2017 Archives
Vol. 15, No. 1, 2017
Automated Investment Services
Burton G. Malkiel
Moore’s Law Vs. Murphy’s Law in the Financial System: Who’s Winning?
Andrew W. Lo
A Machine Learning Approach to Research Curation for Investment Process
Sonya Cates, Stephen Lawrence, Carla Penedo and Viktoriia Samatova
Picking Winner Funds
Joshua Livnat, Gavin Smith and Martin Tarlie
Stock Portfolio Design and Backtest Overfitting
David H. Bailey, Jonathan M. Borwein and Marcos López de Prado
Vol. 15, No. 2, 2017
In Memory of Stephen Ross
Stephen Foerster
The Legacy of Jack L. Treynor
Stephen Foerster
Leaning with the Wind: Long-Term Asset Owners and Procyclical Investing
Bradley A. Jones
Horizon Effects that are Larger than You Think: Dynamic Allocation with a Representative Investor
Thomas J. O’Brien
A Pitfall in Ethical Investing: ESG Disclosures Reflect Vulnerabilities, not Virtues
Gerald T. Garvey, Joshua Kazdin, Ryan LaFond, Joanna Nash and Hussein Safa
The Impact of Different Default Triggers on CMBS Risk Evaluation
Andreas D. Christopoulos
Rethinking the Fundamental Law of Active Management
Jose Menchero
Vol. 15, No. 3, 2017
Measuring Portfolio Performance: Sharpe, Alpha, or the Geometric Mean?
Moshe Levy
Market Timing: Sin a Little Resolving the Valuation Timing Puzzle
Cliff Asness, Antti Ilmanen and Thomas Maloney
Multi-Period Portfolio Rebalancing with Personal Tax
Ganlin Xu
What is Value in an Equity Market?
Michael Suen, Hany Guirguis, Stan Beckers and Ted Theodore
Book Review – The Index Revolution – Why Investors Should Join it Now
Vol. 15, No. 4, 2017
The Impact of Costs on Recent Target Date Fund Performance
C. Edward Chang, Thomas M. Krueger and Mark A. Wrolstad
Investment Horizon Risk and Volatility Metrics
Robert Korkie
A Portfolio Strategy with Hedge Funds and Liquid Alternatives
E. William Stone and Paul J. White
How to Calibrate the Risk of Buyout Investments? Through Buyout-Backed Initial
Public Offerings
Jean-François L’Her, Ram Karthik and Stéphanie Desrosiers
Case Study
Pricing for Survival in the Biopharma Industry: A Case Study of Acthar Gel
and Questcor Pharmaceuticals
Terence C. Burnham, Samuel Huang and Andrew W. Lo
Surveys and CrossOvers
Machine Learning in Finance: The Case of Deep Learning for Option Pricing
Robert Culkin and Sanjiv R. Das
Book Review
Behavioral Risk Management: Managing the Psychology that Drives Decisions
and Influences Operational Risk
by Hersh Shefrin, reviewed by Cel Kulasekaran