Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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Volume 12, issue 6, 2011

Style rotation and dynamic asset allocation pp. 377-377

Stephen Satchell

Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios pp. 378-394

Mazin A M Al Janabi

Information spillovers between size and value premium in average stock returns pp. 395-406

Tobias E Anheluk and Pradosh Simlai

Style investing and momentum investing: A case study pp. 407-417

Sandrine de Moerloose and Pierre Giot

A new asset allocation technique to reduce financial portfolio risk pp. 418-425

Gino Gandolfi, Antonella Sabatini and Monica Rossolini

Momentum change, industry group rotation and portfolio returns pp. 426-437

Muhammad M Islam and Lawrence Gomes

Impact of investment horizon on the performance of value versus growth styles and style allocation pp. 438-446

Jia Wang

Volume 12, issue 5, 2011

Regime-switching in financial markets pp. 309-309

Stephen Satchell

Markov-switching asset allocation: Do profitable strategies exist? pp. 310-321

Jan Bulla, Sascha Mergner, Ingo Bulla, André Sesboüé and Christophe Chesneau

Regime shifts in mean-variance efficient frontiers: Some international evidence pp. 322-349

Massimo Guidolin and Federica Ria

The interaction of switching and lead-lag effects in equity markets pp. 350-359

Tariq Haque

Dynamic strategic asset allocation: Risk and return across the business cycle pp. 360-375

Pim van Vliet and David Blitz

Volume 12, issue 4, 2011

Buy side risk management – Managing fees at risk pp. 225-234

Bernd Scherer

Forecasting medium-term returns and testing their value in constructing a simple portfolio pp. 235-247

Alastair Baker

Estimation risk in covariance pp. 248-259

David D Cho

Investigating the effectiveness of robust portfolio optimization techniques pp. 260-280

Gianfranco Guastaroba, Gautam Mitra and M Grazia Speranza

Skill or luck? The role of strategies and scenario analysis as a competitive differentiator for fund management firms pp. 281-291

Jem Tugwell

Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility pp. 292-307

Ioannis D Vrontos, Loukia Meligkotsidou and Spyridon D Vrontos

Volume 12, issue 3, 2011

Does market timing or issue type affect the long-run performance of UK American Depository Receipts listed on the New York Stock Exchange? pp. 157-162

Mark Schaub

Does size affect mutual fund performance? A general approach pp. 163-171

Laurent Bodson, Laurent Cavenaile and Danielle Sougné

Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region pp. 172-184

Gagari Chakrabarti

Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices pp. 185-202

Christian L Dunis, Jason Laws and Jozef Rudy

Corporate name change and shareholder wealth effect: Empirical evidence in the French Stock Market pp. 203-213

Bicha Karim

Simple and optimal alpha strategy selection and risk budgeting or Goodbye to 91.5 per cent and all that pp. 214-223

Robert Scott

Volume 12, issue 2, 2011

An adequate measure for exchange rate returns pp. 85-93

Marielle de Jong

Constructing 130/30-portfolios with the Omega ratio pp. 94-108

Manfred Gilli, Enrico Schumann, Giacomo di Tollo and Gerda Cabej

Pricing liquidity risk and cost in the stock market: How different was the financial crisis? pp. 109-122

Xue Han and Zheng Jian

Generalized marginal risk pp. 123-131

Simon Keel and David Ardia

Returns in trading versus non-trading hours: The difference is day and night pp. 132-145

Michael Kelly and Steven P Clark

Does the BEYR help predict UK sector returns? pp. 146-156

David G McMillan

Volume 12, issue 1, 2011

The long and active existentialist pp. 1-10

Daniel Polakow

Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities pp. 11-29

Andrew Clare, Owain ap Gwilym, James Seaton and Stephen Thomas

GICS or ICB, how different is similar? pp. 30-44

Maximilian A M Vermorken

Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem pp. 45-66

Long Kang

Robust portfolio allocation under discrete asset choice constraints pp. 67-83

Nalan Gülpınar, Kabir Katata and Dessislava A Pachamanova

Volume 11, issue 6, 2011

Editorial pp. 361-361

Stephen Satchell

Feasible momentum strategies in the US stock market pp. 362-374

Manuel Ammann, Marcel Moellenbeck and Markus Schmid

Conditional style rotation model on enhanced value and growth portfolios: The European experience pp. 375-390

Ron Bird and Lorenzo Casavecchia

Momentum and industry-dependence: An analysis of the Swiss stock market pp. 391-400

Tim Herberger, Daniel Kohlert and Andreas Oehler

Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence pp. 401-416

Timo H Leivo and Eero Pätäri

Style-neutral funds of funds: Diversification or deadweight? pp. 417-434

Michael Stein and Svetlozar T Rachev

Growth Value Two-Factor Model pp. 435-451

I-Cheng Yeh and Tzu-Kuang Hsu

Volume 11, issue 5, 2010

Asset-based economy and management in emerging capital markets pp. 309-313

Soumitra K Mallick

Foreign currency exchange rates and mutual fund cash flows pp. 314-320

John C Adams and F Reid Hartsfield

Carry and trend strategies in FX markets pp. 321-331

Ueli Mettler, Markus Thöny and Hansjörg Schmidt

Price reversals in global equity markets pp. 332-345

Bernd Scherer, Diogo Judice and Stephan Kessler

Glide path and dynamic asset allocation of target date funds pp. 346-360

Youngjun Yoon

Volume 11, issue 4, 2010

On the risk-return profile of leveraged and inverse ETFs pp. 219-228

Guido Giese

The Black–Litterman model explained pp. 229-243

Wing Cheung

Global capital flows to the emerging-market economies: Qualitative and quantitative differences pp. 244-260

Dilip K Das

The predictive power of value-at-risk models in commodity futures markets pp. 261-285

Roland Füss, Zeno Adams and Dieter G Kaiser

Using the Black and Litterman framework for stress test analysis in asset management pp. 286-297

Rosella Giacometti and Domenico Mignacca

Does premium impact Exchange-Traded Funds’ returns? Evidence from iShares pp. 298-308

Gerasimos Georgiou Rompotis

Volume 11, issue 2, 2010

Asset and liability management/liability-driven investment for pension funds pp. 71-72

Gautam Mitra and Elena Medova

Asset liability management modelling with risk control by stochastic dominance pp. 73-93

Xi Yang, Jacek Gondzio and Andreas Grothey

Backtesting short-term treasury management strategies based on multi-stage stochastic programming pp. 94-112

Robert Ferstl and Alex Weissensteiner

Long-term interest rates and consol bond valuation pp. 113-135

Michael A H Dempster, Elena A Medova and Michael Villaverde

Duration-enhancing overlay strategies for defined benefit pension plans pp. 136-162

John M Mulvey, Woo Chang Kim and Yi Ma

A robust optimization approach to pension fund management pp. 163-177

Garud Iyengar and Alfred Ka Chun Ma

Alternative decision models for liability-driven investment pp. 178-193

Katharina Schwaiger, Cormac Lucas and Gautam Mitra

A liability-relative drawdown approach to pension asset liability management pp. 194-217

Arjan Berkelaar and Roy Kouwenberg

Volume 11, issue 1, 2010

Investing overseas from home: The case of Asian iShares pp. 1-18

Gerasimos G Rompotis

Unbundling common style exposures, time variance and style timing of hedge fund beta pp. 19-30

Rodrigo Dupleich, Daniel Giamouridis, Spyros Mesomeris and Nima Noorizadeh

Factor tilting for expected utility maximization pp. 31-42

Sanne de Boer

Determinants of returns and decisions of fund managers: Survey evidence from four Turkish banks pp. 43-54

Omar Masood and Hosein Piranfar

A mark-to-model approach to the valuation of Residential Mortgage Backed Securities pp. 55-61

Marco Folpmers and Peter de Rijke

Dynamics of emerging India's banking sector assets: A simple model pp. 62-70

Soumitra K Mallick, Amitava Sarkar, Kalyan K Roy, Tamal Duttachaudhuri and Anjan Chakrabarti