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2016 Archives


Volume 14, Number 1, First Quarter

PRACTITIONER’S DIGEST

Letter to the Editor

By the Numbers: 10 Things My Hobbies Have Taught Me About Investing
Vineer Bhansali

Tax-Cognizant Portfolio Analysis: A Methodology for Maximizing After-Tax Wealth
Kenneth A. Blay and Harry M. Markowitz

The Self-Fulfilling Prophecy of Popular Asset Pricing Models
Bradford Cornell and Jason Hsu

The Information Content of Analysts’ Recommendations Revisited
Daniel Bradley, Jonathan Clarke, Suzanne Lee and Chayawat Ornthanalai

Optimal Municipal Bond Portfolios for Dynamic Tax Management
Andrew Kalotay

“Case Studies” Weatherman’s Bias
Jack L. Treynor

Global Asset Allocation: A Survey of the World’s Top Asset Allocation Strategies (by Mebane Faber)
Javier Estrada

Volume 14, Number 2  Second Quarter

PRACTITIONER’S DIGEST

Market Risk, Mortality Risk, And Sustainable Retirement Asset Allocation: A Downside Risk Perspective
W. V. Harlow and Keith C. Brown

Combining Value And Momentum
Gregg Fisher, Ronnie Shah and Sheridan Titman

Factor Misalignment And Portfolio Construction
Jose Menchero

Price Dynamics And Liquidity Of Exchange-Traded Funds
Ananth Madhavan and Aleksander Sobczyk

Portfolio Diversification In Concentrated Bond And Loan Portfolios
Paul Kupiec

Why Social Scientists Are Different From Physical Scientists
Jack L. Treynor

The Big Short: Inside The Doomsday Machine (By Michael Lewis)
Craig French

Volume 14, Number 3 Third Quarter

PRACTITIONER’S DIGEST

INSIGHTS – Mass Customization Versus Mass Production – How an Industrial Revolution is About to Take Place in Money Management and Why it Involves a Shift From Investment Products to Investment Solutions
Lionel Martellini

How Do Private Equity Investments Perform Compared to Public Equity?
Robert S. Harris, Tim Jenkinson and Steven N. Kaplan

It’s Easy to Beat the Market
Mosh Levy

The Profitable Dividend Yield Strategy
Wai Mun Fong and Zhehan Ong

“Case Studies” Developing Countries
Jack L. Treynor

Misbehaving—The Making of Behavioral Economics (By Richard Thaler)
Javier Estrada

“Surveys&Crossovers”Correlation or Causation?: The Sorry State of Inference in Empirical Modeling
Xiaojing Dong and John Heineke

Volume 14, Number 4

PRACTITIONER’S DIGEST

ARTICLES

INSIGHTS The Road Not Taken
Craig W. French

A New Look at Discount Returns: Implications for the Global Investor
Anthony Tessitore and Nilufer Usmen

Can Fundamental Factors Enhance the Performance of Traditional Momentum Strategies?
Susana Yu and Gwendolyn Webb

Mean–Variance Optimization with Public and Private Asset Classes
Yu (Ben) Meng, Pu (Paul) Zhang and Ryan Ong

After-Tax Portfolio Value: The Missing Tax Option
Andrew Kalotay

CASE STUDIES

Business Models to Cure Rare Disease: A Case Study of Solid Biosciences
Esther S. Kim and Andrew W. Lo

BOOK REVIEW

God’s Own Arithmetic: Harry Markowitz’ Risk-Return Analysis
Review by Craig W. French

SURVEYS&CROSSOVER

The Economics of Flash Orders and Trading
Lawrence E. Harris and Ethan Namvar

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