A major difference in returns from large-capitalization stocks, small-capitalization stocks,
various bond indexes, and cash followed elections won by Democratic and Republican …

Pension plans have frequently sought partial insulation from inflation effects by devoting a
fraction of their portfolios to real assets. The asset of choice has traditionally been real estate. …

Several different decisions, including asset allocation, security selection and market iming,
affect the return to a pension fund (or any investor). The impact of each type of decision can …

Presents an article in which the authors examined the daily price return patterns, in the S&P
500 from 1928 to 1993 to investigate the turn-of-the-month (TOM) phenomenon. Results of …

This paper explores the impact of adjustments to the inputs on total returns, terminal wealth,
and portfolio turnover in an unconstrained monthly mean-variance (MV) asset allocation …

The traditional approach to measuring the performance of international portfolios focuses
on the value added by management (relative to a given benchmark). This value added is …

Systematic violations of security market efficiency occur in equity markets because of the
timing and reaction to cash flows and other information, institutional constraints and policies, …

We present evidence on the turn-of-the-month effect using data on the S&P500 value-weighted
cash index from 1928-1993, with an update to the end of 1996. Following Ariel (1987), …

In the process of debating asset allocation numbers, the discussion has lost touch with
simple common sense. The authors use a common data set to evaluate different approaches, …

The paper reviews the advances that have been made in recent years in the understanding
of electrical transport in fully ionized molten salts, partly dissociated molecular liquids and …