Hello, Login

Member Login

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscriptions
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submission
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

Articles

0 comments / 31/01/2019 / the JOIM / Articles

Portfolio Optimization with Noisy Covariance Matrices

Vol 17, No. 1, 2019 Jose Menchero and Lei Ji Mean-variance optimization provides a framework for constructing portfolios that have minimum risk for a given level of expected return. The required inputs are the expected asset returns, the asset covariance matrix, and a set of investment constraints. While portfolio optimization always leads to an increase… Read More

0 comments / 24/01/2019 / the JOIM / Articles

Letter from the Editor

Letter from the Editor John (Jack) Bogle, Sr passed away on January 16, 2018. View PDF… Read More

0 comments / 11/01/2019 / the JOIM / Articles

Lessons Learned From Student Managed Portfolios

Vol. 17 No.1, 2019 Stephan Kranner , Neal Stoughton, and Josef Zechner We study asset management decisions of three competing student managed funds in Vienna, Austria for a ten-year period. This real-world experience allows us to precisely test the tournament effect of fund management, the disposition effect, and managerial team size. We find support for… Read More

0 comments / 11/01/2019 / the JOIM / Articles

Explaining Buyout Industry Returns: New Evidence

Vol. 17 No.1, 2019 David Turkington Traditional equity factors such as the leveraged equity risk premium, the small-cap premium, and the value premium have had high historical returns on average, as has the buyout fund industry in aggregate. Previous research has argued that these factors explain the excess performance of private equity over public equity… Read More

0 comments / 11/01/2019 / the JOIM / Articles

Does Extreme Correlation Matter in Global Equity Asset Allocation?

Vol. 17 No.1, 2019 Bruno Solnik and Thaisiri Watewai Global asset allocation provides risk diversification. But international market correlation increases sharply during global crises and diversification benefit disappears when it is most needed. We model these correlation breaks and derive the asset allocation implications. The model can quickly detect crises and suggests adapting allocation for… Read More

0 comments / 24/10/2018 / the JOIM / Articles

Automation, Intermediation and the Flash Crash

Vol. 16 No.4, 2018 Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun The Flash Crash of May 6, 2010, shook the confidence of market participants and raised questions about the market structure of electronic markets. In these markets, intraday intermediation has been increasingly provided by market participants without formal obligations to do so. We… Read More

0 comments / 24/10/2018 / the JOIM / Articles

Trading Methods and Trading Costs for Agency Mortgage-Backed Securities

Vol. 16 No.4, 2018 Pengjie Gao, Paul Schultz and Zhaogang Song Investors can trade individual agency mortgage-backed securities (MBS) as specified pools (SPs), or trade them through TBA forward contracts. Sellers in the TBA market deliver the cheapest possible pool that fulfills the contracts, so they are traded on a cheapest to deliver basis. More… Read More

0 comments / 24/10/2018 / the JOIM / Articles

Time Aggregation of Sharpe Ratio A Better Extrapolation Rule

Vol. 16 No.4, 2018 Ziemowit Bednarek, Pratish Patel and Cyrus Ramezani The √T rule extrapolates a one-period Sharpe Ratio to T periods. But the rule ignores compounding. By considering compounding, Levy (1972) and others show that the Sharpe Ratio changes non-monotonically with horizon. We also theoretically and empirically show that the Sharpe Ratio term structure… Read More

0 comments / 24/10/2018 / the JOIM / Articles

Explaining the High P/E Ratios: The Message from the Gordon Model

Vol. 16 No.4, 2018 Heinz Zimmermann Are the high valuation levels of equity prices, after controlling for the low interest rate level, driven by irrational exuberance and excessive growth expectations? The Gordon model helps for a consistent interpretation of commonly used valuation ratios. Overall, P/E ratios do not seem to be caused by irrational growth… Read More

0 comments / 24/10/2018 / christine proctor / Articles

Vol. 16 No.4, 2018 Heinz Zimmermann Are the high valuation levels of equity prices, after controlling for the low interest rate level, driven by irrational exuberance and excessive growth expectations? The Gordon model helps for a consistent interpretation of commonly used valuation ratios. Overall, P/E ratios do not seem to be caused by irrational growth expectations… Read More

Previous Articles

JOIM

    Current Issue
    Archived Issues
    Subscribe
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences
    Industry Links

Member Login

Forgot Password?
Join Us

Search Journal

  • Archives
  • Articles
  • Book Reviews
  • Case Studies
  • Insight
  • Practitioner's Digest
  • Special Issues
  • Surveys and Crossovers
  • ailmanen
  • Alexander Healy
  • Alistair Sinclair
  • Allan Eberhart
  • alo@mit.edu
  • Amir E. Khandani
  • Andrea Reed
  • Andrei Morozov
  • Andrew Kalotay
  • Andrew W. Lo
  • Anthony Bova
  • Anthony Tessitore
  • Antony Ghee
  • Anureet Saxena
  • Arik Ben Dor
  • Atanu Saha
  • Avner Wolf
  • Bac Van Luu
  • Ben Meng
  • Bernd Hanke
  • Bing Han
  • bodiez
  • Book Review
  • Bradford Cornell
  • Bradley Jones
  • Brian Granger
  • Brian Hayes
  • Brian Hurst
  • Brian J. Henderson
  • Burton G. Malkiel
  • BXL4po
  • Carr Bettis
  • Charles E. Harris
  • Charles Hyde
  • Cheol Eun
  • christine proctor
  • Constantin Petrov
  • Courtney Edwards
  • Craig French
  • D. Blake
  • Dale Gray
  • Daniel Bradley
  • Daniel Garcia
  • David Esch
  • David Ikenberry
  • David Tien
  • dbailey
  • DEAM
  • Dean Leistikow
  • Deepak Agrawal
  • Denis Chaves
  • Dennis Capozza
  • Edward Qian
  • Eleanor Xiaoqing Xu
  • Emanuel Derman
  • englenyu
  • Eric Fielding
  • Eric Leeper
  • Ethan Namvar
  • Eugene Y. Lee
  • Evan Gatev
  • Fayez Elayan
  • Felix Goltz
  • fjones
  • gathanassakos
  • George Cejnek
  • George Chacko
  • ggarvey
  • Gilles Hilary
  • Gwendolyn Webb
  • Haim Levy
  • Harold Bierman
  • Harry Kat
  • HarryHMM
  • Hayne Leland
  • Hersh Shefrin
  • hguirguis
  • Hoje Jo
  • Honghui Chen
  • Hyuna Park
  • Indrajit Mitra
  • Iuliana Ismailescu
  • J. Peters Williamson
  • Jack Treynor
  • JackBogle
  • Jacob Boudoukh
  • Jacob Sisk
  • James Batterman
  • James Bennett
  • James Doran
  • Jamie Lee
  • Jasmina Hasanhodzic
  • Jason Fink
  • Jason Greene
  • Jason Hsu
  • Jason Scott
  • Javier Estrada
  • jhull
  • Jitka Hilliard
  • Jochen Andritzky
  • John Campbell
  • John H. Boyd
  • John Liechty
  • John M. Mulvey
  • John McConnell
  • Jose Menchero
  • Joseph Cerniglia
  • Joshua Livnat
  • jrbohn
  • jxiong
  • Jyh-Huei Lee
  • Kalok Chan
  • Kathryn Barraclough
  • Kay Giesecke
  • kcbrown
  • Kent Osband
  • kothari
  • lando
  • Lauren Cohen
  • Lawrence Harris
  • lebaron
  • lgoldberg
  • Li Cai
  • Licheng Sun
  • Lionel Martellini
  • Louis Chan
  • Luca Barone
  • Malcolm Baker
  • Manuel Ammann
  • Marcin Kacperczyk
  • Mark B. Wise
  • Mark Coppejans
  • Mark Griffiths
  • Mark Latham
  • Mark Rubinstein
  • Mark Seasholes
  • Mark Wolfson
  • martinfridson
  • Matthew Morey
  • Michael Cliff
  • Michael Cooper
  • Michael Dempsey
  • Michael Stein
  • Michael Stutzer
  • Miikka Tauren
  • Mila Getmansky
  • Milind Sharma
  • Minder Cheng
  • Mitch Towner
  • mkritzman
  • mlevy
  • mshimizu
  • mstatman
  • Murali Jagannathan
  • Navneet Arora
  • Nawalkha
  • Nicole Boyson
  • Noel Amenc
  • Nusret Cakici
  • Ozgur Akay
  • Pankaj K. Jain
  • Patrick Augustin
  • Patrick de Fontnouvelle
  • Paul Hanouna
  • Paul Koch
  • Paul Kupiec
  • Paul Lajbcygier
  • Peter A. Lee
  • Peter Fledelius
  • Pranay Gupta
  • ptufano
  • Renato Staub
  • RGClarke
  • Riccardo Rebonato
  • Richard Bookstaber
  • Richard Roll
  • rmichaud
  • Robert Arnott
  • Robert B. Mendelson
  • Robert Hendershott
  • Robert Jarrow
  • Robert Michaud
  • Robert S. Harris
  • Robert Snigaroff
  • Roger
  • Ronald T. Wilcox
  • Ronnie Sadka
  • Ross Miller
  • Sandra M. Forman
  • Sang Bin Lee
  • Sarah Takaki
  • Scott Thomas
  • Seoyoung Kim
  • Sharon Garyn-Tal
  • Sherry Jarrell
  • shill
  • Simon Myrgren
  • srdas
  • Stephen Brown
  • Stephen Lawrence
  • stumpp
  • Sugata Ray
  • Suresh Govindaraj
  • Terrence Hendershott
  • the JOIM
  • Thomas OBrien
  • Timo Korkeamaki
  • tom.ho
  • Tony Elavia
  • tony.kao
  • tphilips
  • Travis Sapp
  • Turan Bali
  • vbhansali
  • Vikas Agarwal
  • Vitaly Serbin
  • Wayne E. Ferson
  • Wayne H. Wagner
  • Wei Chen
  • Wei Huang
  • William Fung
  • Xi Li
  • Xiaofeng Shi
  • Xiaojing Dong
  • Xiaojing Dong
  • Yong Chen
  • Zhehan Ong
  • Zhirong Chen

    Article Categories

    • Archives
    • Articles
    • Book Reviews
    • Case Studies
    • Insight
    • Practitioner's Digest
    • Special Issues
    • Surveys and Crossovers

    Recent Comments

      JOIM Conference Series

      Upcoming Conferences

      JOIM

      • About the JOIM
      • Subscriptions
      • Submission
      • Editorial Team
      • Harry M. Markowitz Award
      • Reprints & Permissions
      • Advertising
      • Industry Links
      • Terms & Conditions

      JOIM Conference Series

      • About
      • Upcoming Conferences
      • Membership
      • Board Members
      • Sponsorship Opportunities
      • Terms & Conditions
      Speaker Reimbursement Policy

      Contact

      Journal Of Investment Management
      3658 Mt. Diablo Blvd., Suite 200
      Lafayette, CA 94549
      www.joim.com

      Email: customerservice @ joim.com

      Tel: (925) 299-7800
      Fax: (925) 299-7815

      Copyright 2017 — Journal Of Investment Management design by SEO Web Designers