Overview
Alan J. Marcus is a professor of finance at Boston College's Carroll School of Management. His research covers portfolio theory, options, fixed income, and investments. He is also co-author of a widely used investments textbook (Bodie, Kane, and Marcus).
Key Contributions / Features
- Jacquier, Kane, and Marcus (2003): "Geometric or Arithmetic Mean: A Reconsideration" (Financial Analysts Journal) — demonstrated compounding bias in long-run return estimation.
- Jacquier, Kane, and Marcus (2004): Analytical minimum-MSE estimator; asset allocation paradox under parameter uncertainty (longer horizons → lower risky-asset weight).
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