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Third Quarter (2011)

0 comments / 16/03/2015 / / Archives, Practitioner’s Digest

PRACTITIONER’S DIGEST

Volume 9, Number 3, Third Quarter 2011 View PDF… Read more

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

BOOK REVIEWS: Bond Portfolio Investing and Risk Management

Volume 9, Number 3, Third Quarter 2011 Bond Portfolio Investing and Risk Management Vineer Bhansali Reviewed by Sebastien Page View PDF… Read more

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

CASE STUDIES: The Nutty Professor (36)

Jack L. Treynor Volume 9, Number 3, Third Quarter 2011 View PDF… Read more

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

Fat Tails and Stop-Losses in Portable Alpha

Mark B. Wise, Yonathan Schwarzkopf and Vineer Bhansali Volume 9, Number 3, Third Quarter 2011 We investigate the optimal stop-loss on the alpha investment for a portable alpha vehicle. The optimal stop-loss maximizes investors utility of wealth for a portfolio consisting of a portable alpha fund and risk free assets. We model the dynamics of… Read more

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

Hedge Funds: A Sensible Approach to Oversight

Antony E. Ghee Volume 9, Number 3, Third Quarter 2011 After years of debating whether additional regulation should be imposed on hedge funds, legislative initiatives, such as the Dodd-Frank Act, have recently been enacted and could significantly alter the scope of government oversight in an industry that has, until recently, been subject to little regulatory… Read more

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

Portfolio Diversification

James A. Bennett and Richard W. Sias Volume 9, Number 3, Third Quarter 2011 Contrary to conventional wisdom, there is no evidence investors can, or have ever been able to, easily form portfolios containing negligible exposure to unsystematic returns. Because well-diversified portfolios are the bedrock upon which so much financial theory is built, investors’ inability… Read more

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

The Performance, Pervasiveness, and Determinants of Value Premium in Different US Exchanges: 1985-2006

George Athanassakos Volume 9, Number 3, Third Quarter 2011 Using AMEX, NASDAQ and NYSE stock market data for the period 1985-2006, this paper sheds further light into the value premium and the discussion of whether the value premium is driven by risk or behavioral factors. The paper utilizes a more comprehensive set of data and… Read more

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

INSIGHTS: What Interest Rate Models To Use? Buy Side Versus Sell Side

Sanjay K. Nawalkha and Riccardo Rebonato Volume 9, Number 3, Third Quarter 2011 Does the selection of a specific interest rate model to use for pricing, hedging, and risk return analysis depend upon whether the user is a buy-side institution or a sell-side dealer bank? Sanjay Nawalkha and Riccardo Rebonato debate this question in this… Read more

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