Vol. 23, No. 1, 2025 by Sébastien Page (Reviewed by Will Kinlaw) Book Review View PDF… Read more
the JOIM
The ESG Conundrum
Vol. 23, No. 1, 2025 by Ye Cai and Seoyoung Kim “Case Studies” presents a case pertinent to contemporary issues and events in investment management. Insightful and provocative questions are posed at the end of each case to challenge the reader. Each case is an invitation to the critical thinking and pragmatic problem solving that… Read more
Fixed Income Index Funds: Demystifying Portfolio Construction and Rebalancing
Vol. 23, No. 1, 2025 by Stephen Laipply, Ananth Madhavan, James Mauro and Nogie Udevbulu Assets in fixed income index mutual funds and exchange-traded funds (ETFs) have grown substantially in recent years. This paper examines fixed income index fund portfolio rebalancing efficiency using empirical evidence from four large fixed income index funds. We show how… Read more
The CAPM, APT, and PAPM
Vol. 23, No. 1, 2025 by Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson The Popularity Asset Pricing Model (PAPM) generalizes the Capital Asset Pricing Model (CAPM) with popularity as the basis for multiple priced characteristics. The CAPM along with the Arbitrage Pricing Theory (APT) are the dominant textbook asset pricing models. Both… Read more
Can Under-Diversification Explain the Size Effect?
Vol. 23, No. 1, 2025 by Moshe Levy None of the explanations suggested so far for the size anomaly seems to be consistent with the empirical evidence. This paper examines under-diversification as a possible explanation for the size effect. When the portfolio weight of a stock is non-negligible, its variance is priced. As small stocks… Read more
Forecasting and Managing Volatility: An S&P 500 Case Study
Vol. 23, No. 1, 2025 by Wei Dai, Xing Hong, Robert C. Merton and Mathieu Pellerin Using daily and intraday data from 1997 to 2023, we study strategies that stabilize volatility around a target by rebalancing between the S&P 500 and Treasury bills based on a broad set of volatility forecasts. Somewhat counterintuitively, lower forecasting… Read more
Practitioner’s Digest
Vol. 23, No. 1, 2025 Practitioner’s Digest View PDF… Read more
Book Review – Mutual Fund Selection: From Theory to Practice
Vol. 22, No. 4, 2024 By Moshe Levy and Richard Roll (Reviewed by Ming Xian) View PDF… Read more
Arbitrage Pricing Theory 50 Years After Black Merton Scholes
Vol. 22, No. 4, 2024 Robert A. Jarrow In the past 50 years, the Black Merton Scholes option pricing methodology has advanced in three directions: the mathematical foundations, modifying its assumptions, and applications to new derivatives. This lecture reviews the advances with respect to the mathematical foundations and the modifications of its assumptions. The key… Read more
Fooled by the Black Swan
Vol. 22, No. 4, 2024 Sanjay K. Nawalkha This paper offers a critical analysis of the normative theory of investment decisions as presented in Taleb’s The Black Swan. I find that the relentless pursuit of positive black swans can lead investors to overprice opportunities, potentially triggering financial bubbles and crashes in the medium to long… Read more