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Journal of Asset Management

2000 - 2024

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

From Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

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Volume 14, issue 6, 2013

Decision making pp. 335-335 Downloads
Stephen Satchell
Mutual fund performance and management location pp. 336-353 Downloads
Andrew Clare, Dirk Nitzsche and Meadhbh Sherman
Value-based asset allocation: An integrated framework pp. 354-375 Downloads
Renato Staub
Can alignment of active manager and investor interests be improved? pp. 376-384 Downloads
Charles Jackson
Correlation surprise pp. 385-399 Downloads
Will Kinlaw and David Turkington
The Maximum Diversification Index pp. 400-409 Downloads
Erkin Diyarbakırlıoğlu and Mehmet H Satman
Large trades on the Tunisian Stock Exchange: Downstairs versus upstairs stock markets pp. 410-422 Downloads
Monia Antar and Faouzi Jilani
Complementary or contradictory? Combining returns-based and characteristics-based investment style analysis pp. 423-438 Downloads
Andrew Mason, Frank McGroarty and Steve Thomas

Volume 14, issue 5, 2013

Skilled monkey or unlucky manager? pp. 267-277 Downloads
Maximilian Vermorken, Marc Gendebien, Alphons Vermorken and Thomas Schröder
Constraints in quantitative strategies: An alignment perspective pp. 278-292 Downloads
Anureet Saxena, Chris Martin and Robert A Stubbs
Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios pp. 293-305 Downloads
Geng Deng, Tim Dulaney, Craig McCann and Olivia Wang
Asset-liability management for pension funds in a time-varying volatility environment pp. 306-333 Downloads
Spyridon D Vrontos, Ioannis D Vrontos and Loukia Meligkotsidou

Volume 14, issue 4, 2013

Momentum pp. 209-209 Downloads
Stephen Satchell
Determining an optimal multiplier in dynamic core-satellite strategies pp. 210-227 Downloads
Thibaut Caliman, Catherine D'Hondt and Mikael Petitjean
The anatomy of portfolio skewness and kurtosis pp. 228-235 Downloads
Anthony Hall and Stephen E Satchell
Bounded Monte Carlo simulation of critical information related to retirement planning pp. 236-254 Downloads
Robert K Henderson
Attempt to resolve the momentum effect enigma: Proposition of investors’ progressive rationality pp. 255-266 Downloads
Faten Zoghlami

Volume 14, issue 3, 2013

Market-implied inflation and growth rates adversely affected by the Brent pp. 133-139 Downloads
Gilbert Cette and Marielle de Jong
Integrated alpha modelling pp. 140-161 Downloads
Xavier Gerard, Ron Guido and Peter Wesselius
Asset allocation in private wealth management: Theory versus practice pp. 162-181 Downloads
David Schröder
Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500 pp. 182-194 Downloads
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 Downloads
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 Downloads
Javier Estrada
Can time difference deter arbitrage opportunities? pp. 79-94 Downloads
Timofei Bogomolov, Lixian Liu and Petko S Kalev
Benchmark replication portfolio strategies pp. 95-110 Downloads
Paskalis Glabadanidis and Leon Zolotoy
Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency pp. 111-119 Downloads
Christiane Goodfellow, Dirk Schiereck and Steffen Wippler
Compositional changes in the FTSE100 index from the standpoint of an arbitrageur pp. 120-132 Downloads
Kwaku Opong and Antonios Siganos

Volume 14, issue 1, 2013

Editorial pp. 1-1 Downloads
Stephen Satchell
The Black–Litterman model: A risk budgeting perspective pp. 2-13 Downloads
Randy O'Toole
A comparison between capitalization-weighted and equally weighted indexes in the European equity market pp. 14-26 Downloads
Enrica Bolognesi, Giuseppe Torluccio and Andrea Zuccheri
A comparative performance analysis of conventional and Islamic exchange-traded funds pp. 27-36 Downloads
Nafis Alam
Do they trade as they say? Comparing survey data and trading records pp. 37-51 Downloads
Tristan Nguyen and Alexander Schuessler
A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading pp. 52-71 Downloads
Christian L Dunis, Spiros D Likothanassis, Andreas S Karathanasopoulos, Georgios Sermpinis and Konstantinos A Theofilatos

Volume 13, issue 6, 2012

Greed can be dangerous to your Sharpe pp. 369-372 Downloads
Bernd Scherer
Factor attribution that adds up pp. 373-383 Downloads
Sanne de Boer
Theory of social returns in portfolio choice with application to microfinance pp. 384-400 Downloads
Gregor Dorfleitner, Michaela Leidl and Johannes Reeder
Does the law of one price apply to dually listed ETFs belonging to the same family? Evidence from iShares pp. 401-420 Downloads
Gerasimos G Rompotis
Faith matters? A closer look at the performance of belief-based equity investments pp. 421-436 Downloads
Lai Wan-Ni
The benefits of tree-based models for stock selection pp. 437-448 Downloads
Min Zhu, David Philpotts and Maxwell J Stevenson

Volume 13, issue 5, 2012

New methods of estimating volatility and returns: Revisited pp. 307-309 Downloads
Moawia Alghalith
The term structure of loss preferences and rationality in analyst earnings forecasts pp. 310-326 Downloads
George Christodoulakis, Konstantinos Stathopoulos and Nikolaos Tessaromatis
The impact of flow of funds and management style on abnormal performance pp. 327-338 Downloads
Abhay Kaushik
Innovative value indicators: Firm specific versus macroeconomic pp. 339-347 Downloads
Seung Woog (Austin) Kwag and Sang Whi Lee
Man versus math: Behaviorist exploration of post-crisis non-banking asset management pp. 348-367 Downloads
Kenneth David Strang

Volume 13, issue 4, 2012

The Sharpe ratio's market climate bias: Theoretical and empirical evidence from US equity mutual funds pp. 227-242 Downloads
Sebastian Krimm, Hendrik Scholz and Marco Wilkens
How much value should you expect to gain or lose by replacing your investment manager? pp. 243-252 Downloads
Robin Penfold
The search for an exploitable value premium in market indexes pp. 253-270 Downloads
Kenneth E Scislaw and David G McMillan
An anatomy of calendar effects pp. 271-286 Downloads
Laurens Swinkels and Pim van Vliet
Earnings response elasticity and post-earnings-announcement drift pp. 287-305 Downloads
Zhipeng Yan, Yan Zhao, Wei Xu and Lee-Young Cheng

Volume 13, issue 3, 2012

Risk parity in US futures markets pp. 155-161 Downloads
Bernd Scherer
The relevance of emerging markets in portfolio diversification: Analysis in a downside risk framework pp. 162-169 Downloads
S S S Kumar
Style analysis for diversified US equity funds pp. 170-185 Downloads
Andrew Mason, Frank McGroarty and Steve Thomas
Minimum-variance versus tangent portfolios – A note pp. 186-195 Downloads
Manuel Tarrazo and Ricardo Úbeda
An analytical performance comparison of exchange-traded funds with index funds: 2002–2010 pp. 196-209 Downloads
Mohammad Sharifzadeh and Simin Hojat
RAFI® replication: Easier done than said? pp. 210-225 Downloads
Paskalis Glabadanidis, Ivan Obaydin and Ralf Zurbruegg

Volume 13, issue 2, 2012

Investing in commodities: Popular beliefs and misconceptions pp. 77-83 Downloads
George Skiadopoulos
Investment choice and performance potential in the mutual fund industry pp. 84-101 Downloads
Zeno Adams, Roland Füss and Volker Wohlschieß
Target-oriented investment advice pp. 102-114 Downloads
Philippe J S De Brouwer
Do macro-economic variables explain stock-market returns? Evidence using a semi-parametric approach pp. 115-127 Downloads
Sagarika Mishra and Harminder Singh
Explicit coupling of informative prior and likelihood functions in a Bayesian multivariate framework and application to a new non-orthogonal formulation of the Black–Litterman model pp. 128-140 Downloads
François Ogliaro, Robert K Rice, Stewart Becker and Raul Leote de Carvalho
The passive investor puzzle pp. 141-154 Downloads
Damir Tokic

Volume 13, issue 1, 2012

New methods of estimating volatility and returns pp. 1-4 Downloads
Moawia Alghalith
Active risk sensitivity to views using the Black–Litterman model pp. 5-21 Downloads
Maria Debora Braga and Francesco Paolo Natale
Industry effects and volatility transmission in portfolio diversification pp. 22-33 Downloads
Vivek Bhargava, Akash Dania and Davinder Kumar Malhotra
Approximating the numéraire portfolio by naive diversification pp. 34-50 Downloads
Eckhard Platen and Renata Rendek
Portfolio optimization under transfer coefficient constraint pp. 51-57 Downloads
Rei Yamamoto, Takuya Ishibashi and Hiroshi Konno
Review of the performance and robustness of several investment strategies applied to an international equity portfolio pp. 58-75 Downloads
Tristan Nguyen and Gerhard Wörtche
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