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“Bridging the theory & practice of investment management”
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Fourth Quarter (2003)

0 comments / 18/02/2015 / Jack Treynor

INSIGHTS: The Trouble With Corporate Disclosure

Jack L. Treynor View PDF… Read More

0 comments / 18/02/2015 / Cheol Eun

Price Discovery For Cross-Listed Stocks

Cheol S. Eun and Sanjiv Sabherwal We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The US share of price discovery ranges from 0.4% to 98.1%, and averages 36%. The US… Read More

0 comments / 08/07/2014 /

BOOK REVIEWS: Worry-Free Investing: A Safe Approach to Achieving Your Lifetime Financial Goals / Modern Investment Management: An Equilibrium Approach

Worry-Free Investing: A Safe Approach to Achieving Your Lifetime Financial Goals Zvi Bodie and Michael Clowes Reviewed by Thomas J. Connelly Modern Investment Management: An Equilibrium Approach Bob Litterman Reviewed by Edouard Stirling View PDF… Read More

0 comments / 08/07/2014 / srdas

WORKING PAPER REVIEWS: Liquidity and Bond Markets

Sanjiv R. Das, Jan Ericsson and Madhu Kalimipalli View PDF… Read More

0 comments / 08/07/2014 / Jack Treynor

CASE STUDIES: Default-Shawnee Manufacturing

Jack L. Treynor View PDF… Read More

0 comments / 08/07/2014 / Eugene Y. Lee

Indexation of Momentum Effects

Eugene Y. LeeMomentum is now viewed as another factor of equity returns in addition to such factors as beta, market capitalization, and market-to-book ratio. In this paper, I propose indexation of momentum effects to pave the way for development of the momentum-based investment products and for improved performance evaluation of the actively-managed funds. In this… Read More

0 comments / 08/07/2014 /

Long-Run Investment Management Fee Incentives and Discriminating Between Talented and Untalented Managers

Robert Ferguson and Dean LeistikowFerguson and Leistikow [(1997). Journal of Financial Engineering 6, 1-13] (FLa) was the first long-run risk-neutral analysis of the performance volatility incentives created by investment management fee structures. This paper extends FLa in six ways. It allows the portfolio's value to change, incorporates expected investment performance, and addresses expenses and distributions… Read More

0 comments / 08/07/2014 / HarryHMM

Resampled Frontiers vs Diffuse Bayes: An Experiment

Harry M. Markowitz and Nilufer UsmenThe experiment reported here compares two methods for handling uncertain inputs to a mean-variance analysis. Specifically, it compares Michaud's resampled frontier versus Bayesian inference with diffuse prior. A simulated "referee" generates ten "truths" about 8 asset classes. For each truth it randomly generates one hundred histories. A simulated "Bayes Player"… Read More

0 comments / 08/07/2014 /

PRACTITIONER’S DIGEST

Volume 1, Number 4, (2003) View PDF… Read More

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Fourth Quarter (2003)

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