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August 2013, Volume 14, Issue 4
- 209-209 Momentum
by Stephen Satchell - 210-227 Determining an optimal multiplier in dynamic core-satellite strategies
by Thibaut Caliman & Catherine D'Hondt & Mikael Petitjean - 228-235 The anatomy of portfolio skewness and kurtosis
by Anthony D Hall & Stephen E Satchell - 236-254 Bounded Monte Carlo simulation of critical information related to retirement planning
by Robert K Henderson - 255-266 Attempt to resolve the momentum effect enigma: Proposition of investors’ progressive rationality
by Faten Zoghlami
June 2013, Volume 14, Issue 3
- 133-139 Market-implied inflation and growth rates adversely affected by the Brent
by Gilbert Cette & Marielle de Jong - 140-161 Integrated alpha modelling
by Xavier Gerard & Ron Guido & Peter Wesselius - 162-181 Asset allocation in private wealth management: Theory versus practice
by David Schröder - 182-194 Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500
by Andrew Clare & James Seaton & Peter N Smith & Stephen Thomas - 195-208 Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles
by Yen-Hsiao Chen & Lianfeng Quan
April 2013, Volume 14, Issue 2
- 73-78 Are stocks riskier than bonds? Not if you assess risk like Warren Buffett
by Javier Estrada - 79-94 Can time difference deter arbitrage opportunities?
by Timofei Bogomolov & Lixian Liu & Petko S Kalev - 95-110 Benchmark replication portfolio strategies
by Paskalis Glabadanidis & Leon Zolotoy - 111-119 Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency
by Christiane Goodfellow & Dirk Schiereck & Steffen Wippler - 120-132 Compositional changes in the FTSE100 index from the standpoint of an arbitrageur
by Kwaku Opong & Antonios Siganos
February 2013, Volume 14, Issue 1
- 1-1 Editorial
by Stephen Satchell - 2-13 The Black–Litterman model: A risk budgeting perspective
by Randy O'Toole - 14-26 A comparison between capitalization-weighted and equally weighted indexes in the European equity market
by Enrica Bolognesi & Giuseppe Torluccio & Andrea Zuccheri - 27-36 A comparative performance analysis of conventional and Islamic exchange-traded funds
by Nafis Alam - 37-51 Do they trade as they say? Comparing survey data and trading records
by Tristan Nguyen & Alexander Schuessler - 52-71 A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading
by Christian L Dunis & Spiros D Likothanassis & Andreas S Karathanasopoulos & Georgios S Sermpinis & Konstantinos A Theofilatos
December 2012, Volume 13, Issue 6
- 369-372 Greed can be dangerous to your Sharpe
by Bernd Scherer - 373-383 Factor attribution that adds up
by Sanne de Boer - 384-400 Theory of social returns in portfolio choice with application to microfinance
by Gregor Dorfleitner & Michaela Leidl & Johannes Reeder - 401-420 Does the law of one price apply to dually listed ETFs belonging to the same family? Evidence from iShares
by Gerasimos G Rompotis - 421-436 Faith matters? A closer look at the performance of belief-based equity investments
by Lai Wan-Ni - 437-448 The benefits of tree-based models for stock selection
by Min Zhu & David Philpotts & Maxwell J Stevenson
October 2012, Volume 13, Issue 5
- 307-309 New methods of estimating volatility and returns: Revisited
by Moawia Alghalith - 310-326 The term structure of loss preferences and rationality in analyst earnings forecasts
by George Christodoulakis & Konstantinos Stathopoulos & Nikolaos Tessaromatis - 327-338 The impact of flow of funds and management style on abnormal performance
by Abhay Kaushik - 339-347 Innovative value indicators: Firm specific versus macroeconomic
by Seung Woog (Austin) Kwag & Sang Whi Lee - 348-367 Man versus math: Behaviorist exploration of post-crisis non-banking asset management
by Kenneth David Strang
August 2012, Volume 13, Issue 4
- 227-242 The Sharpe ratio's market climate bias: Theoretical and empirical evidence from US equity mutual funds
by Sebastian Krimm & Hendrik Scholz & Marco Wilkens - 243-252 How much value should you expect to gain or lose by replacing your investment manager?
by Robin Penfold - 253-270 The search for an exploitable value premium in market indexes
by Kenneth E Scislaw & David G McMillan - 271-286 An anatomy of calendar effects
by Laurens Swinkels & Pim van Vliet - 287-305 Earnings response elasticity and post-earnings-announcement drift
by Zhipeng Yan & Yan Zhao & Wei Xu & Lee-Young Cheng
June 2012, Volume 13, Issue 3
- 155-161 Risk parity in US futures markets
by Bernd Scherer - 162-169 The relevance of emerging markets in portfolio diversification: Analysis in a downside risk framework
by S S S Kumar - 170-185 Style analysis for diversified US equity funds
by Andrew Mason & Frank McGroarty & Steve Thomas - 186-195 Minimum-variance versus tangent portfolios – A note
by Manuel Tarrazo & Ricardo Úbeda - 196-209 An analytical performance comparison of exchange-traded funds with index funds: 2002–2010
by Mohammad Sharifzadeh & Simin Hojat - 210-225 RAFI® replication: Easier done than said?
by Paskalis Glabadanidis & Ivan Obaydin & Ralf Zurbruegg
April 2012, Volume 13, Issue 2
- 77-83 Investing in commodities: Popular beliefs and misconceptions
by George Skiadopoulos - 84-101 Investment choice and performance potential in the mutual fund industry
by Zeno Adams & Roland Füss & Volker Wohlschieß - 102-114 Target-oriented investment advice
by Philippe J S De Brouwer - 115-127 Do macro-economic variables explain stock-market returns? Evidence using a semi-parametric approach
by Sagarika Mishra & Harminder Singh - 128-140 Explicit coupling of informative prior and likelihood functions in a Bayesian multivariate framework and application to a new non-orthogonal formulation of the Black–Litterman model
by François Ogliaro & Robert K Rice & Stewart Becker & Raul Leote de Carvalho - 141-154 The passive investor puzzle
by Damir Tokic
February 2012, Volume 13, Issue 1
- 1-4 New methods of estimating volatility and returns
by Moawia Alghalith - 5-21 Active risk sensitivity to views using the Black–Litterman model
by Maria Debora Braga & Francesco Paolo Natale - 22-33 Industry effects and volatility transmission in portfolio diversification
by Vivek Bhargava & Akash Dania & Davinder Kumar Malhotra - 34-50 Approximating the numéraire portfolio by naive diversification
by Eckhard Platen & Renata Rendek - 51-57 Portfolio optimization under transfer coefficient constraint
by Rei Yamamoto & Takuya Ishibashi & Hiroshi Konno - 58-75 Review of the performance and robustness of several investment strategies applied to an international equity portfolio
by Tristan Nguyen & Gerhard Wörtche
December 2011, Volume 12, Issue 6
- 377-377 Style rotation and dynamic asset allocation
by Stephen Satchell - 378-394 Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios
by Mazin A M Al Janabi - 395-406 Information spillovers between size and value premium in average stock returns
by Tobias E Anheluk & Pradosh Simlai - 407-417 Style investing and momentum investing: A case study
by Sandrine de Moerloose & Pierre Giot - 418-425 A new asset allocation technique to reduce financial portfolio risk
by Gino Gandolfi & Antonella Sabatini & Monica Rossolini - 426-437 Momentum change, industry group rotation and portfolio returns
by Muhammad M Islam & Lawrence Gomes - 438-446 Impact of investment horizon on the performance of value versus growth styles and style allocation
by Jia Wang
November 2011, Volume 12, Issue 5
- 309-309 Regime-switching in financial markets
by Stephen Satchell - 310-321 Markov-switching asset allocation: Do profitable strategies exist?
by Jan Bulla & Sascha Mergner & Ingo Bulla & André Sesboüé & Christophe Chesneau - 322-349 Regime shifts in mean-variance efficient frontiers: Some international evidence
by Massimo Guidolin & Federica Ria - 350-359 The interaction of switching and lead-lag effects in equity markets
by Tariq Haque - 360-375 Dynamic strategic asset allocation: Risk and return across the business cycle
by Pim van Vliet & David Blitz
September 2011, Volume 12, Issue 4
- 225-234 Buy side risk management – Managing fees at risk
by Bernd Scherer - 235-247 Forecasting medium-term returns and testing their value in constructing a simple portfolio
by Alastair Baker - 248-259 Estimation risk in covariance
by David D Cho - 260-280 Investigating the effectiveness of robust portfolio optimization techniques
by Gianfranco Guastaroba & Gautam Mitra & M Grazia Speranza - 281-291 Skill or luck? The role of strategies and scenario analysis as a competitive differentiator for fund management firms
by Jem Tugwell - 292-307 Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility
by Ioannis D Vrontos & Loukia Meligkotsidou & Spyridon D Vrontos
August 2011, Volume 12, Issue 3
- 157-162 Does market timing or issue type affect the long-run performance of UK American Depository Receipts listed on the New York Stock Exchange?
by Mark Schaub - 163-171 Does size affect mutual fund performance? A general approach
by Laurent Bodson & Laurent Cavenaile & Danielle Sougné - 172-184 Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region
by Gagari Chakrabarti - 185-202 Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices
by Christian L Dunis & Jason Laws & Jozef Rudy - 203-213 Corporate name change and shareholder wealth effect: Empirical evidence in the French Stock Market
by Bicha Karim - 214-223 Simple and optimal alpha strategy selection and risk budgeting or Goodbye to 91.5 per cent and all that
by Robert Scott
June 2011, Volume 12, Issue 2
- 85-93 An adequate measure for exchange rate returns
by Marielle de Jong - 94-108 Constructing 130/30-portfolios with the Omega ratio
by Manfred Gilli & Enrico Schumann & Giacomo di Tollo & Gerda Cabej - 109-122 Pricing liquidity risk and cost in the stock market: How different was the financial crisis?
by Xue Han & Zheng Jian - 123-131 Generalized marginal risk
by Simon Keel & David Ardia - 132-145 Returns in trading versus non-trading hours: The difference is day and night
by Michael A Kelly & Steven P Clark - 146-156 Does the BEYR help predict UK sector returns?
by David G McMillan
April 2011, Volume 12, Issue 1
- 1-10 The long and active existentialist
by Daniel Polakow - 11-29 Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities
by Andrew Clare & Owain ap Gwilym & James Seaton & Stephen Thomas - 30-44 GICS or ICB, how different is similar?
by Maximilian A M Vermorken - 45-66 Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem
by Long Kang - 67-83 Robust portfolio allocation under discrete asset choice constraints
by Nalan Gülpınar & Kabir Katata & Dessislava A Pachamanova
February 2011, Volume 11, Issue 6
- 361-361 Editorial
by Stephen Satchell - 362-374 Feasible momentum strategies in the US stock market
by Manuel Ammann & Marcel Moellenbeck & Markus M Schmid - 375-390 Conditional style rotation model on enhanced value and growth portfolios: The European experience
by Ron Bird & Lorenzo Casavecchia - 391-400 Momentum and industry-dependence: An analysis of the Swiss stock market
by Tim Herberger & Daniel Kohlert & Andreas Oehler - 401-416 Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence
by Timo H Leivo & Eero J Pätäri - 417-434 Style-neutral funds of funds: Diversification or deadweight?
by Michael Stein & Svetlozar T Rachev - 435-451 Growth Value Two-Factor Model
by I-Cheng Yeh & Tzu-Kuang Hsu
December 2010, Volume 11, Issue 5
- 309-313 Asset-based economy and management in emerging capital markets
by Soumitra K Mallick - 314-320 Foreign currency exchange rates and mutual fund cash flows
by John C Adams & F Reid Hartsfield - 321-331 Carry and trend strategies in FX markets
by Ueli Mettler & Markus Thöny & Hansjörg Schmidt - 332-345 Price reversals in global equity markets
by Bernd Scherer & Diogo Judice & Stephan Kessler - 346-360 Glide path and dynamic asset allocation of target date funds
by Youngjun Yoon
October 2010, Volume 11, Issue 4
- 219-228 On the risk-return profile of leveraged and inverse ETFs
by Guido Giese - 229-243 The Black–Litterman model explained
by Wing Cheung - 244-260 Global capital flows to the emerging-market economies: Qualitative and quantitative differences
by Dilip K Das - 261-285 The predictive power of value-at-risk models in commodity futures markets
by Roland Füss & Zeno Adams & Dieter G Kaiser - 286-297 Using the Black and Litterman framework for stress test analysis in asset management
by Rosella Giacometti & Domenico Mignacca - 298-308 Does premium impact Exchange-Traded Funds’ returns? Evidence from iShares
by Gerasimos Georgiou Rompotis
June 2010, Volume 11, Issue 2
- 71-72 Asset and liability management/liability-driven investment for pension funds
by Gautam Mitra & Elena Medova - 73-93 Asset liability management modelling with risk control by stochastic dominance
by Xi Yang & Jacek Gondzio & Andreas Grothey - 94-112 Backtesting short-term treasury management strategies based on multi-stage stochastic programming
by Robert Ferstl & Alex Weissensteiner - 113-135 Long-term interest rates and consol bond valuation
by Michael A H Dempster & Elena A Medova & Michael Villaverde - 136-162 Duration-enhancing overlay strategies for defined benefit pension plans
by John M Mulvey & Woo Chang Kim & Yi Ma - 163-177 A robust optimization approach to pension fund management
by Garud Iyengar & Alfred Ka Chun Ma - 178-193 Alternative decision models for liability-driven investment
by Katharina Schwaiger & Cormac Lucas & Gautam Mitra - 194-217 A liability-relative drawdown approach to pension asset liability management
by Arjan Berkelaar & Roy Kouwenberg
April 2010, Volume 11, Issue 1
- 1-18 Investing overseas from home: The case of Asian iShares
by Gerasimos G Rompotis - 19-30 Unbundling common style exposures, time variance and style timing of hedge fund beta
by Rodrigo Dupleich & Daniel Giamouridis & Spyros Mesomeris & Nima Noorizadeh - 31-42 Factor tilting for expected utility maximization
by Sanne de Boer - 43-54 Determinants of returns and decisions of fund managers: Survey evidence from four Turkish banks
by Omar Masood & Hosein Piranfar - 55-61 A mark-to-model approach to the valuation of Residential Mortgage Backed Securities
by Marco Folpmers & Peter de Rijke - 62-70 Dynamics of emerging India's banking sector assets: A simple model
by Soumitra K Mallick & Amitava Sarkar & Kalyan K Roy & Tamal Duttachaudhuri & Anjan Chakrabarti
February 2010, Volume 10, Issue 6
- 357-357 Editorial
by Stephen Satchell - 358-369 Can switching between risk measures lead to better portfolio optimization?
by Brianna Cain & Ralf Zurbruegg - 370-381 Quantitative or momentum-based multi-style rotation? UK experience
by Andrew Clare & Svetlana Sapuric & Natasa Todorovic - 382-391 Which trades move stock prices on Euronext Paris?
by Waël Louhichi - 392-405 Smart money meets smart size
by Qiang Bu & Nelson Lacey - 406-419 Expected utility and the non-normal returns of common portfolio rebalancing strategies
by Samuel Kyle Jones & Joe Bert Stine
December 2009, Volume 10, Issue 5
- 279-279 Editorial
by Stephen Satchell - 280-292 Investment performance and holding periods: An investigation of the major UK asset classes
by Lakshman Alles & Louis Murray - 293-304 European investment fund flows and financial stability
by Elias Bengtsson - 305-317 The value premium and economic activity: Long-run evidence from the United States
by Angela J Black & Bin Mao & David G McMillan - 318-337 Implications of futures trading volume: Hedgers versus speculators
by Kenneth Yung & Yen-Chih Liu - 338-355 The link between macro-economic factors and style returns
by Qi J Zhang & Peter Hopkins & Stephen Satchell & Robert Schwob
October 2009, Volume 10, Issue 4
- 205-209 A perspective on US regime change and the global financial crisis
by James L Grant - 210-221 Price volatility and tracking ability of ETFs
by Jack W Aber & Dan Li & Luc Can - 222-234 Do implied volatilities predict stock returns?
by Manuel Ammann & Michael Verhofen & Stephan Süss - 235-252 Does tactical asset allocation work? Another look at the fundamental law of active management
by Hubert Dichtl & Wolfgang Drobetz - 253-262 Tracking errors of exchange traded funds
by William F Johnson - 263-278 Interfamily competition on index tracking: The case of the vanguard ETFs and index funds
by Gerasimos G Rompotis
August 2009, Volume 10, Issue 3
- 137-137 Editorial
by Stephen Satchell - 138-157 Rankings for Australian managed funds: Contrariness and performance index failure
by Mike Dempsey - 158-169 Predicting returns of equity mutual funds
by Olaf Stotz - 170-180 Market timing with aggregate accruals
by Qiang Kang & Qiao Liu & Rong Qi - 181-191 EVA: The bubble years, meltdown and beyond
by James Chong & Drew Fountaine & Monica Her & Michael Phillips - 192-204 Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches
by Susana Yu & Sang-Hoon Kim
June 2009, Volume 10, Issue 2
- 73-74 Alternative theory of asset pricing
by Moawia Alghalith - 75-88 Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints
by Philippe Bertrand - 89-96 Enhancing the Black–Litterman and related approaches: Views and stress-test on risk factors
by Attilio Meucci - 97-123 Profiting from a contrarian application of technical trading rules in the US stock market
by Nauzer Balsara & Jason Chen & Lin Zheng - 124-136 A Mixed Historical Formula to forecast volatility
by Roberto Ferulano
April 2009, Volume 10, Issue 1
- 1-8 Making money in a downturn economy: Using the overshooting mechanism of stock prices for an investment strategy
by Marco Folpmers - 9-21 ADR characteristics and performance in international and global indexes
by Arindam Bandopadhyaya & Lal C Chugh & James L Grant - 22-36 Optimal currency hedging in- and out-of-sample
by Will Kinlaw & Mark Kritzman - 37-62 Integrating volatility factors in the analysis of the hedge fund alpha puzzle
by François-Éric Racicot & Raymond Théoret - 63-71 Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors
by Amitava Sarkar & Gagari Chakrabarti & Chitrakalpa Sen
February 2009, Volume 9, Issue 6
- 359-365 Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory
by Philippe J S De Brouwer - 366-379 Low-cost momentum strategies
by Xiafei Li & Chris Brooks & Joëlle Miffre - 380-397 Implementing risk appetite in the management of currency portfolios
by Jinhui Luo & Philip Saks & Steve Satchell - 398-408 Do mutual funds with few holdings outperform the market?
by Abhay Kaushik & Scott W Barnhart
December 2008, Volume 9, Issue 5
- 309-309 Editorial
by Stephen E Satchell - 310-320 Alpha insurance: A computational framework to measure hedging demands for active investors
by Ashraf El-Ansary - 321-332 Portfolio performance ambiguity and benchmark inefficiency revisited
by Lawrence Kryzanowski & Abdul Rahman - 333-346 The United States Oil Fund as a hedging instrument
by Marina Murdock & Nivine Richie - 347-358 Value versus growth stocks and earnings growth in style investing strategies in Euro-markets
by Salim Chahine
October 2008, Volume 9, Issue 4
- 255-263 Do the common risk factors always capture strong variation in stock returns?
by Pradosh Simlai - 264-269 Fundamental indexation: An active value strategy in disguise
by David Blitz & Laurens Swinkels - 270-277 A cross-sectional analysis of Malaysian unit trust fund expense ratios
by Soo-Wah Low - 278-288 How many independent bets are there?
by Daniel Polakow & Tim Gebbie - 289-299 Abnormal returns with momentum/contrarian strategies using exchange-traded funds
by Jack C De Jong & S Ghon Rhee - 300-308 Who profits from trading around earnings announcements? Evidence from TORQ data
by Malay K Dey & B Radhakrishna (Radha)
September 2008, Volume 9, Issue 3
- 171-177 Are long-term trends changing?
by Damir Tokic - 178-192 Optimal portfolio allocation under asset and surplus VaR constraints
by Alain Monfort - 193-214 Firm-specific characteristics and the cross-section of Australian stock exchange returns
by Paul van Rensburg & Emile Janari - 215-238 Optimal asset allocation for sovereign wealth funds
by Andreas Gintschel & Bernd Scherer - 239-253 Inverse portfolio optimisation under constraints
by Rudi Zagst & Michaela Pöschik - 254-254 Erratum: Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets
by Wolfgang Bessler & Wolfgang Drobetz & Jorg Seidel
July 2008, Volume 9, Issue 2
- 73-76 Special edition of Journal of Asset Management ACIIA® chairman's message
by Kiyoto Hagiwara - 77-79 An overview of the papers included in this special edition of the Journal of Asset Management
by Michael Theobald - 80-89 Asia as a financial centre — Opportunities and obstacles
by Shinichi Yoshikuni - 90-101 Ownership, governance mechanisms, and agency costs in China’s listed firms
by Michael Firth & Peter M Y Fung & Oliver M Rui - 102-120 Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets
by Wolfgang Bessler & Wolfgang Drobetz & Jörg Seidel - 121-137 Portfolio selection in an expected shortfall framework during the recent ‘credit crunch’ period
by Lan-chih Ho & John Cadle & Michael Theobald - 138-148 Portfolio optimisation: A fuzzy multi-objective approach
by Francesc J Ortí & José B Sáez - 149-157 Structural positions and risk budgeting: Quantifying the impact of structural positions and deriving implications for active portfolio management
by Ulf Herold & Raimond Maurer - 158-170 Private equity in developing nations
by Arindam Banerjee
May 2008, Volume 9, Issue 1
- 1-1 Editorial
by Stephen E Satchell - 2-21 Best-practice pension fund governance
by Gordon L Clark & Roger Urwin - 22-40 Investing in movies
by Mark J Ferrari & Andrew Rudd - 41-48 Investing in emerging market local currency debt
by Benoît Mercereau & Alexandra Lubomira Sowa - 49-60 Global term structure modelling using principal component analysis
by Arcady Novosyolov & Daniel Satchkov - 61-66 How well can multi-manager funds diversify?
by Jürg Tobler-Oswald - 67-72 Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe
by Walter Hlawitschka & Michael Tucker
February 2008, Volume 8, Issue 6
- 351-351 Editorial
by Stephen E Satchell - 352-360 Using efficiency ratio to measure fund performance
by Wen-Kuei Chen & Yin-Jen Chen & Tsung-Chuan Chen - 361-373 Diversifying in public real estate: The ex-post performance
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - 374-400 Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation
by Francesco Paolo Natale - 401-405 Fundamental indexation in Europe
by Julius Hemminki & Vesa Puttonen