Source

2,414 companies from 23 developed and 24 emerging markets, covering about 85% of the investable equity market; US 64.21%.

Cited in: Home bias: the preference for your home market and what it costs · MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · World portfolio: the whole world in one or two ETFs

MSCI EM Factsheet (2026) · MSCI Emerging Markets Index (USD), Factsheet, as of September 30, 2026

MSCI Inc.. MSCI. Source

1,165 companies from 24 emerging markets; Taiwan 28.94%, South Korea 21.4%, China 19.8%, India 10.65%.

Cited in: World portfolio: the whole world in one or two ETFs · Index providers and valuation points: why the same index is calculated differently

MSCI Index Review (2026) · MSCI Equity Indexes August 2026 Index Review

MSCI Inc.. MSCI, announcement, August 12, 2026; accessed October 25, 2026. Source

Results of the August 2026 review, implemented as of the close of trading on August 31, 2026.

Cited in: Index providers and valuation points: why the same index is calculated differently · Smart indexing: added value for index funds around corporate actions and index changes · The index effect: what happens to prices when stocks join or leave an index

MSCI Market Classification (2026) · MSCI Announces the Results of the MSCI 2026 Market Classification Review

MSCI Inc.. MSCI, announcement, June 23, 2026; accessed October 25, 2026. Source

Greece becomes a developed market with the May 2027 review; for South Korea, MSCI continues to monitor the measures to improve market access.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Glossary: Country classification

MSCI World Factsheet (CAD) (2026) · MSCI World Index (CAD), Factsheet, as of September 30, 2026

MSCI Inc.. MSCI; accessed October 25, 2026. Source

1,249 constituents from 23 developed countries; the largest constituent weighs 5.81%, the ten largest together 27.85%.

Cited in: Index providers and valuation points: why the same index is calculated differently · Index replication: full replication, optimized sampling and swaps

Mukherjee et al. (2021) · Eye in the sky: Private satellites and government macro data

Mukherjee, Abhiroop; Panayotov, George; Shon, Janghoon. Journal of Financial Economics 141 (1), pp. 234–254. doi:10.1016/j.jfineco.2021.03.002

Satellite estimates of US crude oil inventories (shadows on floating-roof tanks) take the surprise out of the weekly government report; cloud cover over the tank farms serves as a natural experiment.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Ship tracking data and satellite images: what they reveal about commodities · Glossary: Floating roof tank

Munday et al. (2018) · Performance of Private Credit Funds: A First Look

Munday, Shawn; Hu, Wendy; True, Tobias; Zhang, Jian. The Journal of Alternative Investments 21 (2), pp. 31–51. doi:10.3905/jai.2018.21.2.031

The first broad analysis of 476 private credit funds: returns compared with leveraged loans, high yield and BDCs, with direct lending showing a low beta.

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

Murphy (1999) · Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications

Murphy, John J.. New York Institute of Finance.

A widely used textbook on technical analysis: trends, support and resistance, chart patterns, moving averages, oscillators.

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

Mynbayeva et al. (2022) · Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it

Mynbayeva, Elmira; Lamb, John D.; Zhao, Yuan. European Journal of Operational Research 301 (2), pp. 694–707. doi:10.1016/j.ejor.2021.11.036

Examines why estimation error alone makes Markowitz portfolio selection fail and what might help against it.

Cited in: Beyond Markowitz: estimation error, noise and true diversification

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