Table of Contents
Summer 2011; Volume 37,Issue 4
A
Anson, Mark
- You have accessThe Evolution of Equity Mandates in Institutional
PortfoliosMark AnsonThe Journal of Portfolio Management Summer 2011, 37 (4) 127-137; DOI: https://doi.org/10.3905/jpm.2011.37.4.127
Asness, Clifford
- You have accessMomentum in Japan: The Exception that Proves
the RuleClifford AsnessThe Journal of Portfolio Management Summer 2011, 37 (4) 67-75; DOI: https://doi.org/10.3905/jpm.2011.37.4.067
C
Chan, Lydia J.
- You have accessTracking Error RebalancingLydia J. Chan and Sunder R. RamkumarThe Journal of Portfolio Management Summer 2011, 37 (4) 54-66; DOI: https://doi.org/10.3905/jpm.2011.37.4.054
Chen, Huafeng (Jason)
- You have accessAverage Stock Variance and Market Returns:
Evidence of Time-Varying Predictability at the
Daily FrequencyHuafeng (Jason) Chen, Hernán Ortiz-Molina and Siliang (Stacy) ZhangThe Journal of Portfolio Management Summer 2011, 37 (4) 86-95; DOI: https://doi.org/10.3905/jpm.2011.37.4.086
Cornell, Bradford
- You have accessInvited Editorial CommentBradford CornellThe Journal of Portfolio Management Summer 2011, 37 (4) 3-5; DOI: https://doi.org/10.3905/jpm.2011.37.4.003
H
Hartmann, Daniel
- You have accessHedging Equity Market Risk in Hedge Fund
Investing: A New ApproachDaniel Hartmann and Dieter G. KaiserThe Journal of Portfolio Management Summer 2011, 37 (4) 138-151; DOI: https://doi.org/10.3905/jpm.2011.37.4.138
K
Kaiser, Dieter G.
- You have accessHedging Equity Market Risk in Hedge Fund
Investing: A New ApproachDaniel Hartmann and Dieter G. KaiserThe Journal of Portfolio Management Summer 2011, 37 (4) 138-151; DOI: https://doi.org/10.3905/jpm.2011.37.4.138
Kong, Aiguo
- You have accessPredicting Market Components Out of Sample:
Asset Allocation ImplicationsAiguo Kong, David E. Rapach, Jack K. Strauss and Guofu ZhouThe Journal of Portfolio Management Summer 2011, 37 (4) 29-41; DOI: https://doi.org/10.3905/jpm.2011.37.4.029
Kritzman, Mark
- You have accessPrincipal Components as a Measure of Systemic RiskMark Kritzman, Yuanzhen Li, Sébastien Page and Roberto RigobonThe Journal of Portfolio Management Summer 2011, 37 (4) 112-126; DOI: https://doi.org/10.3905/jpm.2011.37.4.112
L
Lee, Wai
- You have accessRisk-Based Asset Allocation: A New Answer to an
Old Question?Wai LeeThe Journal of Portfolio Management Summer 2011, 37 (4) 11-28; DOI: https://doi.org/10.3905/jpm.2011.37.4.011
Levich, Richard M.
- You have accessAre All Currency Managers Equal?Momtchil Pojarliev and Richard M. LevichThe Journal of Portfolio Management Summer 2011, 37 (4) 42-53; DOI: https://doi.org/10.3905/jpm.2011.37.4.042
Li, Yuanzhen
- You have accessPrincipal Components as a Measure of Systemic RiskMark Kritzman, Yuanzhen Li, Sébastien Page and Roberto RigobonThe Journal of Portfolio Management Summer 2011, 37 (4) 112-126; DOI: https://doi.org/10.3905/jpm.2011.37.4.112
M
MacLean, Leonard C.
- You have accessHow Does the Fortune’s Formula Kelly Capital
Growth Model Perform?Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. ZiembaThe Journal of Portfolio Management Summer 2011, 37 (4) 96-111; DOI: https://doi.org/10.3905/jpm.2011.37.4.096
Malevergne, Yannick
- You have accessRobust Reverse Engineering of Cross-Sectional
Returns and Improved Portfolio Allocation
Performance Using the CAPMXiaohui Ni, Yannick Malevergne, Didier Sornette and Peter WoehrmannThe Journal of Portfolio Management Summer 2011, 37 (4) 76-85; DOI: https://doi.org/10.3905/jpm.2011.37.4.076
N
Ni, Xiaohui
- You have accessRobust Reverse Engineering of Cross-Sectional
Returns and Improved Portfolio Allocation
Performance Using the CAPMXiaohui Ni, Yannick Malevergne, Didier Sornette and Peter WoehrmannThe Journal of Portfolio Management Summer 2011, 37 (4) 76-85; DOI: https://doi.org/10.3905/jpm.2011.37.4.076
O
Ortiz-Molina, Hernán
- You have accessAverage Stock Variance and Market Returns:
Evidence of Time-Varying Predictability at the
Daily FrequencyHuafeng (Jason) Chen, Hernán Ortiz-Molina and Siliang (Stacy) ZhangThe Journal of Portfolio Management Summer 2011, 37 (4) 86-95; DOI: https://doi.org/10.3905/jpm.2011.37.4.086
P
Page, Sébastien
- You have accessInvited Editorial CommentSébastien Page and Mark A. TaborskyThe Journal of Portfolio Management Summer 2011, 37 (4) 1-2; DOI: https://doi.org/10.3905/jpm.2011.37.4.001
- You have accessPrincipal Components as a Measure of Systemic RiskMark Kritzman, Yuanzhen Li, Sébastien Page and Roberto RigobonThe Journal of Portfolio Management Summer 2011, 37 (4) 112-126; DOI: https://doi.org/10.3905/jpm.2011.37.4.112
Pojarliev, Momtchil
- You have accessAre All Currency Managers Equal?Momtchil Pojarliev and Richard M. LevichThe Journal of Portfolio Management Summer 2011, 37 (4) 42-53; DOI: https://doi.org/10.3905/jpm.2011.37.4.042
R
Ramkumar, Sunder R.
- You have accessTracking Error RebalancingLydia J. Chan and Sunder R. RamkumarThe Journal of Portfolio Management Summer 2011, 37 (4) 54-66; DOI: https://doi.org/10.3905/jpm.2011.37.4.054
Rapach, David E.
- You have accessPredicting Market Components Out of Sample:
Asset Allocation ImplicationsAiguo Kong, David E. Rapach, Jack K. Strauss and Guofu ZhouThe Journal of Portfolio Management Summer 2011, 37 (4) 29-41; DOI: https://doi.org/10.3905/jpm.2011.37.4.029
Rigobon, Roberto
- You have accessPrincipal Components as a Measure of Systemic RiskMark Kritzman, Yuanzhen Li, Sébastien Page and Roberto RigobonThe Journal of Portfolio Management Summer 2011, 37 (4) 112-126; DOI: https://doi.org/10.3905/jpm.2011.37.4.112
S
Sornette, Didier
- You have accessRobust Reverse Engineering of Cross-Sectional
Returns and Improved Portfolio Allocation
Performance Using the CAPMXiaohui Ni, Yannick Malevergne, Didier Sornette and Peter WoehrmannThe Journal of Portfolio Management Summer 2011, 37 (4) 76-85; DOI: https://doi.org/10.3905/jpm.2011.37.4.076
Strauss, Jack K.
- You have accessPredicting Market Components Out of Sample:
Asset Allocation ImplicationsAiguo Kong, David E. Rapach, Jack K. Strauss and Guofu ZhouThe Journal of Portfolio Management Summer 2011, 37 (4) 29-41; DOI: https://doi.org/10.3905/jpm.2011.37.4.029
T
Taborsky, Mark A.
- You have accessInvited Editorial CommentSébastien Page and Mark A. TaborskyThe Journal of Portfolio Management Summer 2011, 37 (4) 1-2; DOI: https://doi.org/10.3905/jpm.2011.37.4.001
Thorp, Edward O.
- You have accessHow Does the Fortune’s Formula Kelly Capital
Growth Model Perform?Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. ZiembaThe Journal of Portfolio Management Summer 2011, 37 (4) 96-111; DOI: https://doi.org/10.3905/jpm.2011.37.4.096
W
Woehrmann, Peter
- You have accessRobust Reverse Engineering of Cross-Sectional
Returns and Improved Portfolio Allocation
Performance Using the CAPMXiaohui Ni, Yannick Malevergne, Didier Sornette and Peter WoehrmannThe Journal of Portfolio Management Summer 2011, 37 (4) 76-85; DOI: https://doi.org/10.3905/jpm.2011.37.4.076
Z
Zhang, Siliang (Stacy)
- You have accessAverage Stock Variance and Market Returns:
Evidence of Time-Varying Predictability at the
Daily FrequencyHuafeng (Jason) Chen, Hernán Ortiz-Molina and Siliang (Stacy) ZhangThe Journal of Portfolio Management Summer 2011, 37 (4) 86-95; DOI: https://doi.org/10.3905/jpm.2011.37.4.086
Zhao, Yonggan
- You have accessHow Does the Fortune’s Formula Kelly Capital
Growth Model Perform?Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. ZiembaThe Journal of Portfolio Management Summer 2011, 37 (4) 96-111; DOI: https://doi.org/10.3905/jpm.2011.37.4.096
Zhou, Guofu
- You have accessPredicting Market Components Out of Sample:
Asset Allocation ImplicationsAiguo Kong, David E. Rapach, Jack K. Strauss and Guofu ZhouThe Journal of Portfolio Management Summer 2011, 37 (4) 29-41; DOI: https://doi.org/10.3905/jpm.2011.37.4.029
Ziemba, William T.
- You have accessHow Does the Fortune’s Formula Kelly Capital
Growth Model Perform?Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. ZiembaThe Journal of Portfolio Management Summer 2011, 37 (4) 96-111; DOI: https://doi.org/10.3905/jpm.2011.37.4.096