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
the JOIM
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
Practitioner’s Digest
Vol. 22, No. 1, 2024 View PDF… Read more
Book Review: Principles for Dealing with the Changing World Order: Why Nations Succeed and Fail
Vol. 21, No. 4, 2023 By Ray Dalio (Reviewed by Fangzhong Liu ) View PDF… Read more
Tradeoffs in Goosing the IRR
Vol. 21, No. 4, 2023 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
Realativity in Finance: Goals and Risk-Based Asset Pricing for Investors with Multiple Stochastic Goals and Agents
Vol. 21, No. 4, 2023 Arun Muralidhar This asset pricing model incorporates four positive realities of investing; that investors have many stochastic goals, seek to delegate to skillful agents, explicitly specify risk budgets, and maximize risk-adjusted relative returns. As a result, it also incorporates the relative nature of investing—“Realativity”. Critical to investment practice, it provides… Read more
The Diminishing Role of Active Mutual Funds: Flows and Returns
Vol. 21, No. 4, 2023 James X. Xiong, Thomas M. Idzorek and Roger G. Ibbotson U.S. active equity mutual funds have experienced net outflows since around 2006. The AUM-weighted performance remains similar over time, but equal-weighted performance (which emphasizes small AUM active funds) has deteriorated. Inflows/outflows contribute to the over/underperformance of individual active funds. We… Read more