REVISTA

JOURNAL OF PORTFOLIO MANAGEMENT

ISSN: 0095-4918 Frecuencia: 4 Formato: Impresa

Tablas de contenido

12 artículos asociados

Volumen 32 Número 2 Parte 0 Año 2006

Financial Disclosure +and Regulation - A portfolio approach is used here to analyze the value of financial disclosure to stockholders and the need for disclosure regulation. This demonstrates that in a portfolio context the degree of public financial	Solicitud
Levy, Moshe, Benita, Golan, Levy, Haim
Pág. 107 - 115

Rationality of Naive Forecasts of Long-Term Rates - Brooks and Gray in the Fall 2004 JPM examined the accuracy of economists'' long-term interest rate forecasts in Wall Street Journal surveys. They concluded that no-change naive forecasts were better	Solicitud
Reichenstein, William
Pág. 116

Needles, Haystacks, and Hidden Factors - Statistical factor modeling is often described as a way to identify commonality among returns in a financial market. Statistical models examine returns over many time periods, and from them identify relationsh	Solicitud
Miller, Guy
Pág. 25 - 32

Optimal Rebalancing for Institutional Portfolios - Institutional fund managers generally rebalance using ad hoc methods such as calendar periods or tolerance band triggers. Another approach is to quantify the cost of a rebalancing strategy in terms o	Solicitud
Sun, Walter, Fan, Ayres, Chen, Li-Wei, Schouwenaars, Tom, Albota, Marius A
Pág. 33 - 43

The Capacity of an Equity Strategy - Capacity is an intuitive concept linked to diseconomies of scale in equity investing. As assets under management grow beyond realization of full economies of scale, liquidity and ownership constraints erode the ab	Solicitud
Vangelisti, Marco
Pág. 44 - 50

Managing Guarantees - We have seen in recent years a significant growth in investment products aimed at investors who are worried about downside potential in the financial markets. One response is a dynamic stochastic optimization model for managing	Solicitud
Dempster, Michael A H, Germano, Matteo, Medova, Elena A, Rietbergen, Muriel I, Sandrini, Francesco, Scrowston, Mark
Pág. 51 - 61

Speed of Adjustment in U.S. Financial Markets - This study uses U.S. financial market data from the post-World War II era to examine whether the statistical evidence supports a flexible-weight asset allocation in U.S. financial markets. A variety of	Solicitud
Coggin, T Daniel, Apshanapalli, Bala
Pág. 62 - 69

Market Timing with Cay - Market timing strategies using deviations from the long-run log consumption-wealth ratio (Cay) are tested to evaluate whether such strategies deliver superior investment performance. Several statistical tests indicate that tr	Solicitud
Andrade, Sandro C, Babenko, Ilona, Tserlukevich, Yuri
Pág. 70 - 80

A Portfolio Diversification Index and Systematic Risks of Hedge Fund Investment Styles - Despite the importance of diversification in portfolio construction, our current methods of measuring it are inefficient. Construction of a Portfolio Diversifica	Solicitud
Rudin, Alexander M, Morgan, Jonathan S
Pág. 81 - 89

Attribution - This flexible, unified, and portfolio-centered approach to attribution treats attribution questions that occur before the fact (ex ante) and after the fact (ex post) symmetrically. Three important aspects of an analysis of a portfolio e	Solicitud
Grinold, Richard
Pág. 9 - 24

From Delivering to Packaging of Alpha - The hedge fund industry typically takes a producer (manager) rather than a consumer (investor) perspective. There ought to be new types of hedge fund offerings better suited to the needs of institutional invest	Solicitud
Amenc, No¿l, Malaise, Philippe, Martellini, Lionel
Pág. 90 - 98

Calculating the Price of Bond Convexity - The global decline in interest rates has created a significant increase in the present value of pension funds; convexity plays an important role -- The convexity bias in the yield curve is well known. While t	Solicitud
Smit, Linda, Swart, Barbara
Pág. 99 - 106