The Journal of Portfolio Management: 37 (4)

Summer 2011; Volume 37,Issue 4

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Invited Editorial Comment
Sébastien Page and Mark A. Taborsky

The Journal of Portfolio Management Summer 2011, 37 (4) 1-2; DOI: https://doi.org/10.3905/jpm.2011.37.4.001
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Invited Editorial Comment
Bradford Cornell

The Journal of Portfolio Management Summer 2011, 37 (4) 3-5; DOI: https://doi.org/10.3905/jpm.2011.37.4.003
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Risk-Based Asset Allocation: A New Answer to an
Old Question?
Wai Lee

The Journal of Portfolio Management Summer 2011, 37 (4) 11-28; DOI: https://doi.org/10.3905/jpm.2011.37.4.011
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Predicting Market Components Out of Sample:
Asset Allocation Implications
Aiguo Kong, David E. Rapach, Jack K. Strauss and Guofu Zhou

The Journal of Portfolio Management Summer 2011, 37 (4) 29-41; DOI: https://doi.org/10.3905/jpm.2011.37.4.029
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Are All Currency Managers Equal?
Momtchil Pojarliev and Richard M. Levich

The Journal of Portfolio Management Summer 2011, 37 (4) 42-53; DOI: https://doi.org/10.3905/jpm.2011.37.4.042
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Tracking Error Rebalancing
Lydia J. Chan and Sunder R. Ramkumar

The Journal of Portfolio Management Summer 2011, 37 (4) 54-66; DOI: https://doi.org/10.3905/jpm.2011.37.4.054
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Momentum in Japan: The Exception that Proves
the Rule
Clifford Asness

The Journal of Portfolio Management Summer 2011, 37 (4) 67-75; DOI: https://doi.org/10.3905/jpm.2011.37.4.067
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Robust Reverse Engineering of Cross-Sectional
Returns and Improved Portfolio Allocation
Performance Using the CAPM
Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann

The Journal of Portfolio Management Summer 2011, 37 (4) 76-85; DOI: https://doi.org/10.3905/jpm.2011.37.4.076
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Average Stock Variance and Market Returns:
Evidence of Time-Varying Predictability at the
Daily Frequency
Huafeng (Jason) Chen, Hernán Ortiz-Molina and Siliang (Stacy) Zhang

The Journal of Portfolio Management Summer 2011, 37 (4) 86-95; DOI: https://doi.org/10.3905/jpm.2011.37.4.086
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How Does the Fortune’s Formula Kelly Capital
Growth Model Perform?
Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. Ziemba

The Journal of Portfolio Management Summer 2011, 37 (4) 96-111; DOI: https://doi.org/10.3905/jpm.2011.37.4.096
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Principal Components as a Measure of Systemic Risk
Mark Kritzman, Yuanzhen Li, Sébastien Page and Roberto Rigobon

The Journal of Portfolio Management Summer 2011, 37 (4) 112-126; DOI: https://doi.org/10.3905/jpm.2011.37.4.112
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The Evolution of Equity Mandates in Institutional
Portfolios
Mark Anson

The Journal of Portfolio Management Summer 2011, 37 (4) 127-137; DOI: https://doi.org/10.3905/jpm.2011.37.4.127
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Hedging Equity Market Risk in Hedge Fund
Investing: A New Approach
Daniel Hartmann and Dieter G. Kaiser

The Journal of Portfolio Management Summer 2011, 37 (4) 138-151; DOI: https://doi.org/10.3905/jpm.2011.37.4.138

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