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The Journal of Investing is a quarterly peer-reviewed academic journal that covers research on investment management, asset allocation, performance measurement, benchmarking, mutual funds, investing strategies such as 130/30 funds, global allocation, and practical investment ideas and portfolio strategies for the institutional buy-side such as pension funds.
The Journal of Portfolio Management is a quarterly academic journal for finance and investing, covering topics such as asset allocation, performance measurement, market trends, risk management, and portfolio optimization. [1] The journal was established in 1974 by Peter L. Bernstein. [2] The editor-in-chief is Frank J. Fabozzi (Yale University).
The International Journal of Theoretical and Applied Finance (IJTAF) was founded in 1998 and is published by World Scientific.The journal spans a wide range of topics focussing on the use of quantitative tools in finance, including articles on development and implementation of mathematical models, their industrial usage, and application of modern stochastic methods.
The standard form of the Omega ratio is a non-convex function, but it is possible to optimize a transformed version using linear programming. [4] To begin with, Kapsos et al. show that the Omega ratio of a portfolio is: = [() +] + The optimization problem that maximizes the Omega ratio is given by: [() +], (), =, The objective function is non-convex, so several ...
The Incremental Capital-Output Ratio (ICOR) is the ratio of investment to growth which is equal to the reciprocal of the marginal product of capital. The higher the ICOR, the lower the productivity of capital or the marginal efficiency of capital. The ICOR can be thought of as a measure of the inefficiency with which capital is used. In most ...
Calmar ratio; Capital adequacy ratio; Capital recovery factor; Capitalization rate; CASA ratio; Cash conversion cycle; Cash return on capital invested; Cash-flow return on investment; Cost accrual ratio; Current ratio; Cyclically adjusted price-to-earnings ratio
The Journal of Investment Management (JOIM) is a quarterly refereed journal which seeks to be a nexus of theory and practice of investment management. The Journal of Investment Management offers in-depth research with practical significance utilising concepts from the economics and accounting disciplines. [3] The editor is Gifford H. Fong ...
Robert Shiller's plot of the S&P 500 price–earnings ratio (P/E) versus long-term Treasury yields (1871–2012), from Irrational Exuberance. [1]The P/E ratio is the inverse of the E/P ratio, and from 1921 to 1928 and 1987 to 2000, supports the Fed model (i.e. P/E ratio moves inversely to the treasury yield), however, for all other periods, the relationship of the Fed model fails; [2] [3] even ...