Volume 18, No. 1, 2020
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
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
Introduction to the Special Issue on Machine Learning
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
Collective Defined Contribution Plans
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
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.
Case Study: Is “1 and 10” The New “2 and 20”?
Book Review – The Man Who Solved The Market
by Gregory Zuckerman (Reviewed by Javier Estrada)
Vol. 18, No. 4, 2020
Special Issue: Retirement Investing
A Personal Tribute to Professor Harry Markowitz on the Occasion of the JOIM Special Achievement Award
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)
Paid Subscription allows access to all JOIM content with no fees and four quarterly print issues. To subscribe/upgrade please visit: Paid subscriptions
FREE Subscription allows access to all Case Studies, Practitioner’s Digests, Book Reviews and Surveys & CrossOvers . There is a $25 fee for Current and Archived Articles.