Roger G Clarke

Analytic Investors, Inc.

Chairman

700 So. Flower St., Suite 2400

Los Angeles, CA 90017

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 19,677

SSRN RANKINGS

Top 19,677

in Total Papers Downloads

1,853

CITATIONS
Rank 40,115

SSRN RANKINGS

Top 40,115

in Total Papers Citations

4

Scholarly Papers (9)

1.

Long/Short Extensions: How Much is Enough?

Number of pages: 32 Posted: 23 Jul 2007
Analytic Investors, Inc., Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU
Downloads 1,140 (12,840)
Citation 4

Abstract:

Portfolio Management, Short Selling, Portfolio Optimization

2.

Fundamentals of Efficient Factor Investing

Financial Analysts Journal, Vol. 72, No. 6 (November/December 2016)
Posted: 10 Jun 2015 Last Revised: 12 Oct 2016
Roger G Clarke, Harindra de Silva and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU

Abstract:

Portfolio Theory, Factor Portfolios, Factor Investing, Portfolio Constraints, Smart Beta

3.

The Not-So-Well-Known Three-and-One-Half Factor Model

Number of pages: 22 Posted: 09 Sep 2013 Last Revised: 05 Mar 2014
Roger G Clarke, Harindra de Silva and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU
Downloads 297 (68,613)

Abstract:

Portfolio Theory, Linear Factor Model, CAPM Beta, Portfolio Performance Attribution, Three Factor Model, Four Factor Model

4.

Fundamentals of Futures and Options

CFA Institute Research Foundation 2013 - 3
Number of pages: 202 Posted: 09 Jun 2015 Last Revised: 13 Jun 2015
Roger G Clarke, Harindra de Silva and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU
Downloads 44 (173,443)

Abstract:

Futures, Options

5.

Research Foundation Year in Review -- 2013

CFA Institute Research Foundation R2014
Number of pages: 90 Posted: 11 Jun 2015
CFA Institute Research Foundation, York University - Schulich School of Business, Analytic Investors, Inc., Analytic Investors, Inc., Marriott School of Management, BYU, Boston University - Questrom School of Business, Arizona State University, Ryan ALM, Inc., University of Warwick - Finance Group, University College London (UCL), Independent, CFA Institute Research Foundation, CFA Institute Research Foundation, Allocationmetrics Limited, Independent, Barclays and Target Corporation
Downloads 41 (264,163)

Abstract:

life annuities, futures, options, manager selection, ethics, ALM, asset/liability management, tail risk

6.

Pure Factor Portfolios and Multivariate Regression Analysis

Number of pages: 43 Posted: 08 Feb 2017
Roger G Clarke, Harindra de Silva and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU
Downloads 0 (159,952)

Abstract:

Factor Investing, Smart Beta, Portfolio Construction

7.

Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective

Journal of Portfolio Management, Vol. 39, No. 3, pp. 39-53 (Spring 2013).
Posted: 01 Jan 2012 Last Revised: 21 Nov 2013
Roger G Clarke, Harindra de Silva and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU

Abstract:

Minimum Variance, Maximum Diversification, Risk Parity, Risk-Based, Portfolio Construction

8.

Minimum Variance Portfolio Composition

Journal of Portfolio Management, Vol. 37, No. 2, pp. 31-45 (Winter 2011)
Posted: 10 Feb 2010 Last Revised: 21 Nov 2013
Roger G Clarke, Harindra de Silva and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and Marriott School of Management, BYU

Abstract:

Portfolio Theory, Mean Variance Optimization, Market Model, Idiosyncratic Risk

9.

The Fundamental Law of Active Portfolio Management

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Posted: 03 Oct 2006
Harindra de Silva, Steven Thorley and Roger G Clarke
Analytic Investors, Inc., Marriott School of Management, BYU and Analytic Investors, Inc.

Abstract:

Portfolio management, fundamental law, transfer coefficient