Journal•ISSN: 0095-4918
The Journal of Portfolio Management
Euromoney Institutional Investor
About: The Journal of Portfolio Management is an academic journal published by Euromoney Institutional Investor. The journal publishes majorly in the area(s): Portfolio & Asset allocation. It has an ISSN identifier of 0095-4918. Over the lifetime, 2681 publications have been published receiving 77760 citations. The journal is also known as: Journal of Portfolio Management.
Topics: Portfolio, Asset allocation, Diversification (finance), Equity (finance), Volatility (finance)
Papers published on a yearly basis
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TL;DR: The Sharpe Index as mentioned in this paper is a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ).
Abstract: . Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]).
2,513 citations
2,031 citations
TL;DR: In this paper, the authors define asset allocation as the allocation of an investor's portfolio across a number of ”major” asset classes, and propose an effective way to accomplish all these tasks is to use an asset class factor model.
Abstract: is widely agreed that asset allocation accounts for a large part of the variability in the return on a typical investor’s portfolio. This is especially true if the portfolio is invested in multiple funds, each including a number of securities. Asset allocation is generally defined as the allocation of an investor’s portfolio across a number of ”major” asset classes. Clearly such a generalization cannot be made operational without defining such classes. Once a set of asset classes has been defined, it is important to determine the exposures of each component of an investor’s overall portfolio to movements in their returns. Such information can be aggregated to determine the investor’s overall effective asset mix. If it does not conform to the desired mix, appropriate alterations can then be made. Once a procedure for measuring exposure to variations in returns of major asset classes is in place, it is possible to determine how effectively individual fund managers have performed their functions and the extent (if any) to which value has been added through active management. Finally, the effectiveness of the investor’s overall asset allocation can be compared with that of one or more benchmark, asset mixes. An effective way to accomplish all these tasks is to use an asset class factor model. After describing 7 5 w 8
1,533 citations
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TL;DR: In this paper, the authors claim that the answers to these questions are not obvious at all and that the harder we look at the dividend picture, the more it seems like a puzzle, with pieces that just don't fit together.
Abstract: W hy do corporations pay dividends? Why do investors pay attention to dividends? Perhaps the answers to these questions are obvious. Perhaps dividends represent the return to the investor who put his money at risk in the corporation. Perhaps corporations pay dividends to reward existing shareholders and to encourage others to buy new issues of common stock at high prices. Perhaps investors pay attention to dividends because only through dividends or the prospect of dividends do they receive a return on their investment or the chance to sell their shares at a higher price in the future. Or perhaps the answers are not so obvious. Perhaps a corporation that pays no dividends is demonstrating confidence that it has attractive investment opportunities that might be missed if it paid dividends. If it makes these investments, it may increase the value of the shares by more than the amount of the lost dividends. If that happens, its shareholders may be doubly better off. They end up with capital appreciation greater than the dividends they missed out on, and they find they are taxed at lower effective rates on capital appreciation than on dividends. In fact, I claim that the answers to these questions are not obvious at all. The harder we look at the dividend picture, the more it seems like a puzzle, with pieces that just don’t fit together.
1,431 citations
TL;DR: The basic theory and extensions of mean-variance analysis are discussed in Markowitz as discussed by the authors and Ziemba & Vickson [1975] and Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems.
Abstract: There is considerable literature on the strengths and limitations of mean-variance analysis. The basic theory and extensions of MV analysis are discussed in Markowitz [1987] and Ziemba & Vickson [1975]. Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems…
1,217 citations