Sanjiv R. Das Volume 9, Number 2, Second Quarter 2011 While the use of Monte Carlo methods is well established for pricing derivatives, this paper focuses on a random-lattice approach, also known in the literature as the stochastic-mesh method. The method is reviewed here. We show that the method may be refined with an ad-hoc… Read more
Second Quarter (2011)
BOOK REVIEWS: The Endowment Model Of Investing: Return, Risk and Diversification
Volume 9, Number 2, Second Quarter 2011 The Endowment Model Of Investing: Return, Risk and Diversification Martin L. Leibowitz, Anthony Bova, P. Brett Hammond Reviewed by Bruce Grantier View PDF… Read more
CASE STUDIES: A Lively Expectation of Favors Yet to be Received
Jack L. Treynor Volume 9, Number 2, Second Quarter 2011 View PDF… Read more
Robust Portfolio Rebalancing with Transaction Cost Penalty An Empirical Analysis
Vitaly Serbin, Milan Borkovec and Michael Chigirinskiy Volume 9, Number 2, Second Quarter 2011 The goal of this paper is to study and compare two popular techniques used by practitioners to reduce the sensitivity of optimal portfolios to uncertainty in expected return for a typical portfolio optimization problem. Specifically, we investigate whether including transaction costs… Read more
Multiple Time Scale Attribution for Commodity Trading Advisor (CTA) Funds
Brian T. Hayes Volume 9, Number 2, Second Quarter 2011 Commodity trading advisors (CTAs) make directional investments in liquid futures and forward markets. Since CTAs generally do not engage in security selection or relative value trades, their performance depends to a large extent on funds ability to time market exposures. We analyze CTA return attribution… Read more
Predicting Financial Distress and the Performance of Distressed Stocks
John Y. Campbell, Jens Hilscher and Jan Szilagyi Volume 9, Number 2, Second Quarter 2011 In this paper, we consider the measurement and pricing of distress risk. We present a model of corporate failure in which accounting and market-based measures forecast the likelihood of future financial distress. Our best model is more accurate than leading… Read more
Efficient Markets in Crisis
Meir Statman Volume 9, Number 2, Second Quarter 2011 A belief that markets are efficient is blamed for instigating the crisis we are in and lulling us into complacency as the crisis was approaching. But the debate about the role of such belief in the crisis is unfocused for two reasons. First, a lack of… Read more
PRACTITIONER’S DIGEST
Volume 9, Number 2, Second Quarter 2011 View PDF… Read more