2010 Archives
Volume 8, Number 1, First Quarter
INSIGHTS: Lessons on Investment Management from the Global Recession and Bear Market
Frank J. Jones
New Directions in Financial Sector and Sovereign Risk Management
Dale Gray and Andreas A. Jobst
The Long View of Financial Risk
Lisa R. Goldberg and Michael Y. Hayes
Non-Normality Facts and Fallacies
David N. Esch
Do Endowment Funds Select the Optimal Mix of Active and Passive Risks?
Keith C. Brown and Cristian Tiu
Mispricing and Costly Arbitrage
Ronnie Sadka and Anna Scherbina
CASE STUDIES: Global Investing
BOOK REVIEWS: Guide to Investment Strategy: How To Understand Markets, Risk and Behaviour
Volume 8, Number 2, Second Quarter
The Inevitable Baggage We Display
Dean LeBaron
The Power to Spend
Jack L. Treynor
Warning: Physics Envy May be Hazardous to Your Wealth!
Andrew W. Lo and Mark T. Mueller
The Future of Finance
Mark Kritzman
The Study of Crises
James H. Scott
Quantifying Systemic Risk and Reconceptualizing the Role of Finance for Economic Growth
Dale F. Gray, Andreas A. Jobst and Samuel W. Malone
Active Credit Portfolio Management in Practice
Volume 8, Number 3, Third Quarter
INSIGHTS: Some Lessons Learned in 42 Years of Business
Charles E. Harris
An Improved Implied Copula Model and Its Application to the Valuation of Bespoke CDO Tranches
John Hull and Alan White
Do Informed Investors Cause Momentum?
James H. Scott and Jorge A. Murillo
The Asset Growth Effect in Stock Returns
Michael J. Cooper, Huseyin Gulen and Michael J. Schill
A Bayesian Approach to Stress Testing and Scenario Analysis
Riccardo Rebonato
SURVEYS AND CROSSOVERS: The LIBOR/SABR Market Models: A Critical Review
Sanjay K. Nawalkha
CASE STUDIES: Momentum Stocks
Jack L. Treynor
BOOK REVIEW: This Time is Different: Eight Centuries of Financial Crises
Bruce Grantier
Volume 8, Number 4, Fourth Quarter
Insights: A New Taxonomy of the Dynamic Term Structure Models
Sanjay K. Nawalkha, Natalia A. Beliaeva and Gloria Soto
Equally Weighted Rebalancing as the Average of all Investment Strategies
Masahito Shimizu
How Quickly Do Equity Prices Converge to Intrinsic Value?
Dennis R. Capozza and Ryan D. Israelsen
The Rule of 72 for Lifetime Savings
Thomas K. Philips
What’s the Best Way to Trade Using the January Barometer?
Michael J. Cooper, John J. McConnell and Alexei V. Ovtchinnikov
SURVEYS AND CROSSOVERS: Implementing Option Pricing Models Using Python and Cython
Sanjiv R. Das and Brian Granger
CASE STUDIES: Linear Causality
Jack L. Treynor
BOOK REVIEWS: The Little Book of Safe Money (by Jason Zweig) & The Little Book of Bulletproof Investing (by Ben Stein and Phil DeMuth)
Javier Estrada