Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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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

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