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0 comments / 08/08/2023 / the JOIM / Case Studies

Case Study: Investment Management Lessons Learned From the Management and Mismanagement of Impending Bank Runs

Vol. 21, No. 3, 2023 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 are so fundamental to… Read more

0 comments / 08/08/2023 / the JOIM / Book Reviews

Book Review: Trillions

Vol. 21, No. 3, 2023 By Robin Wigglesworth (Reviewed by Javier Estrada) View PDF… Read more

0 comments / 08/08/2023 / the JOIM / Articles

The Determinants of Inflation

Vol. 21, No. 3, 2023 William Kinlaw, Mark Kritzman, Michael Metcalfe and David Turkington The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that dynamically determine the trajectory of inflation. Their analysis enables policymakers to… Read more

0 comments / 08/08/2023 / the JOIM / Articles

Asset Allocation with Non-Pecuniary ESG Preferences: Efficiently Blending Value with Values

Vol. 21, No. 3, 2023 Douglas M. Grim, Giulio Renzi-Ricci and Anna Madamba The explosion of interest in ESG investing has yielded several quantitative frameworks that seek to incorporate non-pecuniary ESG preferences into conventional multi-asset portfolio optimization models. In this article, the authors specify an accessible approach that allows investors to simultaneously optimize for both… Read more

0 comments / 08/08/2023 / the JOIM / Articles

Efficient Goal Probabilities: A New Frontier

Vol. 21, No. 3, 2023 Sanjiv Das, Daniel Ostrov, Anand Radhakrishnan and Deep Srivastav In goals-based wealth management (GBWM), an investor looks to maximize the probabilities of attaining each of n goals over time. Because the goals are in competition for potentially limited financial resources, their relative importance must be specified, which we do by… Read more

0 comments / 08/08/2023 / the JOIM / Articles

Are 60/40 Portfolio Returns Predictable?

Vol. 21, No. 3, 2023 Jamil Baz, Steve Sapra and German Ramirez Long-horizon asset class returns are reasonably predictable using simple models of expected return. However, equity returns over the last decade far exceeded model-based predictions. We posit a framework for the drivers of potential mean-reversion in equity returns. We believe increases in real bond… Read more

0 comments / 08/08/2023 / the JOIM / Practitioner’s Digest

Practitioner’s Digest

Vol. 21, No. 3, 2023 Practitioner’s Digest View PDF… Read more

0 comments / 16/05/2023 / the JOIM / Book Reviews

Review – Healthcare Finance: Modern Financial Analysis for Accelerating Biomedical Innovation

Vol. 21, No 2, 2023 by Andrew W. Lo and Shomesh E. Chaudhuri (Reviewed by Piyush Kontu ) Book Review View PDF… Read more

0 comments / 16/05/2023 / the JOIM / Case Studies

Case Study: Bitcoin ETFS: The Pros and Cons of a Spot ETF Versus a Futures ETF

Vol. 21, No 2, 2023 by Seoyoung Kim Case Study View PDF… Read more

0 comments / 16/05/2023 / the JOIM / Articles

Trading with the Informed and Against the Uninformed: Flows and Positioning in the Global Currency Market

Vol. 21, No 2, 2023 by Aldo Barrios, Rob Franolic, Davide Giovanardi and Michael Melvin FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while… Read more

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