Volume 11, Number 2, Second Quarter 2013 The Most Important Thing – Uncommon Sense for the Thoughtful Investor Howard Marks Reviewed by Javier Estrada View PDF… Read more
Second Quarter (2013)
CASE STUDIES: The Dividend Decision
Jack L. Treynor Volume 11, Number 2, Second Quarter 2013 View PDF… Read more
VarGamma Stress Tests
Kent Osband Volume 11, Number 2, Second Quarter 2013 Standard financial stress tests are ad hoc. They offer no guidance on how to select the target stress levels, how to adjust for randomness within crisis, or how to integrate the results with other risk measures. The VarGamma metric introduced by Osband (2013) offers an appealing… Read more
Mutual Fund’s Net Economic Alpha: Definition and Evidence
Sharon Garyn-Tal and Beni Lauterbach Volume 11, Number 2, Second Quarter 2013 It is sometimes argued that existing methodologies for assessing mutual fund’s performance are unfair, as fund’s return is taken net of expenses and benchmark return is gross of expenses. Examining over 1000 U.S. non-specialized mutual funds in 2001-2009, we find that the abovementioned… Read more
Approaches to Improving Bank Share Value Using Credit Portfolio Management and Credit – Transfer Pricing
Jeffrey R. Bohn and Roger M. Stein Volume 11, Number 2, Second Quarter 2013 Prudent credit risk management within a bank requires that a number of agents within the firm communicate, agree and act in a concerted fashion to manage credit risk both at the individual exposure level and at the broader portfolio level. This… Read more
PRACTITIONER’S DIGEST
Volume 11, Number 2, Third Quarter 2013 View PDF… Read more