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2011 Archives

Volume 9, Number 1, First Quarter

Practitioner’s Digest

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

CASE STUDIES: Closet Indexing

BOOK REVIEWS: The Big Short – Inside The Doomsday Machine

Volume 9, Number 2, Second Quarter

Practitioner’s Digest

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

Practitioner’s Digest

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

Practitioner’s Digest

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

CASE STUDIES: Understanding the Middle East

Debunkery: Learn it, Do It, and Profit From It

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