Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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Volume 7, issue 6, 2007

Forecasting and compulsion pp. 373-373

Stephen E Satchell

Can robust portfolio optimisation help to build better portfolios? pp. 374-387

Bernd Scherer

Measuring portfolio performance using a modified measure of risk pp. 388-403

Chris Adcock

Sector-specific optimum asset allocation — An example for non-life insurers pp. 404-411

Jean-Christophe Curtillet and Mathieu Dieudonné

Managing market risk with conditioning information pp. 412-418

George Famy

The error of tracking error pp. 419-424

Craig L Israelsen and Gary F Cogswell

Do style benchmarks differ? pp. 425-428

Vesa Puttonen and Tatu Seppä

Impact of fund, management and market characteristics on bond mutual fund performance pp. 429-442

Arnold L Redman and Nell S Gullett

Volume 7, issue 5, 2007

Editorial pp. 301-301

Stephen E Satchell

Mean–variance versus full-scale optimisation: In and out of sample pp. 302-311

Timothy Adler and Mark Kritzman

The design of defined-contribution pension plans using a variable-contribution lifecycle programme pp. 312-324

Hon Cheung

Generating optimal portfolios within the FTK framework pp. 325-334

Julian Coutts and Brian J W Fleming

A mathematical statistical pricing model for emerging stock markets pp. 335-346

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

Refinements to the Sharpe ratio: Comparing alternatives for bear markets pp. 347-357

Hendrik Scholz

Are you about to handcuff your information ratio? pp. 358-370

Renato Staub

Guide to Investment Strategy pp. 371-372

Greg N Gregoriou

Volume 7, issue 3, 2006

Funding long-term liabilities: A global perspective — CFA Institute Annual Conference pp. 155-169

Alan Brown

A note on the out-of-sample performance of resampled efficiency pp. 170-178

Bernd Scherer

Volatility filters for asset management: An application to managed futures pp. 179-189

Christian Dunis and Jia Miao

Performance measurement with loss aversion pp. 190-207

Gordon Gemmill, Soosung Hwang and Mark Salmon

Measuring investor sentiment in equity markets pp. 208-215

Arindam Bandopadhyaya and Anne Leah Jones

Cash equity transaction cost analysis: State of the art … and beyond pp. 216-241

Catherine D'Hondt and Jean-René Giraud

Corporate governance and earnings management and the relationship between economic value added and created shareholder value pp. 242-254

Ali El Mir and Souad Seboui

Rights offerings in Spain: Effects on ex-rights stocks during the subscription period pp. 255-272

Consuelo Riaño, Francisco-Javier Ruiz and Rafael Santamaría

The cross-sectional variability of stock-price returns: Country and sector effects revisited pp. 273-290

Michael Steliaros and Dylan C Thomas

Asset disposition effect: The impact of price patterns and selected personal characteristics pp. 291-300

Alan S Wong, Bernardo J Carducci and Alan Jay White

Volume 7, issue 2, 2006

Editorial pp. 81-82

Reha H Tütüncü and Peter J Zangari

Optimisation and quantitative investment management pp. 83-92

Arlen Khodadadi, Reha H Tütüncü and Peter J Zangari

Improving investment performance for pension plans pp. 93-108

John M Mulvey, Koray D Simsek and Zhuojuan Zhang

Incorporating estimation errors into portfolio selection: Robust portfolio construction pp. 109-127

Sebastián Ceria and Robert A Stubbs

Towards reliable efficient frontiers pp. 128-141

Katrin Schöttle and Ralf Werner

Semidefinite optimisation for global risk modelling pp. 142-153

Papa Momar Ndiaye, François Oustry and Véronique Piolle

Volume 7, issue 1, 2006

Editorial pp. 1-1

Stephen E Satchell

Optimal allocation to real estate incorporating illiquidity risk pp. 2-16

Shaun A Bond, Soosung Hwang and Kimberley Richards

An alternative bond relative value measure: Determining a fair value of the swap spread using Libor and GC repo rates pp. 17-21

Moorad Choudhry

Advanced frequency and time domain filters for currency portfolio management pp. 22-30

Christian Dunis and Jia Miao

The implications of blending specialist active equity fund management pp. 31-48

David Gallagher and Peter Gardner

Wealth management: The relative importance of asset allocation and security selection pp. 49-59

Walter Hlawitschka and Michael Tucker

Pricing efficiency of exchange traded funds in Taiwan pp. 60-68

Ching-Chung Lin, Shih-Ju Chan and Hsinan Hsu

Analysing digits for portfolio formation and index tracking pp. 69-80

Peter N Posch and Welf A Kreiner

Volume 6, issue 6, 2006

Editorial pp. 389-389

Stephen E Satchell

A benchmark approach to asset management pp. 390-405

Eckhard Platen

To sin or not to sin? Now that's the question pp. 406-417

James Chong, Monica Her and G. Michael Phillips

Explaining US stock market returns from 1980 to 2005: Implications for the next 25 years pp. 418-432

Damir Tokic

The added value of hedge funds in an asset-liability framework pp. 433-444

Susanne Otruba, Carmen Quesada and Stefan Scholz

Optimisation of the largest US mutual funds using data envelopment analysis pp. 445-455

Greg N Gregoriou

Decomposing the price-earnings ratio pp. 456-469

Keith Anderson and Chris Brooks

Volume 6, issue 5, 2006

Editorial pp. 319-319

Stephen E Satchell

Do funds of funds make sense? pp. 322-328

Kristof Agache and Knut Huys

Profiting from past winners and losers pp. 329-344

Nauzer Balsara and Lin Zheng

Biases and information in analysts' recommendations: The European experience pp. 345-380

Sarah Azzi, Ron Bird, Paolo Ghiringhelli and Emanuele Rossi

Momentum profits following bull and bear markets pp. 381-388

Antonios Siganos and Patricia Chelley-Steeley

Volume 6, issue 4, 2005

Editorial pp. 245-245

Stephen E Satchell

Independent variable selection: Application of independent component analysis to forecasting a stock index pp. 248-258

Andrzej Cichocki, Stanley R Stansell, Zbigniew Leonowicz and James Buck

Does inflation matter for equity returns? pp. 259-273

Salman Ahmed and Mirko Cardinale

Does good corporate governance really work? More evidence from CalPERS pp. 274-287

James Nelson

Wealth effects of American depository receipts listed on the New York Stock Exchange: The case of telecom firms pp. 288-297

Mark Schaub

Seasonality in the Asia Pacific stock markets pp. 298-318

Noor Azuddin Yakob, Diana Beal and Sarath Delpachitra

Volume 6, issue 3, 2005

Editorial pp. 165-165

Stephen E Satchell

Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit? pp. 168-190

Christian L Dunis and Gary Shannon

Flow-through capability: The Spanish case pp. 191-205

Francisco Jareño

A multivariate dichotomic approach for tactical asset allocation pp. 206-218

Mathieu Roberge and Cécile Le Moigne

Impact of fund size on hedge fund performance pp. 219-238

Manuel Ammann and Patrick Moerth

Volume 6, issue 2, 2005

Editorial pp. 84-84

Stephen E Satchell

Countries versus industries in Europe: A normative portfolio approach pp. 85-103

Javier Estrada, Mark Kritzman, Simon Myrgren and Sébastien Page

Value and growth stocks and cyclical asymmetries pp. 104-116

Angela Black and David G McMillan

Discretionary trading and the search for alpha pp. 117-135

Don Chance

A proposed fuzzy optimal control model to minimise target tracking error in a dynamic hedging problem with a multi-asset, best-of option pp. 136-140

Sukanto Bhattacharya and Mohammad Khoshnevisan

Feasible high growth investment strategy: Growth optimal portfolios applied to Dow Jones stocks pp. 141-157

B F Hunt

Volume 6, issue 1, 2005

Editorial pp. 4-4

Stephen E Satchell

Returns from active management in international equity markets: Evidence from a panel of UK pension funds pp. 5-20

David Blake and Allan Timmermann

Ex post reality versus ex ante theory of the fundamental law of active management pp. 21-32

David J Buckle

Cointegration portfolios of European equities for index tracking and market neutral strategies pp. 33-52

Christian L Dunis and Richard Ho

Computing implied returns in a meaningful way pp. 53-64

Ulf Herold

How model risk and alpha dispersion affect portfolio efficiency pp. 65-78

Eriks Smidchens