Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management
Journal of Investment Management 6 (2008), 1–29.
Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios
with Amir Khandani, Quarterly Journal of Finance 1 (2011), 1-59.
130/30: The New Long-Only
with Pankaj Patel, Journal of Portfolio Management 34 (2008), 12-38.
Complexity, Concentration and Contagion: A Comment
Journal of Monetary Economics 58 (2011), 471-479