Volume 6, Number 4, Fourth Quarter 2008 Behavioral Investing: A Practitioners Guide to Applying Behavioral Finance James Montier Reviewed by Bruce Grantier View PDF… Read more
Special Issues
CASE STUDIES: Consolidated Lunch Pail
Jack L. Treynor Volume 6, Number 4, Fourth Quarter 2008 View PDF… Read more
Measuring the Risk of Large Losses
Kay Giesecke, Thorsten Schmidt and Stefan Weber Volume 6, Number 4, Fourth Quarter 2008 Risk management is an important component of the investment process. It requires quantitative measures of risk that provide a metric for the comparison of financial positions. In this expository note we give an overview of risk measures. In particular, we contrast… Read more
Do Funds-of-Funds Deserve Their Fees-on-Fees
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao Volume 6, Number 4, Fourth Quarter 2008 Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in… Read more
Hedge Fund Due Diligence: A Source Of Alpha In A Hedge Fund Portfolio Strategy
Stephen J. Brown, Thomas L. Fraser and Bing Liang Volume 6, Number 4, Fourth Quarter 2008 Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat offset by the relative lack of transparency… Read more
The Performances of MBS Hedge Funds and Mutual Funds: A Puzzle
Xiaoqing Eleanor Xu and Anthony L. Loviscek Volume 6, Number 4, Fourth Quarter 2008 MBS hedge funds have outperformed the Lehman MBS Index by an average of 210 basis points annually from 1992 through 2003. By comparison, MBS mutual funds have underperformed the Lehman MBS Index by an average of 141 basis points per year… Read more
INSIGHTS: Risk and Return in Behavioral SDF-Based Asset Pricing Models
Hersh Shefrin Volume 6, Number 4, Fourth Quarter 2008 Behavioral finance has profound implications for the pricing of all assets, from standard fixed income securities and equity to complex derivatives. This paper describes a general, unified framework for analyzing the impact of sentiment on asset prices. The approach brings together the psychological assumptions favored by… Read more
BOOK REVIEWS: Fortune’s Formula
Volume 5, Number 4, Fourth Quarter 2007 Fortune’s Formula William Poundstone Reviewed by Javier Estrada View PDF… Read more
CASE STUDIES: Dependable Trust
Jack L. Treynor Volume 5, Number 4, Fourth Quarter 2007 View PDF… Read more
Interest Rate Models Implied Volatility Function Stochastic Movements
Thomas S. Y. Ho and Blessing Mudavanhu Volume 5, Number 4, Fourth Quarter 2007 This paper presents a one-factor and a two-factor arbitrage-free interest rate models with parsimonious implied volatility functions. The models are empirically tested on the entire swaption surface in three currencies (US dollar, Euro, and Japanese yen) over a 5-year period. They… Read more