Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

Articles

0 comments / 17/02/2023 / the JOIM / Articles

Financing Fusion Energy

Vol.21, No.1, 2023 by Abdullah Alhamdan, Zachery M. Halem, Irene Hernandez, Andrew W. Lo, Manish Singh and Dennis Whyte The case for investing in fusion energy has never been greater, given increasing global energy demand, high annual carbon dioxide output, and technological limitations for wind and solar power. Nevertheless, financing for fusion companies through traditional… Read more

0 comments / 17/02/2023 / the JOIM / Articles

The Role of Options in Goals-Based Wealth Management

Vol.21, No.1, 2023 by Sanjiv R. Das and Greg Ross We develop a methodology using dynamic programming for goals-based wealth management over long horizons where portfolio rebalancing uses the standard securities and also derivative securities. A kernel density estimation approach is developed to accommodate derivative assets, solving a high-dimensional problem with fast computation. The approach… Read more

0 comments / 17/02/2023 / the JOIM / Articles

How Inefficient is the 1/N Strategy for a Factor Investor?

Vol.21, No.1, 2023 by Kevin Khang, Antonio Picca, Shaojun Zhang and Minzhi Zhu The last decade’s dramatic democratization of factor investing has broadened its investor base to individual investors and their advisors. This paper studies the performance of classic allocation strategies—1/N, mean–variance, and minimum-variance—from these investors’perspective. Specifically, we curate commonly available long-only factor funds, adjust… Read more

0 comments / 17/02/2023 / the JOIM / Articles

Leveraging Text Mining to Extract Insights from Earnings Call Transcripts

Vol.21, No.1, 2023 by Andrew Chin and Yuyu Fan We apply text-mining techniquesin earnings call transcriptsto extract meaningful features that capture management and investment community signals. Using a corpus of transcripts of earnings calls for global companies from 2010 to 2021, we create fundamentally driven features spanning document attributes, readability, and sentiment on different sections… Read more

0 comments / 07/12/2022 / the JOIM / Articles

Climate-Aware Risk Budgeting

Vol. 20, No. 4, 2022 by Brian Jacobsen, Eddie Cheng and Wai Lee Climate change is a risk investors are thinking about, but how can it be practically incorporated into an asset allocation framework? This paper presents two different approaches. One is a traditional approach where the covariance matrix and excess return vector is adjusted… Read more

0 comments / 07/12/2022 / the JOIM / Articles

Factor Investing in Paris: Managing Climate Change Risk in Portfolio Construction

Vol. 20, No. 4, 2022 Janina Kolle, Harald Lohre, Erhard Radatz and Carsten Rother The 2015 Paris Agreement is a landmark in limiting emissions and targeting global warming well below 2◦C, preferably 1.5◦C compared to pre-industrial levels. In this light, we investigate how to efficiently construct equity portfolios that help mitigating climate change risk but… Read more

0 comments / 07/12/2022 / the JOIM / Articles

ESG Investment Performance Evaluation: An Integrated Approach

Vol. 20, No. 4, 2022 Stephen Horan, Elroy Dimson, Clive Emery and Kenneth Blay ESG investment strategies have experienced a massive inflow of capital over the past decade despite investors having few methods to evaluate their performance and communicate their ESG values, objectives, and preferences to investment managers. This paper develops a three-dimensional performance evaluation… Read more

0 comments / 07/12/2022 / the JOIM / Articles

Carbon Emissions and Asset Management

Vol. 20, No. 4, 2022 by Ashwin Alankar and Myron Scholes Two common methods that portfolio managers use to reduce the carbon footprint of their portfolios are either to exclude carbon emitters from their portfolios or to engage/cajole underlying companies to reduce their carbon footprint by taking actions to reduce emissions. We estimate the costs… Read more

0 comments / 21/10/2022 / christine / Articles

testpaper

Not for distribution. File is password protected, please check your email for password… Read more

0 comments / 19/07/2022 / the JOIM / Articles

What’s in the Moneyness? Moneyness Spread and Future Stock Returns

Vol. 20, No. 3, 2022 by Zhan Li There exists a significant and positive cross-sectional relation between moneyness spread and future stock returns. Stocks with high moneyness spread outperform stocks with low moneyness spread, measured by raw and risk-adjusted returns. This predictability can last for at least 15 days, and the predictability of open interest-weighted… Read more

Previous Articles

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    Upcoming Conferences

    March 26 – 28, 2023
    UC San Diego

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers