Table of Contents

Article

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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