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RISK MANAGEMENT - U.S. Corporate Pension Plans - Using the universe of the 200 largest corporate pension plans in 1998, the authors report their value at risk (VaR) estimates and perform peer group comparisons on the basis of sector, plan assets, funding status, asset allocation, and performance. The results indicate that VaR estimates differ significantly for this sample, ranging from about 10% ...

Gupta, Francis; Stubbs, Eric; Thambiah, Yogi - In: The journal of portfolio management : a publication of … 26 (2000) 4, pp. 65-72

Persistent link: https://www.econbiz.de/10006568640

VaR for Plan Sponsors

Stubbs, Eric; Gupta, Francis - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005134906

PERFORMANCE EVALUATION - The Information Ratio and Performance - When it comes to selecting managers, the predictors of alpha and performance persistence are of primary concern to investors. The authors find that it is more difficult for domestic asset class managers (small-cap is an exception) to outperform their respective benchmarks than it is for international asset class managers. ...

Gupta, Francis; Prajogi, Robertus; Stubbs, Eric - In: The journal of portfolio management : a publication of … 26 (1999) 1, pp. 33-39

Persistent link: https://www.econbiz.de/10006572543

Using Constraints to Improve the Robustness of Asset Allocation

Eichhorn, David; Gupta, Francis; Stubbs, Eric - In: The journal of portfolio management : a publication of … 24 (1998) 3, pp. 41-48

Persistent link: https://www.econbiz.de/10007357084

Entry & Exit: The Lifecyle of a Hedge Fund

Gimbel, Thomas; Gupta, Francis; Pines, Dan - EconWPA - 2004

Using data from the TASS/Tremont hedge fund database, this article performs an empirical analysis of the evolution of the hedge fund industry within an industrial organization framework.

Persistent link: https://www.econbiz.de/10005561436

Insulating Your Nest Egg in the Storm of Social Security Reform

Gupta, Francis; Eichhorn, David - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005134881

Market risk, size, style, momentum, and dividends : US equities

Gupta, Francis - In: The journal of portfolio management : a publication of … 39 (2012) 1, pp. 46-58

Persistent link: https://www.econbiz.de/10009670643

U.S. company earnings, earnings growth, and equity performance in the new millennium

Gupta, Francis - In: The journal of portfolio management : a publication of … 44 (2017) 1, pp. 112-125

Persistent link: https://www.econbiz.de/10011877537

THE MARKET - Toward an Optimal Domestic Large-Cap Equity Index

Seegopaul, Hamish; Gupta, Francis; Prestbo, John - In: The journal of portfolio management : a publication of … 32 (2005) 1, pp. 85-91

Persistent link: https://www.econbiz.de/10006544907

MARKET RISK, SIZE, STYLE, MOMENTUM, AND DIVIDENDS: U.S. Equities

Gupta, Francis - In: The journal of portfolio management : a publication of … 39 (2012) 1, pp. 46-59

Persistent link: https://www.econbiz.de/10010042934