Streetwise: The Best of The Journal of Portfolio Management

Published by Princeton University Press 1998

Streetwise

The Best of The Journal of Portfolio Management

Edited by: Peter L. Bernstein and Frank J. Fabozzi

https://doi.org/10.1515/9781400829408

Overview
Contents

About this book

Streetwise brings together classic articles from the publication that helped revolutionize the way Wall Street does business. During the recession of the early 1970s, investment professionals turned to the theories of a small band of mathematical economists, whose ideas on such topics as portfolio development and risk management eventually led to the reform and maintenance of entire economies. This was the first time economists and practitioners had joined forces to such remarkable effect. Economist and money manager Peter Bernstein sought to encourage this exchange when, in 1974, he founded The Journal of Portfolio Management (JPM). For this present volume, Bernstein and JPM editor Frank Fabozzi have selected forty-one of the most influential articles to appear in the journal over the past twenty-five years, some of them written by Nobel laureates and all aimed at stimulating dialogue between academic economists wishing to understand the real-world problems of finance and investment professionals wanting to bring the most advanced theoretical work to bear on commerce.

Financial economics is a youthful but vital field. Streetwise not only reflects its fascinating history but through articles on topics ranging from stock prices and risk management to bonds and real estate also offers relevant insights for today.

The contributors are: R. Akhoury, R. D. Arnott, G. L. Bergstrom, G. O. Bierwag, F. Black, R. Bookstaber, K. Cholerton, R. Clarke, D. M. Cutler, C. P. Dialynas, P. O. Dietz, D. H. Edington, M. W. Einhorn, J. Evnine, R. Ferguson, P. M. Firstenberg, H. R. Fogler, F. Garrone, R. Grieves, R. C. Grinold, D. J. Hardy, D. P. Jacob, B. I. Jacobs, R. H. Jeffrey, R. N. Kahn, G. G. Kaufman, M. Kritzman, R. Lanstein, C. M. Latta, M. L. Leibowitz, K. N. Levy, R. Lochoff, R. W. McEnally, K. R. Meyer, E. M. Miller, A. F. Perold, P. Pieraerts, J. M. Poterba, K. Reid, R. R. Reitano, R. Roll, B. Rosenberg, S. A. Ross, M. Rubinstein, A. Rudd, P. A. Samuelson, R. Schweitzer, C. Seix, W. F. Sharpe, B. Solnik, L. H. Summers, A. L. Toevs, J. L. Treynor, A. Weinberger, and R. C. Zisler.

Author / Editor information

Peter L. Bernstein is President of Peter L. Bernstein, Inc., economic consultants to institutional investors and corporations, and Consulting Editor of The Journal of Portfolio Management. His books include Capital Ideas: The Improbable Origins of Modern Wall Street and Against the Gods: The Remarkable Story of Risk.
Frank J. Fabozzi is Adjunct Professor of Finance in the School of Management at Yale University. He is the editor of The Journal of Portfolio Management and has written and edited numerous books on investment management. His most recent books include Investment Management and Bond Portfolio Management.

Reviews

"[This] volume of outstanding articles. . .should attract both practitioners who want to know what is relevant and useful in financial theory and theoreticians who would like to see how theory is used in practice."—Harry M. Markowitz, 1990 Nobel Laureate in Economics

Topics

Frontmatter Publicly Available Download PDF	i
Contents Publicly Available Download PDF	v
Streetwise
Introduction Peter L. Bernstein Requires Authentication Unlicensed Licensed Download PDF	1
PART ONE: Market Behavior
Challenge to Judgment (Fall 1974) Paul A. Samuelson Requires Authentication Unlicensed Licensed Download PDF	5
The Dividend Puzzle (Winter 1976) Fischer Black Requires Authentication Unlicensed Licensed Download PDF	10
The Capital Asset Pricing Model and the Market Model (Winter 1981) Ban Rosenberg Requires Authentication Unlicensed Licensed Download PDF	14
Factors in New York Stock Exchange Security Returns, 1931-1979 (Summer 1982) William F. Sharpe Requires Authentication Unlicensed Licensed Download PDF	26
What Hath MPT Wrought: Which Risks Reap Rewards? (Fall 1983) Robert D. Arnott Requires Authentication Unlicensed Licensed Download PDF	41
Persuasive Evidence of Market Inefficiency (Spring 1985) Ban Rosenberg, Kenneth Reid and Ronald Lanstein Requires Authentication Unlicensed Licensed Download PDF	48
What Moves Stock Prices? (Spring 1989) David M. Cutler, James M. Poterba and Lawrence H. Summers Requires Authentication Unlicensed Licensed Download PDF	56
The Complexity of the Stock Market (Fall 1989) Bruce I. Jacobs and Kenneth N. Levy Requires Authentication Unlicensed Licensed Download PDF	65
Beta and Return (Fall 1993) Fischer Black Requires Authentication Unlicensed Licensed Download PDF	74
PART TWO: Performance Measurement and Evaluation
Performance Evaluation and Benchmark Errors (Summer 1980) Richard Roll Requires Authentication Unlicensed Licensed Download PDF	85
The Trouble with Performance Measurement (Spring 1986) Robert Ferguson Requires Authentication Unlicensed Licensed Download PDF	95
How to Detect Skill in Management Performance (Winter 1986) Mark Kritzman Requires Authentication Unlicensed Licensed Download PDF	101
The Implementation Shortfall: Paper versus Reality (Spring 1988) Andre F. Perold Requires Authentication Unlicensed Licensed Download PDF	106
Continuously Rebalanced Investment Strategies (Fall 1991) Mark Rubinstein Requires Authentication Unlicensed Licensed Download PDF	112
PART THREE: Portfolio Strategy
A New Route to Higher Returns and Lower Risks (Fall 1975) Gary L. Bergstrom Requires Authentication Unlicensed Licensed Download PDF	117
A Global Approach to Money Management (Summer 1976) Francois Garrone and Bruno Solnik Requires Authentication Unlicensed Licensed Download PDF	125
How to Win at the Loser's Game (Fall 1978) Edward M. Miller Jr. Requires Authentication Unlicensed Licensed Download PDF	135
A New Paradigm for Portfolio Risk (Fall 1984) Robert H. Jeffrey Requires Authentication Unlicensed Licensed Download PDF	143
Latane's Bequest: The Best of Portfolio Strategies (Winter 1986) Richard W. McEnally Requires Authentication Unlicensed Licensed Download PDF	151
The Fundamental Law of Active Management (Spring 1989) Richard C. Grinold Requires Authentication Unlicensed Licensed Download PDF	161
The Sharpe Ratio (Fall 1994) William F. Sharpe Requires Authentication Unlicensed Licensed Download PDF	169
The Invisible Costs of Trading (Fall 1994) Jack L. Treynor Requires Authentication Unlicensed Licensed Download PDF	179
PART FOUR: Real Estate
Real Estate: The Whole Story (Spring 1988) Paul M. Firstenberg, Stephen A. Ross and Randall C. Zisler Requires Authentication Unlicensed Licensed Download PDF	187
PART FIVE: Fixed Income Portfolio Management
Breaking tradition in bond portfolio investment Madeline W. Einhorn Requires Authentication Unlicensed Licensed Download PDF	201
The Dividends from Active Bond Management (Spring 1975) Kenneth R. Meyer Requires Authentication Unlicensed Licensed Download PDF	209
Duration as a Practical Tool for Bond Management (Summer 1977) Richard W. McEnally Requires Authentication Unlicensed Licensed Download PDF	214
Goal Oriented Bond Portfolio Management (Summer 1979) Martin L. Leibowitz Requires Authentication Unlicensed Licensed Download PDF	219
The Challenge of Analyzing Bond Portfolio Returns (Spring 1980) Peter O. Dietz, H. Russell Fogler and Donald J. Hardy Requires Authentication Unlicensed Licensed Download PDF	225
The Art of Risk Management in Bond Portfolios (Spring 1981) G. O. Bierwag, George G. Kaufman, Robert Schweitzer and Alden Toevs Requires Authentication Unlicensed Licensed Download PDF	231
The Uses of Contingent Immunization (Fall 1981) Martin L. Leibowitz and Alfred Weinberger Requires Authentication Unlicensed Licensed Download PDF	241
Bond Indexation: The Optimal Quantitative Approach (Spring 1986) Christina Seix and Ravi Akhoury Requires Authentication Unlicensed Licensed Download PDF	246
Why Invest in Foreign Currency Bonds? (Summer 1986) Kenneth Cholerton, Pierre Pieraerts and Bruno Solnik Requires Authentication Unlicensed Licensed Download PDF	250
Duration Models: A Taxonomy (Fall 1988) G. O. Bierwag, George G. Kaufman and Cynthia M. Latta Requires Authentication Unlicensed Licensed Download PDF	255
Convexity and Exceptional Return (Winter 1990) Ronald N. Kahn and Roland Lochojf Requires Authentication Unlicensed Licensed Download PDF	260
Non-Parallel Yield Curve Shifts and Immunization (Spring 1992) Robert R. Reitano Requires Authentication Unlicensed Licensed Download PDF	265
Bond Yield Spreads: A Postmodern View (Fall 1992) Chris P. Dialynas and David H. Edington Requires Authentication Unlicensed Licensed Download PDF	273
PART SIX: Options and Futures
Options Can Alter Portfolio Return Distributions (Spring 1981) Richard Bookstaber and Roger Clarke Requires Authentication Unlicensed Licensed Download PDF	281
Option Portfolio Risk Analysis (Winter 1984) Jeremy Evnine and Andrew Rudd Requires Authentication Unlicensed Licensed Download PDF	291
The Use of Options in Performance Structuring (Summer 1985) Richard Bookstaber Requires Authentication Unlicensed Licensed Download PDF	296
Futures and Alternative Hedge Ratio Methodologies (Spring 1986) Alden L. Toevs and David P. Jacob Requires Authentication Unlicensed Licensed Download PDF	311
Hedging Corporate Bond Portfolios (Summer 1986) Robin Grieves Requires Authentication Unlicensed Licensed Download PDF	322