Journal of Asset Management

2000 - 2025

Current editor(s): Marielle de Jong and Dan diBartolomeo

From Palgrave Macmillan
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Volume 16, issue 3, 2015

Erratum: A simple scheme for allocating capital in a foreign exchange proprietary trading firm pp. 220-220

Antony Jackson

Volume 15, issue 6, 2014

Impact investment funds for frontier markets in Southeast Asia: Creating a platform for institutional capital, high-quality foreign direct investment, and proactive policy pp. 347-352

Manuel Stagars

Modeling manager confidence in forecasted excess returns under active portfolio management pp. 353-365

John Birge and Luis Chavez-Bedoya

Market-timing skills of socially responsible investment fund managers: The case of North America versus Europe pp. 366-377

Wei Rong Ang, Greg N Gregoriou and Hooi Hooi Lean

Legitimate speculation versus excessive speculation pp. 378-391

Damir Tokic

Country ETFs, currencies and international diversification pp. 392-414

S Owen Williams

Volume 15, issue 5, 2014

Domestic contrarians win in the long run: A case study pp. 279-283

Vesa Puttonen and Michael Ståhle

Portfolio selection in the presence of systemic risk pp. 285-299

Almira Biglova, Sergio Ortobelli and Frank J Fabozzi

Disentangling rebalancing return pp. 301-316

Winfried Hallerbach

Green and socially responsible investing in international markets pp. 317-331

Kathrin Lesser, Sebastian Lobe and Christian Walkshäusl

Time-varying flow-performance sensitivity and investor sophistication pp. 333-345

Steve Nenninger and David Rakowski

Volume 15, issue 4, 2014

Delivering Alpha conference pp. 219-221

Greg N Gregoriou

Market states and momentum in sector exchange-traded funds pp. 223-237

Ding Du, Karen Craft Denning and Xiaobing Zhao

Rethinking risk pp. 239-259

Javier Estrada

The real-life performance of market timing with moving average and time-series momentum rules pp. 261-278

Valeriy Zakamulin

Volume 15, issue 3, 2014

Family status and mutual fund performance pp. 163-175

Andrew Clare, Niall O'Sullivan and Meadhbh Sherman

Tangent portfolio weights without explicitly specified expected returns pp. 177-190

Paskalis Glabadanidis

Margin requirements and portfolio optimization: A geometric approach pp. 191-204

Sheng Guo

Modern pension fund diversification pp. 205-217

Martin Anderson, Shan Chen, James Hacking, Marc R Lieberman, Mark Lundin, Vaida Maleckaite, Allan Martin, Ryan Parham and Mark Steed

Volume 15, issue 2, 2014

Ten years of dividend yields in Europe: 2000–2009 pp. 83-91

Teresa Corzo Santamaría, Dolores Lagoa-Varela and Inés Portillo García

The impact of fund characteristics on the use of analyst forecasts pp. 92-109

Alexander Franck and Alexander Kerl

Fama French factors and US stock return predictability pp. 110-128

Ekaterini Panopoulou and Sotiria Plastira

The real benchmark of DAX index products and the influence of information dissemination: A natural experiment pp. 129-149

Christoph Schmidhammer, Sebastian Lobe and Klaus Röder

The state-dependent time variation in the value premium pp. 150-161

Yazid M Sharaiha and Kristoffer Kittilsen Johansson

Volume 15, issue 1, 2014

The importance of sector constraints pp. 1-6

Jeanie Wyatt and James R Kee

The cross-market index for volatility surprise pp. 7-23

Sofiane Aboura and Julien Chevallier

An integrated risk-budgeting approach for multi-strategy equity portfolios pp. 24-47

Raul Leote de Carvalho, Xiao Lu and Pierre Moulin

Value premium and default risk pp. 48-61

Mohammed Elgammal and David G McMillan

No-arbitrage conditions and expected returns when assets have different β’s in up and down markets pp. 62-71

Peter Xu and Rich Pettit

Are they any good at all? A financial and ethical analysis of socially responsible mutual funds pp. 72-82

Sabastian Utz and Maximillian Wimmer

Volume 14, issue 6, 2013

Decision making pp. 335-335

Stephen Satchell

Mutual fund performance and management location pp. 336-353

Andrew Clare, Dirk Nitzsche and Meadhbh Sherman

Value-based asset allocation: An integrated framework pp. 354-375

Renato Staub

Can alignment of active manager and investor interests be improved? pp. 376-384

Charles Jackson

Correlation surprise pp. 385-399

Will Kinlaw and David Turkington

The Maximum Diversification Index pp. 400-409

Erkin Diyarbakırlıoğlu and Mehmet H Satman

Large trades on the Tunisian Stock Exchange: Downstairs versus upstairs stock markets pp. 410-422

Monia Antar and Faouzi Jilani

Complementary or contradictory? Combining returns-based and characteristics-based investment style analysis pp. 423-438

Andrew Mason, Frank McGroarty and Steve Thomas

Volume 14, issue 5, 2013

Skilled monkey or unlucky manager? pp. 267-277

Maximilian Vermorken, Marc Gendebien, Alphons Vermorken and Thomas Schröder

Constraints in quantitative strategies: An alignment perspective pp. 278-292

Anureet Saxena, Chris Martin and Robert A Stubbs

Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios pp. 293-305

Geng Deng, Tim Dulaney, Craig McCann and Olivia Wang

Asset-liability management for pension funds in a time-varying volatility environment pp. 306-333

Spyridon D Vrontos, Ioannis D Vrontos and Loukia Meligkotsidou

Volume 14, issue 4, 2013

Momentum pp. 209-209

Stephen Satchell

Determining an optimal multiplier in dynamic core-satellite strategies pp. 210-227

Thibaut Caliman, Catherine D'Hondt and Mikael Petitjean

The anatomy of portfolio skewness and kurtosis pp. 228-235

Anthony Hall and Stephen E Satchell

Bounded Monte Carlo simulation of critical information related to retirement planning pp. 236-254

Robert K Henderson

Attempt to resolve the momentum effect enigma: Proposition of investors’ progressive rationality pp. 255-266

Faten Zoghlami

Volume 14, issue 3, 2013

Market-implied inflation and growth rates adversely affected by the Brent pp. 133-139

Gilbert Cette and Marielle de Jong

Integrated alpha modelling pp. 140-161

Xavier Gerard, Ron Guido and Peter Wesselius

Asset allocation in private wealth management: Theory versus practice pp. 162-181

David Schröder

Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500 pp. 182-194

Andrew Clare, James Seaton, Peter Smith and Stephen Thomas

Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles pp. 195-208

Yen-Hsiao Chen and Lianfeng Quan

Volume 14, issue 2, 2013

Are stocks riskier than bonds? Not if you assess risk like Warren Buffett pp. 73-78

Javier Estrada

Can time difference deter arbitrage opportunities? pp. 79-94

Timofei Bogomolov, Lixian Liu and Petko S Kalev

Benchmark replication portfolio strategies pp. 95-110

Paskalis Glabadanidis and Leon Zolotoy

Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency pp. 111-119

Christiane Goodfellow, Dirk Schiereck and Steffen Wippler

Compositional changes in the FTSE100 index from the standpoint of an arbitrageur pp. 120-132

Kwaku Opong and Antonios Siganos

Volume 14, issue 1, 2013

Editorial pp. 1-1

Stephen Satchell

The Black–Litterman model: A risk budgeting perspective pp. 2-13

Randy O'Toole

A comparison between capitalization-weighted and equally weighted indexes in the European equity market pp. 14-26

Enrica Bolognesi, Giuseppe Torluccio and Andrea Zuccheri

A comparative performance analysis of conventional and Islamic exchange-traded funds pp. 27-36

Nafis Alam

Do they trade as they say? Comparing survey data and trading records pp. 37-51

Tristan Nguyen and Alexander Schuessler

A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading pp. 52-71

Christian L Dunis, Spiros D Likothanassis, Andreas S Karathanasopoulos, Georgios Sermpinis and Konstantinos A Theofilatos