2024 Archives
Volume 22, No. 1, First Quarter 2024
ARTICLES
Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique
Bob Korkie and H. J. Turtle
Accelerating the Capital Solution to Climate Change
Yu (Ben) Meng, Anne Simpson, Anna Snider and Christina Yi
Biotech Asset Valuation Methods: A Practitioner’s Guide
Amitabh Chandra and Sumon Mazumdar
SURVEYS AND CROSSOVERS
Unrealistic Expectations: The Futility of Precisely Estimating a Stock’s Expected Return
Sanjiv R. Das and Daniel Ostrov
CASE STUDY
Managing Market Downturns with NAV Loans
Ivan Asensio and Seoyoung Kim
BOOK REVIEW
Book Review – Scary Smart: The Future of Artificial Intelligence and How You Can Save Our World
by Mo Gawdat (Reviewed by Jana Minn)
Volume 22, No. 2, Second Quarter 2024
ARTICLES
Optimal Portfolio Choice with Absorbing Markov Chains: Application to Markets that May Potentially Decouple
Andrew Ang, Henry Shen, Jeff Shen and Rui Zhao
Full-Scale Currency Hedging
Megan Czasonis, Mark Kritzman and David Turkington
Extreme Weather and Retirement Savings
Ted Daverman, Joshua Kazdin, Michael Pensky and Fiona Sloof
Night Moves: Is the Overnight Drift the Grandmother of all Market Anomalies?
Victor Haghani, Vladimir Ragulin and Richard Dewey
CASE STUDY
AI Applications in Mass Customization: From Predictive Analytics to Generative AI
Seoyoung Kim
BOOK REVIEW
Book Review – The Great Demographic Reversal: Ageing Societies, Waning Inequality, and an Inflation Revival
by Mark Kritzman (Reviewed by Junming Cui)
Volume 22, No. 3, Third Quarter 2024
Special Issue
The Future of Derivatives Research: Modeling Risk and Return Dynamics
The JOIM is honored to present this special issue, commemorating the 50th anniversary of the pioneering Black-Merton-Scholes option pricing model. This issue, the first of two dedicated to the 2023 CISDM conference at UMass Amherst, brings together profound insights and contributions from some of the most distinguished figures in the field of finance, including Nobel Laureates Robert Merton and Myron Scholes. The CISDM conference, spearheaded by Professor Sanjay Nawalkha, alongside CISDM Director Hossein Kazemi and Associate Director Mila Getmansky, celebrated not just a half-century of the Black-Scholes Merton model but also the transformative impact this framework has had on global finance.
Introduction
Douglas Breeden, John Hull and Sanjay Nawalkha
Retirement Security Bonds
Robert C. Merton
About Fischer Black
Emanuel Derman
ARTICLES
Equivalent Expectation Measures for Risk and Return Analysis of Contingent Claims
Sanjay K. Nawalkha and Xiaoyang Zhuo
Stock Market Insurance Prices, BL Skew, Conditional Marginal Utilities and the Equity Risk Premium
Douglas T. Breeden
The Options-Inferred Equity Premium and the Slippery Slope of the Negative Correlation Condition
Gurdip Bakshi, John Crosby, Xiaohui Gao, Jinming Xue and Wei Zhou
Forecasting the Distribution of Option Returns
Leandro Gomes, Roni Israelov and Bryan Kelly
BOOK REVIEW
Book Review – The Puzzle of Sustainable Investment: What Smart Investors Should Know
by Mark Kritzman (Reviewed by Yaoyun Zhang)
Volume 22, No. 4, Fourth Quarter 2024
The Future of Derivatives Research: Modeling Risk and Return Dynamics II
We are delighted to present the second special issue of the Journal of Investment Management, commemorating the 50th anniversary of the revolutionary Black-Merton-Scholes (BMS) option pricing model. This edition builds upon the themes of our first special issue, which featured Robert Merton’s keynote address and pivotal contributions from various scholars. In this issue, we have the privilege of highlighting the keynote delivered by Nobel Laureate Myron Scholes, whose insights continue to shape financial theory and practice.
Introduction
Douglas Breeden, John Hull and Sanjay Nawalkha
Black–Merton–Scholes Option Pricing: A 50-Year Celebration—Looking Ahead
George M. Constantinides
ARTICLES
Hedging Barrier Options Using Reinforcement Learning
Jacky Chen, Yu Fu, John Hull, Zissis Poulos, Zeyu Wang and Jun Yuan
Training Machines to Trade Stocks
Dilip B. Madan and King Wang
Fooled by the Black Swan
Sanjay K. Nawalkha
Arbitrage Pricing Theory 50 Years After Black Merton Scholes
Robert A. Jarrow
BOOK REVIEW
Book Review – Mutual Fund Selection: From Theory to Practice
By Moshe Levy and Richard Roll (Reviewed by Ming Xian)