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2020 Archives

Volume 18, No. 1, 2020

Practitioner’s Digest

The Fully-Anticipated P/E Promise and Its Realization
Martin L. Leibowitz, Stanley Kogelman and Anthony Bova

Do High-Frequency Traders Improve Your Implementation Shortfall?
Robert A. Korajczyk and Dermot Murphy

Timing is not Everything—Assessing Manager Skill in Factor Timing
Andrew Chin and Piyush Gupta

Trends Everywhere
Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos

Time-Series Variation in Factor Premia: The Influence of the Business Cycle
Christopher Polk, Mo Haghbin and Alessio de Longis

Case Study – Fair and Responsible Drug Pricing: A Case Study of Radius Health and Abaloparatide
Qingyang Xu and Andrew W. Lo

Book Review – Nonlinear Time Series Analysis
by Ruey S. Tsay and Rong Chen (reviewed by Alireza Yazdani)

Volume 18, No. 2, 2020
Special Issue: Machine Learning in Capital Markets

Practitioner’s Digest

Introduction to the Special Issue on Machine Learning
Charles Elkan

On the Stability of Machine Learning Models: Measuring Model and Outcome Variance
Vasant Dhar and Haoyuan Yu

Can Machines “Learn” Finance?
Ronen Israel, Bryan Kelly and Tobias Moskowitz

Dynamic Goals-Based Wealth Management Using Reinforcement Learning
Sanjiv R. Das and Subir Varma

Using Machine Learning to Predict Realized Variance
Peter Carr, Liuren Wu and Zhibai Zhang


Local, Global, and International CAPM: For Which Countries Does Model Choice Matter?
Demissew Ejara, Alain Krapl, Thomas J. O’Brien and Santiago Ruiz de Vargas

Case Study
Collective Defined Contribution Plans
Seoyoung Kim

Book Review
Smart(er) Investing – How Academic Insights Propel the Savvy Investor
by Elisabetta Basilico and Tommi Johnsen (Reviewed by Zachary Simon)

Volume 18, No. 3, 2020

Practitioner’s Digest

Measuring Risk Preferences and Asset-Allocation Decisions: A Global Survey Analysis
Andrew W. Lo, Alexander Remorov and Zied Ben Chaouch

Correlation Shrinkage: Implications For Risk Forecasting
Jose Menchero and Peng Li

Is Sell-Side Research More Valuable in Bad Times?
Roger K. Loh and René M. Stulz

Comparing Anomalies Using Liquidity and Earnings
Robert Snigaroff, David Wroblewski and Sean Sehyun Yoo

Attribution of Ex-Post Realized Sharpe Ratio to The Predictability Of The Ex-Ante Forecast Return and Risk.
Masahito Shimizu

Case Study
Case Study: Is “1 and 10” The New “2 and 20”?
Seoyoung Kim

Book Review
Book Review – The Man Who Solved The Market
by Gregory Zuckerman (Reviewed by Javier Estrada)

Vol. 18, No. 4, 2020
Special Issue: Retirement Investing

Practitioner’s Digest

A Personal Tribute to Professor Harry Markowitz on the Occasion of the JOIM Special Achievement Award

Articles

Insights: Towards Replacing the Defined Benefit Plan: Assured Retirement Income Provided by a Liquid Investment Fund
Miguel Palacios, Hayne Leland and Sasha Karimi

A Six-Component Integrated Approach to Addressing the Retirement Funding Challenge
Robert C. Merton and Arun Muralidhar

How Much Can Collective Defined Contribution Plans Improve Risk-Sharing?
Deborah Lucas and Daniel Smith


What Drives Active Share? Active Stock Selection or Active Stock Weights
Aymen Karoui and Saurin Patel

Multi-Period Portfolio Selection: A Practical Simulation-Based Framework
Kenneth Blay, Anish Ghosh, Steven Kusiak, Harry Markowitz,
Nicholas Savoulides and Qi Zheng

Book Review: The Ascent of Market Efficiency: Finance That Cannot Be Proven
By Simone Polillo (Reviewed by Joe Sherman)


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