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First Quarter (2010)

0 comments / 14/07/2014 / / Archives, Book Reviews, Special Issues

BOOK REVIEWS: Guide to Investment Strategy: How To Understand Markets, Risk and Behaviour

Volume 8, Number 1, First Quarter 2010 Guide to Investment Strategy: How To Understand Markets, Risk and Behaviour Peter Stanyer Reviewed by Elroy Dimson View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Case Studies, Special Issues

CASE STUDIES: Global Investing

Jack L. Treynor Volume 8, Number 1, First Quarter 2010 View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

Non-Normality Facts and Fallacies

David N. Esch Volume 8, Number 1, First Quarter 2010 Recently there has been an increasing trend in the quantitative finance community to call for statistical models which are explicitly model returns with non-normal probability distributions (e.g. Sheikh and Qiao, 2009, Bhansali, 2008, Harvey and Siddique, 2004). In this paper, we explain why summary rejection… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

New Directions in Financial Sector and Sovereign Risk Management

Dale Gray and Andreas A. Jobst Volume 8, Number 1, First Quarter 2010 The global financial crisis that began in 2007 has forced a re-examination of macroeconomics, financial economics, regulation, and risk management. Traditional macroeconomics overlooks the importance of risk which makes it ill-suited to analyze risk transmission, contagion and how risks can build up… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

Do Endowment Funds Select the Optimal Mix of Active and Passive Risks?

Keith C. Brown and Cristian Tiu Volume 8, Number 1, First Quarter 2010 The investment decision confronting managers of multi-asset class portfolios can be characterized in terms of the passive (i.e., benchmark or policy) and active (i.e., market timing and security selection) strategies they adopt. In this paper, we investigate whether managers select the appropriate… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles, Special Issues

The Long View of Financial Risk

Lisa R. Goldberg and Michael Y. Hayes Volume 8, Number 1, First Quarter 2010 We discuss a practical and effective extension of portfolio risk management and construction best practices to account for extreme events. The central element of the extension is (expected) shortfall, which is the expected loss given that a value-at-risk limit is breached… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Insight, Special Issues

INSIGHTS: Lessons on Investment Management From the Global Recession and Bear Market

Frank J. Jones Volume 8, Number 1, First Quarter 2010 The current global recession and financial crisis have significantly affected virtually all investment managers. The severity of the effects on investment management risk has induced many investment managers to reconsider their investment approaches in terms of investment management risk. This paper summarizes and evaluates many… Read more

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