Alternative Investments. Black Keith H.

Vielt and Blitz (2009); Faber (2013); and Hamilton and de Longis (2015).

12

This section is partly based on Tokat, Wicas, and Stockton (2007).

13

The following model is based on Lo, Petrov, and Wierzbicki (2003) and Hayes, Primbs, and Chiquoine (2015).

14

For further discussion, see Fabozzi et al. (2007).

15

For further discussion, see Fabozzi et al. (2007).

16

See Baker, Bradley, and Wurgler (2011) and Asness, Frazzini, and Pedersen (2012).

17

See Frazzini and Pedersen (2014) and Schneider, Wagner, and Zechner (2016).

18

A recent paper by Harvey, Liu, and Zhu (2016) documents the reported discovery of 316 factors. The authors demonstrate that most of these are not reliable sources of risk premium.

19

See Zhang (2005) and Santos and Veronesi (2005).

20

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