Works matching IS 00954918 AND DT 2016

Results: 79

An Analysis of the Expense Ratio Pricing of SMB, HML, and UMD Exposure in U.S. Equity Mutual Funds.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 138, doi. 10.3905/jpm.2016.43.1.138

By:

GROVER, SEAN;
KIZER, JARED

Publication type:

Article

David and Goliath: Who Wins the Quantitative Battle?

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 127, doi. 10.3905/jpm.2016.43.1.127

By:

BOGLE, JOHN C.

Publication type:

Article

Uncloaking Campbell and Shiller's CAPE: A Comprehensive Guide to Its Construction and Use.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 109, doi. 10.3905/jpm.2016.43.1.109

By:

PHILIPS, THOMAS;
URAL, CENK

Publication type:

Article

Identifying Economic Regimes: Reducing Downside Risks for University Endowments and Foundations.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 100, doi. 10.3905/jpm.2016.43.1.100

By:

MULVEY, JOHN M.;
LIU, HAN

Publication type:

Article

Optimal Dynamic Portfolio Risk Management.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 85, doi. 10.3905/jpm.2016.43.1.085

By:

ZAKAMULIN, VALERIY

Publication type:

Article

An Asset Class Characterization of the U.S. Equity Index Volatility Risk Premium.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 72, doi. 10.3905/jpm.2016.43.1.072

By:

FALLON, WILLIAM;
PARK, JAMES

Publication type:

Article

Labor Conditions and Future Capital Market Performance.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 54, doi. 10.3905/jpm.2016.43.1.054

By:

ARNOTT, ROB;
LI, FEIFEI;
LIU, XI

Publication type:

Article

A Practitioner's Guide to Market Microstructure Invariance.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 43, doi. 10.3905/jpm.2016.43.1.043

By:

KYLE, ALBERT S.;
OBIZHAEVA, ANNA A.;
KRITZMAN, MARK

Publication type:

Article

What Goes into Risk-Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 29, doi. 10.3905/jpm.2016.43.1.029

By:

FIGLEWSKI, STEPHEN

Publication type:

Article

ETFs, High-Frequency Trading, and Flash Crashes.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 17, doi. 10.3905/jpm.2016.43.1.017

By:

ALDRIDGE, IRENE

Publication type:

Article

Mathematics and Economics: A Reality Check.

Published in:

Journal of Portfolio Management, 2016, v. 43, n. 1, p. 5

By:

DE PRADO, MARCOS LÓPEZ

Publication type:

Article

The Tesla Run-Up: A Follow-Up with Investment Implications.

Published in:

2016

By:

CORNELL, BRADFORD

Publication type:

Editorial

Best Practices in Research for Quantitative Equity Strategies.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 135, doi. 10.3905/jpm.2016.42.5.135

By:

CERNIGLIA, JOSEPH A.;
FABOZZI, FRANK J.;
KOLM, PETTER N.

Publication type:

Article

The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 123, doi. 10.3905/jpm.2016.42.5.123

By:

AZAR, PABLO D.;
LO, ANDREW W.

Publication type:

Article

Stability-Adjusted Portfolios.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 113, doi. 10.3905/jpm.2016.42.5.113

By:

KRITZMAN, MARK;
TURKINGTON, DAVID

Publication type:

Article

Seeking Alpha? It's a Bad Guideline for Portfolio Optimization.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 107, doi. 10.3905/jpm.2016.42.5.107

By:

LEVY, MOSHE;
ROLL, RICHARD

Publication type:

Article

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 94, doi. 10.3905/jpm.2016.42.5.094

By:

ENGLE, ROBERT F.;
FOCARDI, SERGIO M.;
FABOZZI, FRANK J.

Publication type:

Article

Flexible Indeterminate Factor-Based Asset Allocation.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 79, doi. 10.3905/jpm.2016.42.5.079

By:

BLYTH, STEPHEN;
SZIGETY, MARK C.;
XIA, JAKE

Publication type:

Article

Alpha Signals, Smart Betas, and Factor Model Alignment.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 51, doi. 10.3905/jpm.2016.42.5.051

By:

MARSH, TERRY;
PFLEIDERER, PAUL

Publication type:

Article

Hares with Tortoise Genes.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 1

By:

Livnat, Joshua;
Smith, Gavin;
Tarlie, Martin

Publication type:

Article

Adjusted Factor-Based Performance Attribution.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 67, doi. 10.3905/jpm.2016.42.5.067

By:

STUBBS, ROBERT A.;
JEET, VISHV

Publication type:

Article

A Trustee Guide to Factor Investing.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 28, doi. 10.3905/jpm.2016.42.5.028

By:

KOEDIJK, KEES;
SLAGER, ALFRED;
STORK, PHILIP

Publication type:

Article

Factors to Assets: Mapping Factor Exposures to Asset Allocations.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 18, doi. 10.3905/jpm.2016.42.5.018

By:

GREENBERG, DAVID;
BABU, ABHILASH;
ANG, ANDREW

Publication type:

Article

Can the Whole Be More Than the Sum of the Parts? Bottom-Up versus Top-Down Multifactor Portfolio Construction.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 39, doi. 10.3905/jpm.2016.42.5.039

By:

BENDER, JENNIFER;
WANG, TAIE

Publication type:

Article

The Siren Song of Factor Timing aka "Smart Beta Timing" aka "Style Timing".

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 5, p. 1, doi. 10.3905/jpm.2016.42.5.001

By:

Asness, Clifford S.

Publication type:

Article

Twitter Sentiment and IPO Performance: A Cross-Sectional Examination.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 129, doi. 10.3905/jpm.2016.42.4.129

By:

LIEW, JIM KYUNG-SOO;
WANG, GARRETT ZHENGYUAN

Publication type:

Article

Measuring Bond-Level Liquidity.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 116, doi. 10.3905/jpm.2016.42.4.116

By:

KONSTANTINOVSKY, VADIM;
KWOK YUEN NG;
PHELPS, BRUCE D.

Publication type:

Article

The Risk of Premiums.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 108, doi. 10.3905/jpm.2016.42.4.108

By:

GARAT, JUAN IGNACIO

Publication type:

Article

The Interaction of Short-Term Reversal and Momentum Strategies.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 96, doi. 10.3905/jpm.2016.42.4.096

By:

ZHU, ZHAOBO;
YUNG, KENNETH

Publication type:

Article

Fear and Greed: A Returns-Based Trading Strategy around Earnings Announcements.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 88, doi. 10.3905/jpm.2016.42.4.088

By:

JANSEN, IVO PH.;
NIKIFOROV, ANDREI L.

Publication type:

Article

Can We Count on Accounting Fundamentals for Industry Portfolio Allocation?

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 70, doi. 10.3905/jpm.2016.42.4.070

By:

LALLEMAND, JUSTIN;
STRAUSS, JACK

Publication type:

Article

Building Diversified Portfolios that Outperform Out of Sample.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 59

By:

DE PRADO, MARCOS LÓPEZ

Publication type:

Article

A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 49, doi. 10.3905/jpm.2016.42.4.049

By:

DAVIS, MARK H.A.;
LLEO, SÉBASTIEN

Publication type:

Article

The Black-Litterman Approach and Views from Predictive Regressions: Theory and Implementation.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 38, doi. 10.3905/jpm.2016.42.4.038

By:

GEYER, ALOIS;
LUČIVJANSKÁ, KATARÍNA

Publication type:

Article

Navigating Stock Price Crashes.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 28, doi. 10.3905/jpm.2016.42.4.028

By:

AK, B. KORCAN;
ROSSI, STEVEN;
SLOAN, RICHARD;
TRACY, SCOTT

Publication type:

Article

Balancing on the Life Cycle: Target-Date Funds Need Better Diversification.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 4, p. 12, doi. 10.3905/jpm.2016.42.4.012

By:

DHILLON, JUSVIN;
ILMANEN, ANTTI;
LIEW, JOHN

Publication type:

Article

Still No Presidential Puzzle for the Stock Market.

Published in:

2016

By:

COCQUEMAS, FRANÇOIS;
WHALEY, ROBERT E.

Publication type:

Editorial

The Tournament Phenomenon Beyond Agency Theory: Behavioral Economic Experiment.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 124, doi. 10.3905/jpm.2016.42.3.124

By:

BORISOV, BORIS G.;
LUEG, RAINER

Publication type:

Article

Mathematics and Economics: Saving a Marriage on the Brink of Divorce?

Published in:

2016

By:

FOCARDI, SERGIO M.;
FABOZZI, FRANK J.

Publication type:

Editorial

The Economic Value of Forecasting Left-Tail Risk.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 114, doi. 10.3905/jpm.2016.42.3.114

By:

XIONG, JAMES X.;
IDZOREK, THOMAS M.;
IBBOTSON, ROGER G.

Publication type:

Article

Evaluating the Accuracy of Beta Forecasts.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 84, doi. 10.3905/jpm.2016.42.3.084

By:

MENCHERO, JOSE G.;
NAGY, ZOLTAN;
SINGH, ASHUTOSH

Publication type:

Article

A Case Study for Using Value and Momentum at the Asset Class Level.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 101, doi. 10.3905/jpm.2016.42.3.101

By:

HAGHANI, VICTOR;
DEWEY, RICHARD

Publication type:

Article

Index-Linked Investing -- A Curse for the Stability of Financial Markets around the Globe?

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 26, doi. 10.3905/jpm.2016.42.3.026

By:

BOLLA, LIDIA;
KOHLER, ALEXANDER;
WITTIG, HAGEN

Publication type:

Article

Investor Interest and the Returns to Commodity Investing.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 44, doi. 10.3905/jpm.2016.42.3.044

By:

BHARDWAJ, GEETESH;
GORTON, GARY B.;
ROUWENHORST, K. GEERT

Publication type:

Article

VIX versus Size.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 76, doi. 10.3905/jpm.2016.42.3.076

By:

COPELAND, MAGGIE;
COPELAND, THOMAS

Publication type:

Article

The Value of Low Volatility.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 94, doi. 10.3905/jpm.2016.42.3.094

By:

BLITZ, DAVID

Publication type:

Article

ETF Transaction Costs Are Often Higher Than Investors Realize.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 65, doi. 10.3905/jpm.2016.42.3.065

By:

ANGEL, JAMES J.;
BROMS, TODD J.;
GASTINEAU, GARY L.

Publication type:

Article

The SEC's Order Handling Rules of 1997 and Beyond: Perspective and Outcomes of the Landmark Regulation.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 56, doi. 10.3905/jpm.2016.42.3.056

By:

LINDSEY, RICHARD;
BYRNE, JOHN AIDAN;
SCHWARTZ, ROBERT A.

Publication type:

Article

Risk Neglect in Equity Markets.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 12, doi. 10.3905/jpm.2016.42.3.012

By:

BAKER, MALCOLM

Publication type:

Article

Defending the Wall.

Published in:

Journal of Portfolio Management, 2016, v. 42, n. 3, p. 1, doi. 10.3905/jpm.2016.42.3.001

By:

JONES, ROBERT C.

Publication type:

Article