Content
December 2007, Volume 8, Issue 5
- 283-283 Editorial
by Stephen E Satchell - 284-295 Another look at the information ratio
by Ludwig B Chincarini & Daehwan Kim - 296-307 Portfolio optimisation and diversification
by David King - 308-336 Comparing Sharpe ratios: So where are the p-values?
by John Douglas (J.D.) Opdyke - 337-350 Time-varying risk and return characteristics of US and European bond markets: Implications for efficient portfolio allocation
by Philip J Young & Thomas H Payne & Robert R Johnson
November 2007, Volume 8, Issue 4
- 227-227 Editorial
by Stephen E Satchell - 228-237 Extracting information from European analyst forecasts
by Andrea S Au - 238-248 Persistent taxation on EU investment fund unitholders
by Luis Ferruz & Cristina Ortiz & Luis Vicente - 249-258 Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II — Processing of portfolio planning models with discrete constraints
by Gautam Mitra & Frank Ellison & Alan Scowcroft - 259-266 After-market performance of industrial American Depository Receipts: Does level of issue and market timing affect returns?
by Mark Schaub - 267-282 Reconsidering asset allocation involving illiquid assets
by Dan Cao & Jérôme Teïletche
September 2007, Volume 8, Issue 3
- 147-151 A comparison between German and Spanish equity fund markets
by Luis Ferruz & José L Sarto & Laura Andreu - 152-160 Evidence for time-dependent structures in financial data series over long timescales: Opportunities for dynamic market risk allocation
by Julian Coutts - 161-175 Incorporating alpha uncertainty into portfolio decisions: A Bayesian revisit of the Treynor–Black model
by Zhongzhi (Lawrence) He - 176-187 Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy
by Tim van Hest & Anja De Waegenaere - 188-199 Importance of style diversification for equity country selection
by Stéphanie Desrosiers & Jean-François L'Her & Jean-François Plante - 200-214 Quadratic programming for portfolio planning: Insights into algorithmic and computational issues
by Gautam Mitra & Frank Ellison & Alan Scowcroft - 215-225 Should private equity funds be further regulated?
by Peter Yeoh
July 2007, Volume 8, Issue 2
- 73-73 Variance, volatility swaps and hedging your equity portfolio
by Stephen E Satchell - 74-85 Capitalising on European analyst earnings estimates and recommendations during different volatility regime periods
by Andrea S Au - 86-100 An international test of the Fed model
by Samuel Aubert & Pierre Giot - 101-111 Volatility filter for index tracking and long–short market-neutral strategies
by Jia Miao - 112-122 Country-specific ETFs: An efficient approach to global asset allocation
by Joëlle Miffre - 123-132 Can mutual funds time investment styles?
by Laurens Swinkels & Liam Tjong-A-Tjoe - 133-145 Asset allocation by using the Sharpe rule: How to improve an existing portfolio by adding some new assets?
by Kwok Wai Yu & Xiao Qi Yang & Heung Wong
May 2007, Volume 8, Issue 1
- 1-8 An examination of alternative portfolio rebalancing strategies applied to sector funds
by Stanley G Eakins & Stanley Stansell - 9-23 Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes
by Bala G Arshanapalli & Lorne N Switzer & Karim Panju - 24-33 Performance and distress indicators of new public companies
by Nancy Beneda - 34-51 The effectiveness of global currency hedging after the Asian crisis
by Ludwig B Chincarini - 52-57 Do life insurance stocks provide superior returns?
by Mohammad Najand & John Griffith & David C Marlett - 58-72 Alpha budgeting — Cross-sectional dispersion decomposed
by Wallace Yu & Yazid M Sharaiha
March 2007, Volume 7, Issue 6
- 373-373 Forecasting and compulsion
by Stephen E Satchell - 374-387 Can robust portfolio optimisation help to build better portfolios?
by Bernd Scherer - 388-403 Measuring portfolio performance using a modified measure of risk
by Chris Adcock - 404-411 Sector-specific optimum asset allocation — An example for non-life insurers
by Jean-Christophe Curtillet & Mathieu Dieudonné - 412-418 Managing market risk with conditioning information
by George Famy - 419-424 The error of tracking error
by Craig L Israelsen & Gary F Cogswell - 425-428 Do style benchmarks differ?
by Vesa Puttonen & Tatu Seppä - 429-442 Impact of fund, management and market characteristics on bond mutual fund performance
by Arnold L Redman & Nell S Gullett
January 2007, Volume 7, Issue 5
- 301-301 Editorial
by Stephen E Satchell - 302-311 Mean–variance versus full-scale optimisation: In and out of sample
by Timothy Adler & Mark Kritzman - 312-324 The design of defined-contribution pension plans using a variable-contribution lifecycle programme
by Hon Cheung - 325-334 Generating optimal portfolios within the FTK framework
by Julian Coutts & Brian J W Fleming - 335-346 A mathematical statistical pricing model for emerging stock markets
by Soumitra K Mallick & Amitava Sarkar & Kalyan K Roy & Anjan Chakraborty & Tamal Duttachaudhuri - 347-357 Refinements to the Sharpe ratio: Comparing alternatives for bear markets
by Hendrik Scholz - 358-370 Are you about to handcuff your information ratio?
by Renato Staub - 371-372 Guide to Investment Strategy
by Greg N Gregoriou
September 2006, Volume 7, Issue 3
- 155-169 Funding long-term liabilities: A global perspective — CFA Institute Annual Conference
by Alan Brown - 170-178 A note on the out-of-sample performance of resampled efficiency
by Bernd Scherer - 179-189 Volatility filters for asset management: An application to managed futures
by Christian Dunis & Jia Miao - 190-207 Performance measurement with loss aversion
by Gordon Gemmill & Soosung Hwang & Mark Salmon - 208-215 Measuring investor sentiment in equity markets
by Arindam Bandopadhyaya & Anne Leah Jones - 216-241 Cash equity transaction cost analysis: State of the art … and beyond
by Catherine D'Hondt & Jean-René Giraud - 242-254 Corporate governance and earnings management and the relationship between economic value added and created shareholder value
by Ali El Mir & Souad Seboui - 255-272 Rights offerings in Spain: Effects on ex-rights stocks during the subscription period
by Consuelo Riaño & Francisco-Javier Ruiz & Rafael Santamaría - 273-290 The cross-sectional variability of stock-price returns: Country and sector effects revisited
by Michael Steliaros & Dylan C Thomas - 291-300 Asset disposition effect: The impact of price patterns and selected personal characteristics
by Alan S Wong & Bernardo J Carducci & Alan Jay White
July 2006, Volume 7, Issue 2
- 81-82 Editorial
by Reha H Tütüncü & Peter J Zangari - 83-92 Optimisation and quantitative investment management
by Arlen Khodadadi & Reha H Tütüncü & Peter J Zangari - 93-108 Improving investment performance for pension plans
by John M Mulvey & Koray D Simsek & Zhuojuan Zhang - 109-127 Incorporating estimation errors into portfolio selection: Robust portfolio construction
by Sebastián Ceria & Robert A Stubbs - 128-141 Towards reliable efficient frontiers
by Katrin Schöttle & Ralf Werner - 142-153 Semidefinite optimisation for global risk modelling
by Papa Momar Ndiaye & François Oustry & Véronique Piolle
May 2006, Volume 7, Issue 1
- 1-1 Editorial
by Stephen E Satchell - 2-16 Optimal allocation to real estate incorporating illiquidity risk
by Shaun A Bond & Soosung Hwang & Kimberley Richards - 17-21 An alternative bond relative value measure: Determining a fair value of the swap spread using Libor and GC repo rates
by Moorad Choudhry - 22-30 Advanced frequency and time domain filters for currency portfolio management
by Christian Dunis & Jia Miao - 31-48 The implications of blending specialist active equity fund management
by David R Gallagher & Peter Gardner - 49-59 Wealth management: The relative importance of asset allocation and security selection
by Walter Hlawitschka & Michael Tucker - 60-68 Pricing efficiency of exchange traded funds in Taiwan
by Ching-Chung Lin & Shih-Ju Chan & Hsinan Hsu - 69-80 Analysing digits for portfolio formation and index tracking
by Peter N Posch & Welf A Kreiner
March 2006, Volume 6, Issue 6
- 389-389 Editorial
by Stephen E Satchell - 390-405 A benchmark approach to asset management
by Eckhard Platen - 406-417 To sin or not to sin? Now that's the question
by James Chong & Monica Her & G. Michael Phillips - 418-432 Explaining US stock market returns from 1980 to 2005: Implications for the next 25 years
by Damir Tokic - 433-444 The added value of hedge funds in an asset-liability framework
by Susanne Otruba & Carmen Quesada & Stefan Scholz - 445-455 Optimisation of the largest US mutual funds using data envelopment analysis
by Greg N Gregoriou - 456-469 Decomposing the price-earnings ratio
by Keith Anderson & Chris Brooks
January 2006, Volume 6, Issue 5
- 319-319 Editorial
by Stephen E Satchell - 322-328 Do funds of funds make sense?
by Kristof Agache & Knut Huys - 329-344 Profiting from past winners and losers
by Nauzer Balsara & Lin Zheng - 345-380 Biases and information in analysts' recommendations: The European experience
by Sarah Azzi & Ron Bird & Paolo Ghiringhelli & Emanuele Rossi - 381-388 Momentum profits following bull and bear markets
by Antonios Siganos & Patricia Chelley-Steeley
December 2005, Volume 6, Issue 4
- 245-245 Editorial
by Stephen E Satchell - 248-258 Independent variable selection: Application of independent component analysis to forecasting a stock index
by Andrzej Cichocki & Stanley R Stansell & Zbigniew Leonowicz & James Buck - 259-273 Does inflation matter for equity returns?
by Salman Ahmed & Mirko Cardinale - 274-287 Does good corporate governance really work? More evidence from CalPERS
by James Nelson - 288-297 Wealth effects of American depository receipts listed on the New York Stock Exchange: The case of telecom firms
by Mark Schaub - 298-318 Seasonality in the Asia Pacific stock markets
by Noor Azuddin Yakob & Diana Beal & Sarath Delpachitra
October 2005, Volume 6, Issue 3
- 165-165 Editorial
by Stephen E Satchell - 168-190 Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit?
by Christian L Dunis & Gary Shannon - 191-205 Flow-through capability: The Spanish case
by Francisco Jareño - 206-218 A multivariate dichotomic approach for tactical asset allocation
by Mathieu Roberge & Cécile Le Moigne - 219-238 Impact of fund size on hedge fund performance
by Manuel Ammann & Patrick Moerth
August 2005, Volume 6, Issue 2
- 84-84 Editorial
by Stephen E Satchell - 85-103 Countries versus industries in Europe: A normative portfolio approach
by Javier Estrada & Mark Kritzman & Simon Myrgren & Sébastien Page - 104-116 Value and growth stocks and cyclical asymmetries
by Angela J Black & David G McMillan - 117-135 Discretionary trading and the search for alpha
by Don M Chance - 136-140 A proposed fuzzy optimal control model to minimise target tracking error in a dynamic hedging problem with a multi-asset, best-of option
by Sukanto Bhattacharya & Mohammad Khoshnevisan - 141-157 Feasible high growth investment strategy: Growth optimal portfolios applied to Dow Jones stocks
by B F Hunt
June 2005, Volume 6, Issue 1
- 4-4 Editorial
by Stephen E Satchell - 5-20 Returns from active management in international equity markets: Evidence from a panel of UK pension funds
by David Blake & Allan Timmermann - 21-32 Ex post reality versus ex ante theory of the fundamental law of active management
by David J Buckle - 33-52 Cointegration portfolios of European equities for index tracking and market neutral strategies
by Christian L Dunis & Richard Ho - 53-64 Computing implied returns in a meaningful way
by Ulf Herold - 65-78 How model risk and alpha dispersion affect portfolio efficiency
by Eriks Smidchens
April 2005, Volume 5, Issue 6
- 364-364 Editorial
by Stephen E Satchell - 365-388 The case for market inefficiency: Investment style and market pricing
by Ron Bird & Xue-Zhong (Tony) He & Satish Thosar & Paul Woolley - 389-396 Why economic models fail: Examples in asset management and in risk management
by Freddy Van den Spiegel - 397-409 Style portfolio performance: Empirical evidence from the Spanish equity funds
by Luis Ferruz & Luis Vicente - 410-422 Actively managing tracking error
by Curt Burmeister & Helmut Mausser & Rafael Mendoza - 423-427 A refinement to the Sharpe ratio and information ratio
by Craig Israelsen - 428-437 A note on portfolio performance attribution: Taking risk into account
by Philippe Bertrand - 438-439 Asset and Liability Management Tools: A Handbook for Best Practice
by Sally Bridgeland
February 2005, Volume 5, Issue 5
- 292-292 Editorial
by Stephen E Satchell - 293-304 Whither active management?
by Charles Jackson - 305-326 Optimal trading frequency for active asset management: Evidence from technical trading rules
by Christian L Dunis & Jia Miao - 327-337 Managing an asset management firm's risk portfolio
by Nancy Beneda - 338-350 Risk management for asset managers: A test of relative VaR
by Davide Maspero & Francesco Saita - 351-359 Investing pension funds as if the long term really did matter
by Sally Bridgeland
December 2004, Volume 5, Issue 4
- 220-222 Editorial
by Kimberly Gluck & Ying Becker - 223-229 Expectations, outcomes and risk
by Paul Bostock - 230-250 Alternative valuation techniques for predicting UK stock returns
by Christian Dunis & Declan Reilly - 251-262 Do currencies influence the stock prices of companies?
by Erik Kroon & Olaf van Veen - 263-271 Short-term and long-term performance of IPOs and SEOs traded as American depository receipts: Does timing matter?
by Mark Schaub & Michael J. Highfield - 272-276 Lagged factors affecting Berkshire Hathaway returns
by Robert Christopherson & Greg Gregoriou - 277-288 Literature survey of measurement of risk: The value premium
by Oluwatobi Oyefeso
October 2004, Volume 5, Issue 3
- 148-148 Editorial
by Stephen E Satchell - 149-156 Good corporate governance works: More evidence from CalPERS
by Mark Anson & Ted White & Ho Ho - 157-175 The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2
by Ron Bird & Jonathan Whitaker - 176-191 Expect something sensible: Putting US returns in an international perspective
by Roelof Salomons - 192-202 How to profit from mean reverting risk premiums? Implications for stock selection
by Olaf Stotz - 203-216 Portfolio formations can affect asset pricing tests
by Ingrid Lo
August 2004, Volume 5, Issue 2
- 76-76 Editorial
by Stephen Satchell - 77-90 How do US and Japanese investors process information, and how do they form their expectations of the future? Evidence from quantitative survey based data
by Patricia Fraser - 91-104 Empirical evidence on corporate governance in Europe: The effect on stock returns, firm value and performance
by Rob Bauer & Nadja Guenster & Rogér Otten - 105-119 Active bond strategies: What link between forecasting ability, excess return and performance?
by Hubert de La Bruslerie - 120-143 Momentum investing: A survey
by Laurens Swinkels
June 2004, Volume 5, Issue 1
- 4-4 Editorial
by Stephen Satchell - 5-12 An alternative route to performance hypothesis testing
by Bernd Scherer - 13-24 Risk management: Survival of the fittest
by Jarrod Wilcox - 25-36 Momentum and the FTSE 350
by Mark Ellis & Dylan C Thomas - 37-48 Forecasting the direction of change in sector stock indexes: An application of neural networks
by Stanley R Stansell & Stanley G Eakins - 49-63 A fuller theory of short selling
by Harlan Platt - 64-71 Measuring style tilting and decomposing style risk
by Theofanis Darsinos & Stephen Satchell
April 2004, Volume 4, Issue 6
- 364-366 Editorial
by Greg Radner - 367-391 Predicting extreme performers in European equities
by Ying L. Becker & Richard J. Ochman - 393-405 How to calculate breadth: An evolution of the fundamental law of active portfolio management
by David Buckle - 407-414 Risk policies for active asset managers
by Dario Brandolini & Massimiliano Pallotta & Raffaele Zenti - 415-428 Towards a goal programming methodology for constructing equity mutual fund portfolios
by Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis - 429-430 Integrated wealth management: ‘The new direction’ for portfolio managers
by Greg N. Gregorion
October 2003, Volume 4, Issue 5
- 292-292 Editorial
by Stephen Satchell - 293-307 Region, sector and style selection in global equity markets
by Ronald van Dijk & Tjeert Keijzer - 308-317 The long-term performance of UK stocks after making rights issues
by Simon Harris - 318-325 Time and the payoff to value investing
by Roland Rousseau & Paul van Rensburg - 326-333 On the information ratio of tactical asset allocation
by Mark Lundin - 334-347 Explaining the cross-section of returns in South Africa: Attributes or factor loadings?
by Paul van Rensburg & Michael Robertson - 348-360 An analysis of the equity risk premium
by Rakesh Bali & Hany Guirguis
December 2003, Volume 4, Issue 4
- 220-220 Editorial — Benchmark Issues
by Stephen Satchell - 221-246 The performance of value and momentum investment portfolios: Recent experience in the major European markets
by Ron Bird & Jonathan Whitaker - 247-257 Estimating free cash flows and valuing a growth company
by Nancy L Beneda - 258-276 How did the Dow do today?
by Paul J Haensly - 277-287 GARCH models with changes in variance: An approximation to risk measurements
by Vicent Aragó & Ángeles Fernández-Izquierdo
September 2003, Volume 4, Issue 3
- 148-151 Editorial — Saving social security
by Franco Modigliani & Arun Muralidhar - 152-172 Selecting a risk-adjusted shareholder performance measure
by Christian S Pedersen & Ted Rudholm-Alfvin - 173-198 Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations
by Nikolaus Hautsch & Joachim Inkmann - 199-216 Emerging market economies: Inevitability of volatility and contagion
by Dilip K Das
August 2003, Volume 4, Issue 2
- 76-76 Editorial
by Stephen E Satchell - 77-95 Do the individual moments of REIT return distributions affect institutional ownership patterns?
by Scott D Below & Stanley Stansell - 96-118 Benefits and risks of alternative investment strategies
by Noël Amenc & Lionel Martellini & Mathieu Vaissié - 119-130 The impact of demand and liquidity on the informaton content and predictive power of the government bond yield curve: An illustration from the UK gilt market
by Moorad Choudhry - 131-144 Evolving financial market structure in the emerging market economies
by Dilip K Das
June 2003, Volume 4, Issue 1
- 4-4 Editorial
by Stephen Satchell - 5-9 Fundamental UK stock prices as determined by the macroeconomy
by Angela Black & Patricia Fraser & Nicolaas Groenewold - 10-21 Optimal portfolio allocation in a world without Treasury securities
by Antulio N Bomfim - 22-31 On the information content of going concern opinions: The effects of SAS numbers 58 and 59
by Mark Schaub & Michael Highfield - 32-72 UK pension fund management after Myners: The hunt for correlation begins
by David Blake
March 2003, Volume 3, Issue 4
- 296-300 Editorial — Investor activism and corporate responsibility
by Craig Mackenzie & Rory Sullivan - 303-312 Economic implications of passive investing
by Paul Woolley & Ron Bird - 313-322 The structure of multifactor equity risk models
by Jason MacQueen - 323-331 Market abuse
by Joe Coffey & Jonathan Overett Somnier - 333-344 Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001
by Stephen J Ciccone - 345-359 Financial liberalisation in the emerging market economies
by Dilip K Das - 361-382 Do hedge funds add value to a passive portfolio? Correcting for non-normal returns and disappearing funds
by Roy Kouwenberg
December 2002, Volume 3, Issue 3
- 200-201 Editorial — The use and abuse of risk management
by J MacQueen - 202-212 Asset allocation versus security selection: Evidence from global markets
by M Kritzman & S Page - 213-228 Non-parametric forecasting for conditional asset allocation
by S Beckers & B Blair - 229-236 Does European high yield lead or lag? Turning lead into gold …
by M C Garman - 237-252 Hedge fund survival lifetimes
by G N Gregoriou - 253-265 International stock market linkages: A factor analysis approach
by M Illueca & J A Lafuente - 266-278 The impact of technological alliances on the information set: Evidence from the Spanish stock exchange
by C Bayona & P Corredor & R Santamaría - 279-289 Are asset managers properly using tracking error estimates?
by R Zenti & M Pallotta - 290-291 Portfolio Construction and Risk Budgeting
by Stephen E Satchell
September 2002, Volume 3, Issue 2
- 100-100 Editorial
by S Satchell - 101-111 Bond Market volatility compared with stock market volatility: Evidence from the UK
by R Johnson & P Young - 112-123 Growth stocks outperform value stocks over the long term
by N Beneda - 124-141 International industry momentum
by L Swinkels - 142-172 The impact of monetary policy on value and growth stocks: An international evaluation
by A J Black