Works matching IS 00954918 AND DT 2011 AND VI 37 AND IP 2

Results: 13

Fat-Tailed Models for Risk Estimation.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 107, doi. 10.3905/jpm.2011.37.2.107

By:

STOYANOV, STOYAN V.;
RACHEV, SVETLOZAR T.;
RACHEVA-YOTOVA, BORYANA;
FABOZZI, FRANK J.

Publication type:

Article

Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 97, doi. 10.3905/jpm.2011.37.2.097

By:

MENCHERO, JOSE;
DAVIS, BEN

Publication type:

Article

The Microstructure of the "Flash Crash": Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 118, doi. 10.3905/jpm.2011.37.2.118

By:

EASLEY, DAVID;
DE PRADO, MARCOS M. LOPEZ;
O'HARA, MAUREEN

Publication type:

Article

Best Practice Investment Committees.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 139, doi. 10.3905/jpm.2011.37.2.139

By:

ELLIS, CHARLES D.

Publication type:

Article

The Small Firm Effect: A Financial Mirage?

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 129, doi. 10.3905/jpm.2011.37.2.129

By:

LEVY, HAIM;
LEVY, MOSHE

Publication type:

Article

Dynamic Lifecycle Strategies for Target Date Retirement Funds.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 83, doi. 10.3905/jpm.2011.37.2.083

By:

BASU, ANUP K.;
BYRNE, ALISTAIR;
DREW, MICHAEL E.

Publication type:

Article

Asset Allocation under Extreme Uncertainty.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 72, doi. 10.3905/jpm.2011.37.2.072

By:

FARRELL JR., JAMES L.

Publication type:

Article

Policy Portfolios and Rebalancing Behavior.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 60, doi. 10.3905/jpm.2011.37.2.060

By:

LEIBOWITZ, MARTIN L.;
BOVA, ANTHONY

Publication type:

Article

Active Currency Investing and Performance Benchmarks.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 46, doi. 10.3905/jpm.2011.37.2.046

By:

MELVIN, MICHAEL;
SHAND, DUNCAN

Publication type:

Article

Minimum-Variance Portfolio Composition.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 31, doi. 10.3905/jpm.2011.37.2.031

By:

CLARKE, ROGER;
DE SILVA, HARINDRA;
THORLEY, STEVEN

Publication type:

Article

The Description of Portfolios.

Published in:

Journal of Portfolio Management, 2011, v. 37, n. 2, p. 15, doi. 10.3905/jpm.2011.37.2.015

By:

GRINOLD, RICHARD

Publication type:

Article

The Graceful Aging of Mean-Variance Optimization.

Published in:

2011

By:

KRITZMAN, MARK

Publication type:

Editorial

In Diversification We Trust?

Published in:

2011

By:

AMENC, NOËL;
MARTELLINI, LIONEL

Publication type:

Editorial