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Do Factor Models Explain Breaks in the Distribution of Equity Returns?
- Published in:
- Journal of Portfolio Management, 2024, v. 50, n. 3, p. 111, doi. 10.3905/jpm.2023.1.568
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- Article
CRASH PREDICTION USING FUNDAMENTAL VARIABLES: EVIDENCE FROM MAINLAND CHINA.
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- Journal of Prediction Markets, 2023, v. 17, n. 1, p. 85, doi. 10.5750/jpm.v17i1.2039
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- Article
Using a Mean-Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction.
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- Journal of Portfolio Management, 2022, v. 49, n. 1, p. 172, doi. 10.3905/jpm.2022.1.429
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- Article
Lotto as Options: Measuring the Silver Lining Effect.
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- Multinational Finance Journal, 2022, v. 26, n. 3/4, p. 27
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- Article
WHO ARE THE MOST IMPORTANT PLAYERS IN TEAM SPORTS?
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- Journal of Prediction Markets, 2021, v. 15, n. 3, p. 33
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- Article
HOLIDAY EFFECTS IN THE US EQUITY FUTURES MARKETS.
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- Journal of Prediction Markets, 2021, v. 15, n. 3, p. 105
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- Article
Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?
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- Financial Markets, Institutions & Instruments, 2017, v. 26, n. 2, p. 61, doi. 10.1111/fmii.12080
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- Article
An Approach to Financial Planning of Retirement Pensions with Scenario-Dependent Correlation Matrixes and Convex Risk Measures.
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- Journal of Retirement, 2016, v. 4, n. 1, p. 99, doi. 10.3905/jor.2016.4.1.099
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- Article
A Response to Professor Paul A. Samuelson's Objections to Kelly Capital Growth Investing.
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- Journal of Portfolio Management, 2015, v. 42, n. 1, p. 153, doi. 10.3905/jpm.2015.42.1.153
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- Article
Is the 60-40 Stock-Bond Pension Fund Rule Wise?
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- Journal of Portfolio Management, 2013, v. 39, n. 2, p. 63, doi. 10.3905/jpm.2013.39.2.063
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- Article
Great Investors: Their Methods, Results, and Evaluation.
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- Journal of Portfolio Management, 2012, v. 38, n. 4, p. 128, doi. 10.3905/jpm.2012.38.4.128
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- Article
How Does the Fortune's Formula Kelly Capital Growth Model Perform?
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- Journal of Portfolio Management, 2011, v. 37, n. 4, p. 96, doi. 10.3905/jpm.2011.37.4.096
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- Article
Do Seasonal Anomalies Still Work?
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- Journal of Portfolio Management, 2010, v. 36, n. 3, p. 93, doi. 10.3905/jpm.2010.36.3.093
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- Article
Use of stochastic and mathematical programming in portfolio theory and practice.
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- Annals of Operations Research, 2009, v. 166, n. 1, p. 5, doi. 10.1007/s10479-008-0441-z
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- Article
The Innovest Austrian Pension Fund Financial Planning Model InnoALM.
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- Operations Research, 2008, v. 56, n. 4, p. 797, doi. 10.1287/opre.1080.0564
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- Article
The duality of option investment strategies for hedge funds.
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- Mathematical Programming, 2008, v. 113, n. 1, p. 95, doi. 10.1007/s10107-007-0198-1
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- Article
The Predictive Ability of the Bond-Stock Earnings Yield Differential Model.
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- Journal of Portfolio Management, 2008, v. 34, n. 3, p. 63, doi. 10.3905/jpm.2008.706245
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- Article
The Symmetric Downside-Risk Sharpe Ratio.
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- Journal of Portfolio Management, 2005, v. 32, n. 1, p. 108, doi. 10.3905/jpm.2005.599515
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- Article
A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome.
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- Mathematical Finance, 2003, v. 13, n. 4, p. 481, doi. 10.1111/1467-9965.t01-1-00177
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- Article
Applying Operations Research Techniques to Financial Markets.
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- Interfaces, 2003, v. 33, n. 2, p. 12, doi. 10.1287/inte.33.2.12.14465
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- Article
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation.
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- Mathematical Programming, 2001, v. 89, n. 2, p. 293, doi. 10.1007/PL00011400
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- Article
Growth versus security tradeoffs in dynamic investment analysis.
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- Annals of Operations Research, 1999, v. 85, n. 1-4, p. 193, doi. 10.1023/A:1018969727211
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- Article
FORMULATION OF THE RUSSELL-YASUDA KASAI FINANCIAL PLANNING MODEL.
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- Operations Research, 1998, v. 46, n. 4, p. 433, doi. 10.1287/opre.46.4.433
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- Article
CONCEPTS, TECHNICAL ISSUES, AND USES OF THE RUSSELL-YASUDA KASAI FINANCIAL PLANNING MODEL.
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- Operations Research, 1998, v. 46, n. 4, p. 450, doi. 10.1287/opre.46.4.450
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- Article
Investment Results from Exploiting Turn-of-the-Month Effects.
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- Journal of Portfolio Management, 1996, v. 22, n. 3, p. 17, doi. 10.3905/jpm.1996.409556
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- Article
Investing in the Turn-of-the-Year Effect in the US Futures Markets.
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- Interfaces, 1994, v. 24, n. 3, p. 46, doi. 10.1287/inte.24.3.46
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- Article
The Russel-Yasuda Kasai Model: An Asset/ Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming.
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- Interfaces, 1994, v. 24, n. 1, p. 29, doi. 10.1287/inte.24.1.29
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- Article
Univariate and multivariate measures of risk aversion and risk premiums.
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- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 265, doi. 10.1007/BF02282053
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- Article
Land and Stock Prices in Japan.
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- Journal of Economic Perspectives, 1993, v. 7, n. 3, p. 149, doi. 10.1257/jep.7.3.149
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- Article
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice.
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- Journal of Portfolio Management, 1993, v. 19, n. 2, p. 6, doi. 10.3905/jpm.1993.409440
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- Article
Comment on "Why a Weekend Effect?"
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- Journal of Portfolio Management, 1993, v. 19, n. 2, p. 93, doi. 10.3905/jpm.1993.93
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- Article
INTRODUCTION TO THE FOCUSED ISSUE OF FINANCIAL MODELING.
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- Management Science, 1992, v. 38, n. 11, p. 1525, doi. 10.1287/mnsc.38.11.1525
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- Article
The Growth in the Japanese Stock Market, 1949-90 and Prospects for the Future.
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- Managerial & Decision Economics, 1991, v. 12, n. 2, p. 183, doi. 10.1002/mde.4090120211
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- Article
Locks at the Racetrack.
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- Interfaces, 1990, v. 20, n. 3, p. 41, doi. 10.1287/inte.20.3.41
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- Article
CHARACTERIZATIONS OF OPTIMAL PORTFOLIOS BY UNIVARIATE AND MULTIVARIATE RISK AVERSION.
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- Management Science, 1989, v. 35, n. 3, p. 259, doi. 10.1287/mnsc.35.3.259
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- Article
DISCUSSION.
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- Journal of Finance (Wiley-Blackwell), 1988, v. 43, n. 3, p. 717, doi. 10.1111/j.1540-6261.1988.tb04602.x
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- Article
EFFICIENT MARKET ADJUSTMENT OF ODDS PRICES TO REFLECT TRACK BIASES.
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- Management Science, 1987, v. 33, n. 11, p. 1428, doi. 10.1287/mnsc.33.11.1428
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- Article
PLAYING THE TURN-OF-THE-YEAR EFFECT WITH INDEX FUTURES.
- Published in:
- Operations Research, 1987, v. 35, n. 6, p. 799, doi. 10.1287/opre.35.6.799
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- Article
TRANSACTIONS COSTS, EXTENT OF INEFFICIENCIES, ENTRIES AND MULTIPLE WAGERS IN A RACETRACK BETTING MODEL.
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- Management Science, 1985, v. 31, n. 4, p. 381, doi. 10.1287/mnsc.31.4.381
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- Article
EFFICIENCY OF THE MARKET FOR RACETRACK BETTING.
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- Management Science, 1981, v. 27, n. 12, p. 1435, doi. 10.1287/mnsc.27.12.1435
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- Article
Multiperiod Consumption-Investment Decisions: Further comments.
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- American Economic Review, 1977, v. 67, n. 4, p. 766
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- Article
NOTE ON 'OPTIMAL GROWTH PORTFOLIOS WHEN YIELDS ARE SERIALLY CORRELATED'
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- Journal of Financial & Quantitative Analysis, 1972, v. 7, n. 4, p. 1995, doi. 10.2307/2329630
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- Article
SOLVING NONLINEAR PROGRAMMING PROBLEMS WITH STOCHASTIC OBJECTIVE FUNCTIONS.
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- Journal of Financial & Quantitative Analysis, 1972, v. 7, n. 3, p. 1809, doi. 10.2307/2329804
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- Article
The Evaluation of Risky Interrelated Investments (Book).
- Published in:
- 1971
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- Book Review
TRANSFORMING STOCHASTIC DYNAMIC PROGRAMMING PROBLEMS INTO NONLINEAR PROGRAMS.
- Published in:
- Management Science, 1971, v. 17, n. 7, p. 450, doi. 10.1287/mnsc.17.7.450
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- Article
COMPUTATIONAL ALGORITHMS FOR CONVEX STOCHASTIC PROGRAMS WITH SIMPLE RECOURSE.
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- Operations Research, 1970, v. 18, n. 3, p. 414, doi. 10.1287/opre.18.3.414
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- Article
A MYOPIC CAPITAL BUDGETING MODEL.
- Published in:
- Journal of Financial & Quantitative Analysis, 1969, v. 4, n. 3, p. 305, doi. 10.2307/2329700
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- Article