Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Thomas M. Idzorek"'
Autor:
Thomas M. Idzorek, Paul D. Kaplan
Publikováno v:
The Journal of Investing. 31:63-75
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c76729a4d6e7000fd8562ad2885d6f53
https://doi.org/10.3905/joi.2022.31.4.063
https://doi.org/10.3905/joi.2022.31.4.063
Autor:
David M. Blanchett, Thomas M. Idzorek
Publikováno v:
The Journal of Investing. 28:31-54
Liability-driven investing (LDI) represents a fundamental improvement over asset-only portfolio optimization techniques because it incorporates the risk characteristics of the liability when solving for the optimal portfolio. Well-meaning practitione
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::631e069a83a2ebb3f4846dd2ace3c568
https://doi.org/10.3905/joi.2019.28.1.031
https://doi.org/10.3905/joi.2019.28.1.031
Autor:
Thomas M. Idzorek, James X. Xiong
Publikováno v:
The Journal of Portfolio Management. 44:114-125
Surprisingly to many investors, low volatility tends to be accompanied with an undesirable risk characteristic: lower or negative skewness. A stock or fund can rank well based on the standard Sharpe ratio but low on enhanced tail-risk-based Sharpe ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::013b825a7b5c0c7442c3d0255ac74edf
https://doi.org/10.3905/jpm.2018.44.3.114
https://doi.org/10.3905/jpm.2018.44.3.114
Autor:
Thomas M. Idzorek, Roger G. Ibbotson
Publikováno v:
The Journal of Investing. 26:46-56
Less-popular securities have lower prices but higher expected returns. In the efficient market framework, this is usually a risk that is disliked. Behavior finance posits numerous investor biases (e.g., affect) under which prices are determined by em
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b1066f19ee0ac667baf3374deee9083
https://doi.org/10.3905/joi.2017.26.1.046
https://doi.org/10.3905/joi.2017.26.1.046
Publikováno v:
The Journal of Portfolio Management. 42:114-123
The authors show that it is possible to reduce tail risk without giving up much return. The key is to forecast forward -looking skewness, which will facilitate the identification of a sweet spot for a mean–variance–skewness investor. In practice,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76f5500f27fac22ef1bbaac5132251bd
https://doi.org/10.3905/jpm.2016.42.3.114
https://doi.org/10.3905/jpm.2016.42.3.114
Autor:
Martin S. Fridson, Theodore R. Aronson, Nelson Lacey, Bud Haslett, Thomas M. Idzorek, Ying L. Becker, Ronald N. Kahn, Donald R. Chambers, James X. Xiong, Joanne M. Hill, Paul D. Kaplan, Joachim Klement, Laurence B. Siegel, Paul Smith, Roger G. Ibbotson, Marc R. Reinganum, Michael Greis, Elke U. Weber, Mauro Costa Miranda, Momtchil Pojarliev, Keith H. Black
Publikováno v:
SSRN Electronic Journal.
[The Research Foundation Review 2018 summarizes the offerings from the CFA Institute Research Foundation over the past year—books, literature reviews, workshop presentations, and other relevant material.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e43f9d9b34b24a65c6b6edeb12b0e11a
https://doi.org/10.2139/ssrn.3469191
https://doi.org/10.2139/ssrn.3469191
Autor:
Thomas M. Idzorek
Publikováno v:
SSRN Electronic Journal.
The Black-Litterman model enables investors to combine their unique views regarding the performance of various assets with the market equilibrium in a manner that results in intuitive, diversified portfolios. This paper consolidates insights from the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::caee6e4789bc3b9337a1138219b4520e
https://doi.org/10.2139/ssrn.3479867
https://doi.org/10.2139/ssrn.3479867
Publikováno v:
SSRN Electronic Journal.
Fama and French identify ‘disagreement’ and ‘tastes’ as impacting asset prices in an equilibrium Capital Asset Pricing Model (CAPM) framework, stopping short of an actual model. The Arbitrage Pricing Theory (APT) of Ross posits a linear multi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fdfe9703f184c7e1afb02cbaa62d7ac7
https://doi.org/10.2139/ssrn.3451554
https://doi.org/10.2139/ssrn.3451554
Autor:
Thomas M. Idzorek, Roger G. Ibbotson
Publikováno v:
The Journal of Portfolio Management. 40:68-74
Popularity is a broad concept that can help explain valuation and the permanent market premiums (for example, the equity risk premium, size, value, liquidity, and so on). Liquidity is popular, whereas risk is unpopular. The authors explain how popula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eaca7d6564bd057146d4dc3f9efc75f2
https://doi.org/10.3905/jpm.2014.40.5.068
https://doi.org/10.3905/jpm.2014.40.5.068
Publikováno v:
The Journal of Portfolio Management. 40:112-121
Research that has led to the low-volatility anomaly in cross-sectional stocks from a similar universe indicates that volatility is not compensated with a volatility premium. The authors find evidence of a risk premium, but it depends on the definitio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76a650f2e371bafb67b35e35e0dff7da
https://doi.org/10.3905/jpm.2014.40.2.112
https://doi.org/10.3905/jpm.2014.40.2.112