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PORTFOLIO MANAGEMENT - Asset Allocation Models and Market Volatility - A simple one-factor model can explain a large portion of time variation in correlations.
Jacquier, Eric; Marcus, Alan J. - In: Financial analysts' journal : FAJ 57 (2001) 2, pp. 16-31
Persistent link: https://www.econbiz.de/10006277662
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PORTFOLIO MANAGEMENT - Geometric or Arithmetic Mean: A Reconsideration - Biases that result from using either past mean return for forecasting may paint too rosy a view of future portfolio growth.
Jacquier, Eric; Kane, Alex; Marcus, Alan J. - In: Financial analysts' journal : FAJ 59 (2003) 6, pp. 46-53
Persistent link: https://www.econbiz.de/10006250406
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PORTFOLIO MANAGEMENT - Optimal Portfolios in Good Times and Bad - Multivariate outliers can be used to structure portfolios that can weather turbulent markets
Chow, George; Jacquier, Eric; Kritzman, Mark; Lowry, Kenneth - In: Financial analysts' journal : FAJ 55 (1999) 3, pp. 65-73
Persistent link: https://www.econbiz.de/10006298090
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VALUATION - Default Parameter Estimation Using Market Prices - A new method for estimating recovery rates and default likelihoods explicitly incorporates equity prices and a liquidity premium.
Jarrow, Robert - In: Financial analysts' journal : FAJ 57 (2001) 5, pp. 75-92
Persistent link: https://www.econbiz.de/10006271965
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Large-trader impact and market regulation
Gastineau, Gary L. - In: Financial analysts' journal : FAJ 47 (1991) 4, pp. 40-51
Persistent link: https://www.econbiz.de/10001111205