2011 Archives
Volume 9, Number 1, First Quarter
The Supply and Demand of Alpha
Harry Markowitz, Robert Snigaroff and David Wroblewski
The National Transportation Safety Board: A Model for Systemic Risk Management
Eric Fielding, Andrew W. Lo and Jian Helen Yang
Has Hedge Fund Alpha Disappeared?
Manuel Ammann, Otto Huber and Markus Schmid
Decentralized Downside Risk Management
Andrea Reed, Cristian Tiu and Uzi Yoeli
BOOK REVIEWS: The Big Short – Inside The Doomsday Machine
Volume 9, Number 2, Second Quarter
Efficient Markets in Crisis
Meir Statman
Predicting Financial Distress and the Performance of Distressed Stocks
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Multiple Time Scale Attribution for Commodity Trading Advisor (CTA) Funds
Brian T. Hayes
Robust Portfolio Rebalancing with Transaction Cost Penalty—An Empirical Analysis
Vitaly Serbin, Milan Borkovec and Michael Chigirinskiy
Random Lattices for Option Pricing Problems in Finance
Sanjiv R. Das
CASE STUDIES: A Lively Expectation of Favors Yet to be Received
BOOK REVIEWS: The Endowment Model Of Investing: Return, Risk and Diversification
Volume 9, Number 3, Third Quarter
INSIGHTS: What Interest Rate Models to Use? Buy Side Versus Sell Side
Sanjay K. Nawalkha and Riccardo Rebonato
Fat Tails and Stop-Losses in Portable Alpha
Mark B. Wise, Yonathan Schwarzkopf and Vineer Bhansali
The Performance, Pervasiveness, and Determinants of Value Premium in Different US Exchanges: 1985–2006
George Athanassakos
Portfolio Diversification
James A. Bennett and Richard W. Sias
Hedge Funds: A Sensible Approach to Oversight
Antony E. Ghee
CASE STUDIES: The Nutty Professor (36)
BOOK REVIEWS: Bond Portfolio Investing and Risk Management
Volume 9, Number 4, Fourth Quarter
Insights: What Can Taleb Learn from Markowitz?
Jack L. Treynor
Managing the Volatility of Alpha Models
Tony Elavia and Migene Kim
Another Look at Idiosyncratic Volatility and Expected Returns
Wei Huang, Qianqiu Liu, S. Ghon Rhee and Liang Zhang
Efficient Indexation: An Alternative to Cap-Weighted Indices
Noël Amenc, Felix Goltz, Lionel Martellini and Patrice Retkowsky
Pairs-Trading on Divergent Analyst Recommendations
Susana Yu