Forthcoming articles


International Journal of Portfolio Analysis and Management


These articles have been peer-reviewed and accepted for publication in IJPAM, but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.


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International Journal of Portfolio Analysis and Management (4 papers in press)


Regular Issues


  • A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier   Order a copy of this article
    by Ali Gannoun, Hanene Ben Salah, Mathieu Ribatet 
    Abstract: The DownSide Risk (DSR) model for portfolio optimization allows to overcome the drawbacks of the classical Mean-Variance model concerning the asymmetry of returns and the risk perception of investors. This optimization model deals with a positive definite matrix that is endogenous with respect to the portfolio weights and hence yields to a non standard optimization problem. In this paper we develop a new method and algorithm to resolve the optimization problem and to get a smoother portfolio frontier. This method is based on nonparametric estimation, using kernel methods, of mean and median. The proposed approach is applied on the French and Brazilian stock markets.
    Keywords: DownSide Risk; Kernel Method; Nonparametric Estimation; Semivariance; Portfolio allocation.

  • Downside Risk Control and Optimal Investment Turnover around Financial Crises   Order a copy of this article
    by Ruilin Tian, Fariz Huseynov, Wei Zhang 
    Abstract: This paper investigates tactical investment strategies for investors to survive financial crises. Compared with the buy-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by restricting the left-tail volatility of portfolio returns through CVaR constraints. The paper also studies investors' optimal turnovers around a crisis under the buy-and-hold strategy. Considering investors' heterogeneous behaviors, we find the wealth-weighted average optimal turnover across all investors during a crisis is much higher than that before or after the crisis. This indicates investors who enter the market before a crisis may be better off by leaving their portfolios untouched during the market downturn. In addition, the downside risk control model can detect a market downturn earlier than the mean-variance model, therefore it helps to "spread out" the required asset adjustments over a longer horizon than the crisis period itself.
    Keywords: Financial crisis; Global diversification; Downside risk management; CVaR; Turnover.

  • Differentiating asset classes   Order a copy of this article
    by Dilip Madan 
    Abstract: Representing continuously compounded returns by their four bilateral gamma parameter estimates a multiclass classification support vector machine is trained on a sample less than one percent of the data to predict the asset class. The asset classes considered are equities, volatility, commodities, foreign exchange, credit, bond markets and hedge funds. Linear classification is observed to perform poorly. The use of seven binary learners makes some improvement and twenty one, one on one, binary learners deliver a good classification algorithm also performing well out of sample.
    Keywords: Bilateral Gamma Model; Digital Moment Estimation; Asset Allocation.

  • Efficiency of Capital Markets: A New Perspective on the Value Premium and Day-of-the-Week Effects   Order a copy of this article
    by William Procasky, Zubair Raja, Renee Oyotode 
    Abstract: Using daily returns for the first time and investigating a greater breadth of markets than ever before, we find no evidence of a value premium in either developed or emerging markets. This suggests the anomaly either has been exhaustively exploited or does not persist using more granular data. Also, using value-growth style investing preferences for the first time in examining the day-of-the-week effect, we find moderate to strong support for the existence of this anomaly in emerging markets only, mostly for value stocks. These results have practical implications for style, emerging market and anomaly based investors.
    Keywords: Market Efficiency; Stock Anomalies; Value Premium; Day of the Week Effect; International Financial Markets; Style Investing.