Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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Volume 9, issue 6, 2009

Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory pp. 359-365

Philippe J S De Brouwer

Low-cost momentum strategies pp. 366-379

Xiafei Li, Chris Brooks and Joëlle Miffre

Implementing risk appetite in the management of currency portfolios pp. 380-397

Jinhui Luo, Philip Saks and Steve Satchell

Do mutual funds with few holdings outperform the market? pp. 398-408

Abhay Kaushik and Scott W Barnhart

Volume 9, issue 5, 2008

Editorial pp. 309-309

Stephen E Satchell

Alpha insurance: A computational framework to measure hedging demands for active investors pp. 310-320

Ashraf El-Ansary

Portfolio performance ambiguity and benchmark inefficiency revisited pp. 321-332

Lawrence Kryzanowski and Abdul Rahman

The United States Oil Fund as a hedging instrument pp. 333-346

Marina Murdock and Nivine Richie

Value versus growth stocks and earnings growth in style investing strategies in Euro-markets pp. 347-358

Salim Chahine

Volume 9, issue 4, 2008

Do the common risk factors always capture strong variation in stock returns? pp. 255-263

Pradosh Simlai

Fundamental indexation: An active value strategy in disguise pp. 264-269

David Blitz and Laurens Swinkels

A cross-sectional analysis of Malaysian unit trust fund expense ratios pp. 270-277

Soo-Wah Low

How many independent bets are there? pp. 278-288

Daniel Polakow and Tim Gebbie

Abnormal returns with momentum/contrarian strategies using exchange-traded funds pp. 289-299

Jack C De Jong and S Ghon Rhee

Who profits from trading around earnings announcements? Evidence from TORQ data pp. 300-308

Malay K Dey and B Radhakrishna (Radha)

Volume 9, issue 3, 2008

Are long-term trends changing? pp. 171-177

Damir Tokic

Optimal portfolio allocation under asset and surplus VaR constraints pp. 178-192

Alain Monfort

Firm-specific characteristics and the cross-section of Australian stock exchange returns pp. 193-214

Paul van Rensburg and Emile Janari

Optimal asset allocation for sovereign wealth funds pp. 215-238

Andreas Gintschel and Bernd Scherer

Inverse portfolio optimisation under constraints pp. 239-253

Rudi Zagst and Michaela Pöschik

Erratum: Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets pp. 254-254

Wolfgang Bessler, Wolfgang Drobetz and Jorg Seidel

Volume 9, issue 2, 2008

Special edition of Journal of Asset Management ACIIA® chairman's message pp. 73-76

Kiyoto Hagiwara

An overview of the papers included in this special edition of the Journal of Asset Management pp. 77-79

Michael Theobald

Asia as a financial centre — Opportunities and obstacles pp. 80-89

Shinichi Yoshikuni

Ownership, governance mechanisms, and agency costs in China’s listed firms pp. 90-101

Michael Firth, Peter M Y Fung and Oliver M Rui

Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets pp. 102-120

Wolfgang Bessler, Wolfgang Drobetz and Jörg Seidel

Portfolio selection in an expected shortfall framework during the recent ‘credit crunch’ period pp. 121-137

Lan-chih Ho, John Cadle and Michael Theobald

Portfolio optimisation: A fuzzy multi-objective approach pp. 138-148

Francesc J Ortí and José B Sáez

Structural positions and risk budgeting: Quantifying the impact of structural positions and deriving implications for active portfolio management pp. 149-157

Ulf Herold and Raimond Maurer

Private equity in developing nations pp. 158-170

Arindam Banerjee

Volume 9, issue 1, 2008

Editorial pp. 1-1

Stephen E Satchell

Best-practice pension fund governance pp. 2-21

Gordon L Clark and Roger Urwin

Investing in movies pp. 22-40

Mark J Ferrari and Andrew Rudd

Investing in emerging market local currency debt pp. 41-48

Benoît Mercereau and Alexandra Lubomira Sowa

Global term structure modelling using principal component analysis pp. 49-60

Arcady Novosyolov and Daniel Satchkov

How well can multi-manager funds diversify? pp. 61-66

Jürg Tobler-Oswald

Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe pp. 67-72

Walter Hlawitschka and Michael Tucker

Volume 8, issue 6, 2008

Editorial pp. 351-351

Stephen E Satchell

Using efficiency ratio to measure fund performance pp. 352-360

Wen-Kuei Chen, Yin-Jen Chen and Tsung-Chuan Chen

Diversifying in public real estate: The ex-post performance pp. 361-373

Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano

Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation pp. 374-400

Francesco Paolo Natale

Fundamental indexation in Europe pp. 401-405

Julius Hemminki and Vesa Puttonen

Volume 8, issue 5, 2007

Editorial pp. 283-283

Stephen E Satchell

Another look at the information ratio pp. 284-295

Ludwig B Chincarini and Daehwan Kim

Portfolio optimisation and diversification pp. 296-307

David King

Comparing Sharpe ratios: So where are the p-values? pp. 308-336

John Douglas (J.D.) Opdyke

Time-varying risk and return characteristics of US and European bond markets: Implications for efficient portfolio allocation pp. 337-350

Philip J Young, Thomas H Payne and Robert R Johnson

Volume 8, issue 4, 2007

Editorial pp. 227-227

Stephen E Satchell

Extracting information from European analyst forecasts pp. 228-237

Andrea S Au

Persistent taxation on EU investment fund unitholders pp. 238-248

Luis Ferruz, Cristina Ortiz and Luis Vicente

Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II — Processing of portfolio planning models with discrete constraints pp. 249-258

Gautam Mitra, Frank Ellison and Alan Scowcroft

After-market performance of industrial American Depository Receipts: Does level of issue and market timing affect returns? pp. 259-266

Mark Schaub

Reconsidering asset allocation involving illiquid assets pp. 267-282

Dan Cao and Jérôme Teïletche

Volume 8, issue 3, 2007

A comparison between German and Spanish equity fund markets pp. 147-151

Luis Ferruz, José L Sarto and Laura Andreu

Evidence for time-dependent structures in financial data series over long timescales: Opportunities for dynamic market risk allocation pp. 152-160

Julian Coutts

Incorporating alpha uncertainty into portfolio decisions: A Bayesian revisit of the Treynor–Black model pp. 161-175

Zhongzhi (Lawrence) He

Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy pp. 176-187

Tim van Hest and Anja De Waegenaere

Importance of style diversification for equity country selection pp. 188-199

Stéphanie Desrosiers, Jean-François L'Her and Jean-François Plante

Quadratic programming for portfolio planning: Insights into algorithmic and computational issues pp. 200-214

Gautam Mitra, Frank Ellison and Alan Scowcroft

Should private equity funds be further regulated? pp. 215-225

Peter Yeoh

Volume 8, issue 2, 2007

Variance, volatility swaps and hedging your equity portfolio pp. 73-73

Stephen E Satchell

Capitalising on European analyst earnings estimates and recommendations during different volatility regime periods pp. 74-85

Andrea S Au

An international test of the Fed model pp. 86-100

Samuel Aubert and Pierre Giot

Volatility filter for index tracking and long–short market-neutral strategies pp. 101-111

Jia Miao

Country-specific ETFs: An efficient approach to global asset allocation pp. 112-122

Joëlle Miffre

Can mutual funds time investment styles? pp. 123-132

Laurens Swinkels and Liam Tjong-A-Tjoe

Asset allocation by using the Sharpe rule: How to improve an existing portfolio by adding some new assets? pp. 133-145

Kwok Wai Yu, Xiao Qi Yang and Heung Wong

Volume 8, issue 1, 2007

An examination of alternative portfolio rebalancing strategies applied to sector funds pp. 1-8

Stanley G Eakins and Stanley Stansell

Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes pp. 9-23

Bala G Arshanapalli, Lorne Switzer and Karim Panju

Performance and distress indicators of new public companies pp. 24-33

Nancy Beneda

The effectiveness of global currency hedging after the Asian crisis pp. 34-51

Ludwig B Chincarini

Do life insurance stocks provide superior returns? pp. 52-57

Mohammad Najand, John Griffith and David C Marlett

Alpha budgeting — Cross-sectional dispersion decomposed pp. 58-72

Wallace Yu and Yazid M Sharaiha