List of Publications
Our publications on reading matter in portfolio theory and economics.

Books

  • Asset Allocation: From Theory to Practice and Beyond, 2021, John Wiley & Sons, with W. Kinlaw & D. Turkington.
  • Practitioner’s Guide to Asset Allocation, 2017, John Wiley & Sons, with W. Kinlaw & D. Turkington.
  • The Role of Currency in Institutional Portfolios, 2014, Incisive Media (contributing author).
  • Optimizing Optimization, 2010, Elsevier Limited (contributing author).
  • The Portable Financial Analyst, 2nd edition, 2003, John Wiley & Sons.
  • Puzzles of Finance, paperback edition, 2002, John Wiley & Sons. Puzzles of Finance, 2000, John Wiley & Sons.
  • Currency Management: Concepts and Practices, 1996, AIMR, with R. Clarke.
  • Dictionary of Financial Risk Management, 1996 and 1999, Frank J. Fabozzi Associates, with G. Gastineau.
  • The Portable Financial Analyst, 1995, McGraw Hill.
  • Asset Allocation for Institutional Portfolios, 1990, Richard D. Irwin, Inc.
  • Quantitative Methods for Financial Analysis, 1987 and 1990, Dow Jones-Irwin, with S. Brown.

Peer-Reviewed Articles

  1. 1.
    "The Stock-Bond Correlation", with M. Czasonis and D. Turkington, The Journal of Portfolio Management, February 2021.
  2. 2.
    "Addition by Subtraction: A Better Way to Forecast Factor Returns (and Everything Else)", with M. Czasonis and D. Turkington, The Journal of Portfolio Management, September 2020.
  3. 3.
    "Enhanced Scenario Analysis", with M. Czasonis, B. Pamir, and D. Turkington, The Journal of Portfolio Management, March 2020.
  4. 4.
    "Target-Date Funds, Glidepaths, and Risk Aversion", with J. Estrada, The Journal of Wealth Management, Winter 2020.
  5. 5.
    "Crowded Trades: Implications for Sector Rotation and Factor Timing", with W. Kinlaw and D. Turkington, The Journal of Portfolio Management, July 2019.
  6. 6.
    "Private Equity Valuations and Public Equity Performance", with M. Czasonis and D. Turkington, The Journal of Alternative Investments, Summer 2019.
  7. 7.
    “Asset Allocation and Factor Investing: An Integrated Approach,” The Journal of Portfolio Management Quantitative Special Issue, 2018 with A. Bergeron and G. Sivitsky.
  8. 8.
    “Target-Date Funds: A Regime-Based Approach,” The Journal of Retirement, Summer 2017
  9. 9.
    “The Components of Private Equity Performance: Implications for Portfolio Choice,” The Journal of Alternative Investments, Fall 2015 with W. Kinlaw and J. Mao.
  10. 10.
    “The Divergence of High and Low-Frequency Estimation: Implications for Performance Measurement,” The Journal of Portfolio Management, Spring 2015 with W. Kinlaw and D. Turkington.
  11. 11.
    “Risk Disparity,” The Journal of Portfolio Management, Summer 2013.
  12. 12.
    “Liquidity and Portfolio Choice: A Unified Approach,” The Journal of Portfolio Management, Winter 2013 with W. Kinlaw and D. Turkington.
  13. 13.
    “Toward Determining Systemic Importance,” The Journal of Portfolio Management, Summer 2012, with W. Kinlaw and D. Turkington.
  14. 14.
    “Regime Shifts: Implications for Dynamic Strategies,” Financial Analysts Journal, May-June 2012, with S. Page and D. Turkington.
  15. 15.
    “Two Things about Performance Fees,” The Journal of Portfolio Management, Winter 2012.
  16. 16.
    “Long Live Quantitative Models!” Financial Analysts Journal, July-August 2011.
  17. 17.
    “The Graceful Aging of Mean-Variance Optimization,” The Journal of Portfolio Management, Winter 2011.
  18. 18.
    “Post-Crisis Investment Management,” Financial Analysts Journal, July-August 2011.
  19. 19.
    “The Future of Finance,” Journal of Investment Management, Fall 2009, with D.Chua and S. Page.
  20. 20.
    “Principal Components as a Measure of Systemic Risk,” The Journal of Portfolio Mangement, Summer 2011, with Y. Li, S. Page, and R. Rigobon.
  21. 21.
    “The Fallacy of 1/n,” Financial Analysts Journal , March-April 2010, with S. Page and D. Turkington.
  22. 22.
    “Skulls, Financial Turbulence, and Risk Management,” Financial Analysts Journal , September-October 2010, with Y. Li.
  23. 23.
    “The Myth of Diversification,” The Journal of Portfolio Management , Fall 2009, with D.Chua and S.
  24. 24.
    “Optimal Rebalancing: A Scalable Solution,” Journal of Investment Management , First Quarter 2009, with S. Myrgren and S. Page.
  25. 25.
    “Optimal Currency Hedging: In and Out of Sample,” The Journal of Asset Management, April 2009, with W. Kinlaw.
  26. 26.
    “Optimal Execution for Portfolio Transitions,” The Journal of Portfolio Management, Spring 2007, with S.Myrgren and S. Page.
  27. 27.
    “Implementation Shortfall: from Concept to Theory,” The Journal of Portfolio Management, Fall 2006, with S. Myrgren and S. Page.
  28. 28.
    “Are Optimizers Error Maximizers: Hype versus Reality?” The Journal of Portfolio Management, Summer 2006.
  29. 29.
    “Mean Variance versus Full Scale Optimization: In and Out of Sample,” The Journal of Asset Management, May 2006, with T. Adler.
  30. 30.
    “Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach,” The Journal of Investing, Winter 2006, with J.Estrada and S. Page.
  31. 31.
    “Canada Unbound: Removing the Foreign Content restriction Rules,” Canadian Investment Review, 2005 with S. Page.
  32. 32.
    “Re-engineering Investment Management,” The Journal of Portfolio Management, Fall 2004, with L. Thomas.
  33. 33.
    “Optimal Hedge Fund Allocations: Do Higher Moments Matter?” The Journal of Portfolio Management, Spring 2005, with J. Cremers and S. Page.
  34. 34.
    “Asset Allocation versus Security Selection: Evidence from Global Markets,” The Jounrnal of Asset Management, Winter 2003, with S. Page.
  35. 35.
    “The Hierarchy of Investment Choice: A Normative Interpretation,” The Journal of Portfolio Management, Spring 2003, with S. Page.
  36. 36.
    “Technology and the Infrastructure of Financial Flows,” International Finance, Volume 6, Number 3, Winter 2003.
  37. 37.
    “Portfolio Formation with Higher Moments and Plausible Utility,” working paper, with J-H Cremers and S. Page.
  38. 38.
    “The Mismeasurement of Risk,” Financial Analysts Journal, May-June 2002, with D. Rich.
  39. 39.
    “Value at Risk for Portfolios with Short Positions,” The Journal of Portfolio Management, Spring 2002, with G. Chow.
  40. 40.
    “Risk, Regimes, and Overconfidence,” The Journal of Derivatives, Spring 2001, with K. Lowry and A-S Van Royen.
  41. 41.
    “Risk Budgets,” The Journal of Portfolio Management, Winter 2001, with G. Chow.
  42. 42.
    “Currency Hedging and the Risk of Loss,” The Journal of Alternative Investments, Winter 2000.
  43. 43.
    “Toward Defining an Asset Class,” The Journal of Alternative Investments, Summer 1999.
  44. 44.
    “Optimal Portfolios in Good Times and Bad,” Financial Analysts Journal, May-June 1999, with G. Chow, E. Jacquier, and K. Lowry.
  45. 45.
    “Beware of Dogma: The Truth about Time Diversification,” The Journal of Portfolio Management Summer 1998, with D. Rich.
  46. 46.
    “Risk Containment for Investors with Multivariate Utility Functions,” The Journal of Derivatives, Spring 1998, with D. Rich.
  47. 47.
    Review of Pension Schemes and Pension Funds in the United Kingdom , by David Blake, The Journal of Finance , 1996.
  48. 48.
    “What Practitioners Need to Know… About Event Studies,” Financial Analysts Journal, November-December 1994.
  49. 49.
    “What Practitioners Need to Know… About Higher Moments,” Financial Analysts Journal, September-October 1994.
  50. 50.
    “What Practitioners Need to Know… About Hypothesis Testing,” Financial Analysts Journal , July- August 1994.
  51. 51.
    “What Practitioners Need to Know…About Future Value,” Financial Analysts Journal, May-June 1994.
  52. 52.
    “What Practitioners Need to Know…About Serial Dependence,” Financial Analysts Journal , March-April 1994.
  53. 53.
    “What Practitioners Need to Know… About Time Diversification,” Financial Analysts Journal, January-February 1994.
  54. 54.
    “What Practitioners Need to Know… About Monte Carlo Simulation,” Financial Analysts Journal, Novermber- December 1993.
  55. 55.
    “The Minimum-Risk Currency Hedge Ratio and Foreign Asset Exposure,” Financial Analysts Journal, September-October 1993.
  56. 56.
    “What Practitioners Need to Know…About The Term Structure of Interest Rates,” Financial Analysts Journal , September-October 1993.
  57. 57.
    “The Optimal Currency Hedging Policy with Biased Forward Rates,” The Journal of Portfolio Management, Summer 1993.
  58. 58.
    “What Practitioners Need to Know…About Return and Risk,” Financial Analysts Journal , May-June 1993.
  59. 59.
    “What Practitioners Need to Know… About Commodity Futures Contracts,” Financial Analysts Journal, March-April 1993.
  60. 60.
    “What Practitioners Need to Know… About Option Replication,” Financial Analysts Journal, July-August 1993.
  61. 61.
    “What Practitioners Need to Know…About Factor Models,” Financial Analysts Journal , January-February 1993.
  62. 62.
    “What Practitioners Need to Know…About Duration and Convexity,” Financial Analysts Journal, November- December 1992.
  63. 63.
    “What Practitioners Need to Know… About Optimization,” Financial Analysts Journal, September-October 1992.
  64. 64.
    “What Practitioners Need to Know… About Lognormality,” Financial Analysts Journal, January-February 1992.
  65. 65.
    “What Practitioners Need to Know… About Hedging,” Financial Analysts Journal, July-August 1992.
  66. 66.
    “What Practitioners Need to Know…About Utility,” Financial Analysts Journal , May-June 1992.
  67. 67.
    “What Practitioners Need to Know… About Currencies,” Financial Analysts Journal, March-April 1992.
  68. 68.
    “What Practitioners Need to Know….About Estimating Volatility, Part 2,” Financial Analysts Journal , September-October 1991.
  69. 69.
    “What Practitioners Need to Know… About Estimating Volatility, Part 1,” Financial Analysts Journal July-August 1991.
  70. 70.
    “What Practitioners Need to Know….About Regressions,” Financial Analysts Journal , May-June 1991.
  71. 71.
    “What Practitioners Need to Know…About Uncertainty,” Financial Analysts Journal , March-April 1991.
  72. 72.
    “What Practitioners Need to Know… About The Nobel Prize,” Financial Analysts Journal, Novermber-December 1989.
  73. 73.
    “A Simple Solution for Optimal Currency Hedging,” Financial Analysts Journal, November-December 1989.
  74. 74.
    “Serial Dependence in Currency Returns: Investment Implications,” The Journal of Portfolio Management , Fall 1989.
  75. 75.
    “TIPP: Insurance Without Complexity,” The Journal of Portfolio Management , Summer 1988, with P. Estep.
  76. 76.
    “How to Build a Normal Portfolio in Three Easy Steps,” The Journal of Portfolio Management , Summer 1987.
  77. 77.
    “Incentive Fees: Some Problems and Some Solutions,” Financial Analysts Journal, January-February 1987.
  78. 78.
    “How to Detect Skill in Management Performance,” The Journal of Portfolio Management , Winter 1986.
  79. 79.
    “Whats Wrong with Portfolio Insurance?” The Journal of Portfolio Management , Fall 1986.
  80. 80.
    “Can Bond Managers Perform Consistently?” The Journal of Portfolio Management , Summer 1983.

Working Papers

Last modified 3mo ago