Journal of Asset Management
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Correction to: Factor-based investing in government bond markets: a survey of the current state of research
Journal of Asset Management - Tập 22 - Trang 622-622 - 2021
Equity style allocation: A nonparametric approach
Journal of Asset Management - Tập 17 - Trang 141-164 - 2016
In this article we provide a framework to assist with style allocation in Asian equity funds. We implement a nonparametric methodology to capture short-term stable time-varying relationships of otherwise long-term unstable relationships between numerous macroeconomic variables and style returns. We find that a nonparametric forecasting methodology produces positive performance after allowing for t......
The asset allocation of defined benefit pension plans: the role of sponsor contributions
Journal of Asset Management - Tập 23 - Trang 376-389 - 2022
What percentage of its assets should a defined benefit pension plan invest into stocks as its funding ratio varies? We show that the answer to this question depends on the institutional setting and in particular on the extent to which the sponsoring company contributes to the fund as the funding ratio varies. We consider two settings: in one setting, the sponsoring company contributes to its pensi......
On entropy and portfolio diversification
Journal of Asset Management - Tập 17 - Trang 218-228 - 2016
Entropy, a term used in Physics to quantify the degree of randomness in a complex system, is shown to be relevant for portfolio diversification. The link between entropy and diversification lies in the notion of uncertainty. We introduce the concept of available diversification in an investment universe and of diversification curves. We build a framework for assembling a fully diversified risk par......
Fine wine returns: a review of the literature
Journal of Asset Management - Tập 20 - Trang 196-214 - 2019
This paper provides a critical review of research on fine wine returns issues. To date, no review article has assessed the various findings of studies analyzing the benefits of wine investment in the context of portfolio diversification. In the recent past years, the quantity and variety of work have increased dramatically. The paper reviews investments in fine wine assets in a mixed-asset portfol......
An examination of ex ante fund performance: identifying indicators of future performance
Journal of Asset Management - Tập 20 Số 3 - Trang 175-195 - 2019
Who profits from trading around earnings announcements? Evidence from TORQ data
Journal of Asset Management - Tập 9 Số 4 - Trang 300-308 - 2008
Family status and mutual fund performance
Journal of Asset Management - Tập 15 - Trang 163-175 - 2014
Using a large and long sample of US and European mutual funds, we examine the impact that membership of a fund family has on performance. We test for strategic and competitive behaviours among family funds and whether this affects performance persistence and risk-taking. While we do not find evidence of stronger performance persistence among family funds versus non-family funds, we do find some si......
Improving CAT bond pricing models via machine learning
Journal of Asset Management - Tập 21 - Trang 428-446 - 2020
Enhanced machine learning methods provide an encouraging alternative to forecast asset prices by extending or generalizing the possible model specifications compared to conventional linear regression methods. Even if enhanced methods of machine learning in the literature often lead to better forecasting quality, this is not clear for small asset classes, because in small asset classes enhanced mac......
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