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First Quarter (2011)

0 comments / 2014-07-14 / / Archives, Book Reviews

BOOK REVIEWS: The Big Short – Inside The Doomsday Machine

Volume 9, Number 1, First Quarter 2011 The Big Short-Inside The Doomsday Machine Michael Lewis Reviewed by Javier Estrada View PDF… Read more

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

CASE STUDIES: Closet Indexing

Jack L. Treynor Volume 9, Number 1, First Quarter 2011 View PDF… Read more

0 comments / 2014-07-14 / the JOIM / Archives, Articles

Has Hedge Fund Alpha Disappeared?

Manuel Ammann, Otto Huber and Markus Schmid Volume 9, Number 1, First Quarter 2011 This paper investigates the alpha generation of the hedge fund industry based on a recent sample compiled from the Lipper/TASS database covering the time period from January 1994 to September 2008. We find a positive average hedge fund alpha in the… Read more

0 comments / 2014-07-14 / the JOIM / Archives, Articles

The National Transportation Safety Board: A Model for Systemic Risk Management

Eric Fielding, Andrew W. Lo and Jian Helen Yang Volume 9, Number 1, First Quarter 2011 We propose the National Transportation Safety Board (NTSB) as a model organization for addressing systemic risk in industries and contexts other than transportation. When adopted by regulatory agencies and the transportation industry, the safety recommendations of the NTSB have… Read more

0 comments / 2014-07-14 / the JOIM / Archives, Articles

The Supply and Demand of Alpha

Harry Markowitz, Robert Snigaroff and David Wroblewski Volume 9, Number 1, First Quarter 2011 This paper analyzes the supply and demand for alpha by institutional investors and the money managers who serve them. A large database of products offered by such managers is used to estimate how the demand for such products increases as a… Read more

0 comments / 2014-07-14 / the JOIM / Archives, Articles

Decentralized Downside Risk Management

Andrea Reed, Cristian Tiu and Uzi Yoeli Volume 9, Number 1, First Quarter 2011 The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized in contrast to being direct investors in assets, it is difficult to separate the risks of the assets in the portfolio from the risks… Read more

0 comments / 2014-07-14 / / Archives, Practitioner’s Digest

PRACTITIONER’S DIGEST

Volume 9, Number 1, First Quarter 2011 View PDF… Read more

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