2018 Archives
Special Issue – Environmental, Social and Governance Exposures (ESG)
Vol. 16, No. 1, 2018
Assessing Risk through Environmental, Social and Governance Exposures
Jeff Dunn, Shaun Fitzgibbons and Lukasz Pomorski
Environmental, Social, and Governance Criteria: Why Investors Should Care
Ravi Jagannathan, Ashwin Ravikumar AND Marco Sammon
Establishing ESG as Risk Premia
Julia L. Pollard, Matthew W. Sherwood and Ryan Grad Klobus
A Blueprint for Integrating ESG into Equity Portfolios
Jennifer Bender, Todd Bridges, Chen He, Anna Lester and Xiaole Sun
Carbon Footprint and Productivity: does the “E” in ESG capture Efficiency as well as Environment?
Gerald T. Garvey, Mohanaraman Iyer and Joanna Nash
Book Review
Portfolio Construction, Measurement, and Efficiency Essays in Honor of Jack Treynor
By John B. Guerard, reviewed by Savannah Smith
Vol. 16, No. 2, 2018
Complete and Incomplete FinTech Platforms
Vasant Dhar and Roger M. Stein
Common Factors in Corporate Bond Returns
Ronen Israel, Diogo Palhares and Scott Richardson
Evaluation and Ranking of Market Forecasters
David H. Bailey, Jonathan M. Borwein, Amir Salehipour and Marcos López de Prado
The Dirty Dozen of Valuation Ratios: Is One Better Than Another?
Eero Pätäri, Ville Karell, Pasi Luukka and Julian Scott Yeomans
Book Review
A Practitioner’s Guide to Asset Allocation
By William Kinlaw, Mark P.
Kritzman and DavidTurkington, reviewed by Sharon Hill
Surveys and CrossOvers
Crypto-Assets Unencrypted
Seoyoung Kim, Atulya Sarin and Daljeet Virdi
Vol. 16, No. 3, 2018
A New Approach to Goals-Based Wealth Management
Sanjiv R. Das, Daniel Ostrov, Anand Radhakrishnan and Deep Srivastav
Defined Contribution Pension Plans and Mutual Fund Flows
Clemens Sialm, Laura Starks and Hanjiang Zhang
Picking Through the Alpha Graveyard Correcting for Survivorship Bias in Investment Product Universes
Gregory C. Allen, Ivan S. Cliff and Walter J. Meerschaert
Macro-Based Parametric Asset Allocation
Richard Franz
Book Review
Adaptive Markets: Financial Evolution at the Speed of Thought
By Andrew Lo, reviewed by Savannah Smith
Surveys and CrossOvers
Distributed Ledger and Blockchain Technology: Framework and Use Cases
Seoyoung Kim and Atulya Sarin
Vol. 16, No. 4, 2018
Illiquidity and Factor Returns: Exploring the Intersection Between Illiquidity, Small Cap
and Popular Factors
Jason C. Hsu and Vivek Viswanathan
Automation, Intermediation and the Flash Crash
Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun
Trading Methods and Trading Costs for Agency Mortgage-Backed Securities
Pengjie Gao, Paul Schultz and Zhaogang Song
Time Aggregation of Sharpe Ratio A Better Extrapolation Rule
Ziemowit Bednarek, Pratish Patel and Cyrus Ramezani
Explaining the High P/E Ratios: The Message from the Gordon Model
Heinz Zimmermann
Surveys&Crossovers – Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient Portfolios
Jürgen Vandenbroucke and Sanjiv Ranjan Das
Book Review
The End of Theory
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