2015 Archives
Volume 13, Number 1, First Quarter
INSIGHTS: Investment, Financial System, Real Output and Macro-Risk Management
Thomas S. Y. Ho and Sang Bin Lee
Reserve Primary: Fools Rush in Where Wise Men Fear to Tread!
Ozgur (Ozzy) Akay, Mark D. Griffiths and Drew B. Winters
Investing With Style
Clifford S. Asness, Antti Ilmanen, Ronen Israel and Tobias J. Moskowitz
OIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads
John Hull and Alan White
Momentum, Acceleration, and Reversal
James X. Xiong and Roger G. Ibbotson
Impact of Credit Markets on Dynamic Stochastic Real Aggregate Production
Thomas S. Y. Ho and Sang Bin Lee
BOOK REVIEW: Asset Management: A Systematic Approach to Factor Investing
Volume 13, Number 2, Second Quarter
INSIGHTS: What Piketty Doesn’t Understand
Jack Treynor
Alternative Currency Hedging Strategies With Known Covariances
Wei Chen, Mark Kritzman and David Turkington
A Structural Macro-Financial Model an Macro-Risk Management
Thomas S. Y. Ho and Sang Bin Lee
Strategic Asset Allocation with Low-Risk Stocks: A Bootstrap Analysis
Wai Mun Fong and Timothy Koh
Growth Optimal Portfolio Insurance for Long-Term Investors
Daniel Mantilla-García
Equity Indices’ Returns: Contingent Claims on GDP Stochastic Movements
Thomas S.Y. Ho and Sang Bin Lee
CASE STUDIES: Failure of the Real Wage to Grow
BOOK REVIEW: Think Like a Freak
Volume 13, Number 3, Third Quarter
Insights: Consumption, Investment and Insurance in the Game of Life
Harry M. Markowitz
Retirement Readiness and Behavioral Finance
Burton G. Malkiel
Decentralization in Pension Fund Management
David Blake, Alberto Rossi, Allan Timmermann, Ian Tonks and Russ Wermers
Augmented Risk Models to Mitigate Factor Alignment Problems
Anureet Saxena and Robert A. Stubbs
Beware of Children Trading
Henk Berkman, Paul D. Koch and P. Joakim Westerholm
The Value of Active Investing
Craig William French
CASE STUDIES: The New Colonialism
BOOK REVIEW: Investors and Markets
Volume 13, Number 4, Third Quarter
Practitioners’ Digest
The Self-Fulfilling Prophecy of Popular Asset Pricing Models
Jack L. Treynor
Articles
Translational Medicine via Public Markets: The Business Development Company
Sandra M. Forman, Andrew W. Lo, Monica Shilling and Grace K. Sweeney
Fundamental Indexation and the Fama-French Three Factor Model: Risk Assimilation or Stock Mispricing?
Xiaofeng Shi, Mike Dempsey and Laurence Irlicht
Efficiently Combining Multiple Sources of Alpha
Jose Menchero and Jyh-Huei Lee
Investing in the Asset Growth Anomaly Across the Globe
Xi Li and Rodney N. Sullivan
Case Studies: Male Life Expectancy Graph
Jack L. Treynor
Book Review – Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation, Riccardo Rebonato and Alexander Denev
Reviewed by Cel Kulasekaran