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Fourth Quarter (2016)

0 comments / 23/02/2017 / the JOIM / Archives, Insight

Insights – Automated Investment Services

Volume 15, No. 1, 2017 Burton G. Malkiel Fully automated investment services provide automated investment management. Selected portfolios are low-cost and are rebalanced, tax managed and optimized, consistent with an investor’s goals and risk tolerance. Everything, including deposits, withdrawals, transfers, and reporting, is handled electronically. The substantial advantages made available by technology are enumerated.  … Read more

0 comments / 28/12/2016 / the JOIM / Articles

Mean–Variance Optimization with Public and Private Asset Classes

Volume 14, Number 4, 2016 Yu (Ben) Meng, Pu (Paul) Zhang and Ryan Ong Liquidity has long been of great interest to investment professionals as well as academic researchers. The estimation of the illiquidity premium for infrequently traded asset classes, such as real estate and private equity, presents a challenge to the industry because of… Read more

0 comments / 28/12/2016 / the JOIM / Archives, Articles

Can Fundamental Factors Enhance the Performance of Traditional Momentum Strategies?

Volume 14, Number 4, 2016 Susana Yu and Gwendolyn Webb We test whether price-based momentum strategies can be improved by additional screening based on fundamental measures. Within the framework of portfolio formation based on recent winning or losing stocks, we further screen on the basis of fundamental measures of financial strength and gross profitability. Our… Read more

0 comments / 28/12/2016 / the JOIM / Archives, Articles

A New Look at Discount Returns: Implications for the Global Investor

Volume 14, Number 4, 2016 Anthony Tessitore and Nilufer Usmen This paper examines risk–return characteristics of discount returns on portfolios of closed end funds and how they might benefit investors. Discount return is defined as the percentage change in discounts over a period. This paper focuses on the distribution of discount returns conditioned on discount… Read more

0 comments / 28/12/2016 / the JOIM / Archives, Insight

The Road Not Taken

Volume 14, Number 4, 2016 Craig French… Read more

0 comments / 22/11/2016 / / Archives, Practitioner’s Digest

PRACTITIONER’S DIGEST

Volume 14, Number 4, Fourth Quarter 2016 View PDF… Read more

0 comments / 16/11/2016 / the JOIM / Archives, Surveys and Crossovers

The Economics of Flash Orders and Trading

Lawrence E. Harris and Ethan Namvar Volume 14, Number 4, 2016 View PDF… Read more

0 comments / 16/11/2016 / / Archives, Book Reviews

Book Review – God’s Own Arithmetic: Harry Markowitz’ Risk-Return Analysis

BOOK REVIEW God’s Own Arithmetic: Harry Markowitz’ Risk-Return Analysis Reviewed by Craig W. French Volume 14, Number 4, Fourth Quarter 2016 View PDF… Read more

0 comments / 16/11/2016 / / Archives, Case Studies

Business Models to Cure Rare Disease: A Case Study of Solid Biosciences

Esther S. Kim and Andrew W. Lo Volume 14, Number 4 , Four Quarter 2016 View PDF… Read more

0 comments / 15/11/2016 / the JOIM / Archives, Articles

After-Tax Portfolio Value: The Missing Tax Option

Andrew Kalotay Volume 14, Number 4, 2016 After-tax performance measurement requires a rigorous definition of after-tax portfolio value, which is also a prerequisite for effective portfolio management. The focus of this paper is the tax option, which is the right to execute tax-beneficial transactions. This option is a critical component of after-tax portfolio value. Some… Read more

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