Volume 3, Number 4, Third Quarter 2005 View PDF… Read more
Second Quarter (2016)
Market Risk, Mortality Risk, And Sustainable Retirement Asset Allocation: A Downside Risk Perspective
Volume 14, Number 2, 2016 W. V. Harlow and Keith C. Brown Despite its clear importance, there is no consensus on the optimal asset allocation strategy for retirement investors of varying age, gender, and risk tolerance. This study analyzes the allocation question by focusing on the downside risks that result from the joint uncertainty over… Read more
Combining Value And Momentum
Volume 14, Number 2, 2016 Gregg Fisher, Ronnie Shah and Sheridan Titman This paper considers several popular portfolio implementation techniques that maximize exposure to value and/or momentum stocks while taking into account transaction costs. Our analysis of long-only strategies illustrates how a strategy that simultaneously incorporates both value and momentum outperforms a strategy that combines… Read more
Factor Misalignment And Portfolio Construction
Volume 14, Number 2, 2016 Jose Menchero In recent years, there has been heightened interest among practitioners in the topic of factor misalignment; this term refers to the practice of employing mean-variance optimization to construct portfolios when the alpha signal is not contained within the set of risk model factors. In this paper, we employ… Read more
Price Dynamics And Liquidity Of Exchange-Traded Funds
Volume 14, Number 2, 2016 Ananth Madhavan and Aleksander Sobczyk Exchange-traded funds (ETFs) have grown substantially in diversity, market significance, and size in recent years. As a consequence, there is increased interest by practitioners in the pricing and trading of these investment vehicles. This paper develops a model to examine ETF price discovery and premium… Read more
Portfolio Diversification In Concentrated Bond And Loan Portfolios
Volume 14, Number 2, 2016 Paul Kupiec I develop an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations. The approximation requires no advanced mathematics or statistics, only the summation of large exposures and the evaluation of binomial probabilities. The approximation is model-independent and can be used after removing default… Read more
CASE STUDIES: Why Social Scientists Are Different From Physical Scientists
Jack Treynor Volume 14, Number 2, 2016 View PDF… Read more
BOOK REVIEW: The Big Short: Inside The Doomsday Machine (By Michael Lewis)
Craig French Volume 14, Number 2, 2016 The Big Short: Inside The Doomsday Machine (By Michael Lewis) View PDF… Read more
PRACTITIONER’S DIGEST
Volume 14, Number 2, 2016 View PDF… Read more