Index by author

Summer 2011; Volume 37,Issue 4

A

  1. Anson, Mark

    1. 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

  2. Asness, Clifford

    1. 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

C

  1. Chan, Lydia J.

    1. 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

  2. Chen, Huafeng (Jason)

    1. 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

  3. Cornell, Bradford

    1. 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

H

  1. Hartmann, Daniel

    1. 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

K

  1. Kaiser, Dieter G.

    1. 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

  2. Kong, Aiguo

    1. 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

  3. Kritzman, Mark

    1. 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

L

  1. Lee, Wai

    1. 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

  2. Levich, Richard M.

    1. 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

  3. Li, Yuanzhen

    1. 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

M

  1. MacLean, Leonard C.

    1. 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

  2. Malevergne, Yannick

    1. 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

N

  1. Ni, Xiaohui

    1. 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

O

  1. Ortiz-Molina, Hernán

    1. 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

P

  1. Page, Sébastien

    1. 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
    2. 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

  2. Pojarliev, Momtchil

    1. 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

R

  1. Ramkumar, Sunder R.

    1. 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

  2. Rapach, David E.

    1. 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

  3. Rigobon, Roberto

    1. 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

S

  1. Sornette, Didier

    1. 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

  2. Strauss, Jack K.

    1. 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

T

  1. Taborsky, Mark A.

    1. 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

  2. Thorp, Edward O.

    1. 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

W

  1. Woehrmann, Peter

    1. 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

Z

  1. Zhang, Siliang (Stacy)

    1. 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

  2. Zhao, Yonggan

    1. 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

  3. Zhou, Guofu

    1. 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

  4. Ziemba, William T.

    1. 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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