Vol. 22, No. 2, 2024 by Megan Czasonis, Mark Kritzman and David Turkington After years of spirited debate, most investors agree that to minimize the risk currencies add to a portfolio they should hedge its currency exposures based on its betas relative to the currencies to which it is exposed. However, this notion of hedging… Read more
the JOIM
AI Applications in Mass Customization: From Predictive Analytics to Generative AI.
Vol. 22, No. 2, 2024 by 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… Read more
Book Review – The Great Demographic Reversal: Ageing Societies, Waning Inequality, and an Inflation Revival
Vol. 22, No. 2, 2024 by Mark Kritzman (Reviewed by Junming Cui) View PDF… Read more
Practitioner’s Digest
Vol. 22, No. 2, 2024 View PDF… Read more
Book Review – Scary Smart: The Future of Artificial Intelligence and How You Can Save Our World
Vol. 22, No. 1, 2024 by Mo Gawdat (Reviewed by Jana Minn, Senior Quantitative Researcher, State Street Associates) View PDF… Read more
Case Study – Managing Market Downturns with NAV Loans
Vol. 22, No. 1, 2024 Ivan Asensio 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 are… Read more
Surveys And Crossover – Unrealistic Expectations: The Futility of Precisely Estimating a Stock’s Expected Return
Vol. 22, No. 1, 2024 Sanjiv R. Das and Daniel Ostrov …dedicated to the memory of Mark S. Joshi, who worked to make results like these better known We reprise the result that even underthe best circumstances, it is impossible to use observed return data for a stock to determine its expected return with any… Read more
Biotech Asset Valuation Methods: A Practitioner’s Guide
Vol. 22, No. 1, 2024 Amitabh Chandra and Sumon Mazumdar Biotech innovations lead to the development of life-saving drugs and vaccines. However, bringing a new drug to market is an expensive,risky, and time-consuming process. According to one survey, the probability that a drug that has completed pre-clinical trials, would successfully pass all three stages of… Read more
Accelerating the Capital Solution to Climate Change
Vol. 22, No. 1, 2024 Yu (Ben) Meng, Anne Simpson, Anna Snider and Christina Yi The missing “I’s” of information and incentives have restrained the potential of the capital markets in previous decades to respond to the growing demand for climate solutions. Progress on both fronts in recent years, however, is moving us rapidly beyond… Read more
Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique
Vol. 22, No. 1, 2024 Bob Korkie and H. J. Turtle We consider the impact of low volatility assets on the investment opportunity set (IOS) and resultant asset pricing. The limiting IOS and its finite investable proxy imply an asset pricing model that differs from standard asset pricing models. The Sharpe (1964)–Lintner (1965) CAPM with… Read more