Articles and Publications


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Articles and Publications – Jill Evans, J.D., MBA:

Jill E. Evans, The Rule of Repose: Charting Its Course Through Alabama Law, __ Am. J. of Trial Adv. ___ (forthcoming)

Jill E. Evans, See Repose Run: Setting the Boundaries of the Rule of Repose in Environmental Trespass and Nuisance Cases, 38 Wm. & Mary Envtl. L. & Pol’y Rev. 119 (2013)

Jill E. Evans, In Search of Paternal Equity: A Father’s Right to Pursue a Claim for Misrepresentation of Fertility, 36 Loy.U. Chi. L.J. 1045 (2005)

Co-author, Manual for Complex Litigation 4th Spring, 2004 (Federal Judicial Center)(RICO, Securities, Scientific Evidence, CERCLA, Intellectual Property, Employment Discrimination)

Jill E. Evans, Scientific Evidence and the Manual for Complex Litigation 4th, 36 Antitrust Magazine

Jill E. Evans, The Lawyer As An Enlightened Citizen: Towards A New Regulatory Model in Environmental Law, 24 Ver. L. Rev. 1 (2000)

Jill E. Evans, Challenging the Racism in Environmental Racism: Redefining the Concept of Intent, 40 Ariz. L. Rev. 1219 (1998)

Articles and Publications – Kathryn Wilkens, Ph.D., CAIA:

Wilkens‐Christopher, K. Editor. CAIA Level II: Advanced Core Topics in Alternative Investments, Donahue, M., Garay, U., Jaffarian, E., L’habitant, F., Mathonet, P‐Y., Meyer, T., Spurgin, R. and Stevenson, S., John Wiley & Sons, 2009

Wilkens‐Christopher, K., Preface for CAIA Level I: An Introduction to Core Topics in Alternative Investments, by Mark Anson, John Wiley & Sons, 2009.

Wilkens‐Christopher, K. CAIA Level II: Integrated Topics and Applications, 2010‐2011, Institutional Investor, 2009.

Wilkens‐Christopher, K. CAIA Level II: Current and Integrated Topics, 2009‐2010, Institutional Investor, NY, 2009.

Wilkens, K. CAIA Level II: Integrated Topic Readings, (2008‐2009, 2007‐2008, 2006‐2007), Institutional Investor, NY.

Wilkens, K. Lacey , N., Gupta, B., and J. McCreanor, CAIA Level II: Advanced Topic Readings, 2005‐2006, with Institutional Investor, NY, 2005.

CAIA Level I Study Guide and CAIA Level II Study Guide: Semi‐annually, February 2003‐2009. CAIA Association, Amherst, MA.

KalmNotes Study Guides and KalmPrep Software: February 2003, July 2003, February 2004, July 2004, February 2005, July 2005, March 2006, KalmAI, Inc.

Wilkens, K., “Ethics, Sound Practices and Valuation Guidelines,” Chapter 7 in The Euromoney Hedge Funds & Alternative Investments Handbook. London, UK, 2008.

Gupta, Bhaswar and K. Wilkens. “An Evaluation of the Commodity Exposure in Commodity Trading Advisors,” in Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Making, Edited by Hilary Till and Joseph Eagleeye, Risk Books 2007.

Heck, J. L., Wilkens, K., & Cochran, S. “Effects of Mean Reversion on Alternative Investment Strategies,” Managerial Finance, Vol. 32, No. 1 (2006) pp. 14‐38.

Chambers, D. and K. Wilkens. “Absolute Performance and Correlation Persistence of Hedge Funds Returns: An Analysis Using the CISDM Database,” in Hedge Funds and Managed Futures – The Handbook for the Institutional Investor, Edited by Greg N. Gregoriou and Dieter Kaiser, Risk Books 2006.

Wilkens, Kathryn. “Hedge Fund Indices: Are They Cost‐Effective Alternatives to Fund of Funds?” in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Edited by Greg N. Gregoriou, Elsevier Press 2006.

Heck, J. L., Wilkens, K., & Cochran, S. “Risk and Return Properties of Portfolios Based on Directional Forecasts,” Managerial Finance, Vol. 31 No. 8. (2005) pp. 58‐76.

Wilkens, Kathryn, C. Morales, and L. Roman, “Maximum Drawdown Distributions with Volatility Persistence,” in Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, eds. Gregoriou, Hubner, Papageorgiou and Rouah, John Wiley and Sons, Inc. 2005, pp. 245‐5.

Warsager, R., Ryan Duncan, and Kathryn Wilkens, “A Comparison of Two Hedge Fund Strategies: CTA and Global Macro,” The AIMA Journal, June 2004, (Part I) and
September 2004, (Part II).

Wilkens, K., K. Makhurjee, and G. Darling, “Commodity Trading Advisor Performance Evaluation with Data Envelopment Analysis,” in Commodity Trading Advisors: Risk, Performance Analysis and Selection, eds. Gregoriou, Karavas, Rouah, and L’Habitant, John Wiley and Sons, Inc. 2004, pp. 79‐104.

Wilkens, Kathryn, and Joe Zhu, “Classifying Hedge Funds Using Data Envelopment Analysis,” in Hedge Funds in a Black Box: A Quantitative Approach, eds. G.N. Gregorious, V.N. Karavas, and F. Rouah, Beard Books, Baltimore, Maryland, 2003, pp. 161‐75.

Wilkens, K. N.D. Thomas, and M. S. Fofana, “Stability of Technology Stock Prices: Evidence of Rational Expectations or Irrational Sentiment?” Managerial Finance.
Vol. 30, No. 12, (June 2003), pp. 33‐54.

Bailey, Barrie A., J. L. Heck, and K. Wilkens. “International Mutual Fund Performance and Political Risk,” Review of Pacific Basin Financial Markets and Policies, Vol. 8, No. 1, (2005), pp. 167‐84.

Bianco, C., P. Clarke, and K. Wilkens. “Lucent Technologies: Growth Projections, Analyst Recommendations, and Financial Distress. A Case Analysis,” Advances in Financial Education, (Fall 2003), pp. 94‐110.

Wilkens, K. “A Discussion Based Exercise Emphasizing the Role of Scientific Methods in Finance,” The Journal of Financial Education, Vol. 29, (Summer 2003), pp. 98‐ 107.

Wilkens, Kathryn and J. Zhu, “Portfolio Evaluation and Benchmark Selection: A Mathematical Programming Approach,” The Journal of Alternative Investments, Vol. 4, No. 1, (Summer 2001), pp. 9‐20.

Wilkens, K. “Evidence on Risk/Return Patterns in Cash and Futures Markets for Systematic Alternative Investment Strategies,” The Journal of Alternative Investments, Vol. 2, No. 1, (Fall 2000), pp.45‐67.

Glazier, Jason and K. Wilkens. “Skill and Turnover: Requirements for Investment Performance,” The Journal of Alternative Investments, Vol. 2, No. 1, (Summer 1999), pp. 22‐33.

Articles and Publications – Edward Szado, Ph.D, CFA:

PEER REVIEWED PUBLICATIONS
“Option-Informed Stock Picking,” with Hossein Kazemi and Thomas Schneeweis, Journal of Alternative Investments, Forthcoming 2017

“Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds,” with Keith Black, Journal of Wealth Management, Summer 2016, Vol. 19, No. 1, pp. 51-69

“Managed Futures Research: A Composite CTA Performance Review,” with Thomas Schneeweis and Richard Spurgin, Journal of Alternative Investments, Winter 2013, Vol. 15, No. 3, pp. 32-61

“15 Years of the Russell 2000 Buy-Write,” with Nikunj Kapadia, Journal of Investing, Winter 2012, Vol. 21, No. 4: pp. 59–80

“Hedge Fund Return-Based Style Estimation Models: A Review of Comparison Hedge Fund Indices,” with Thomas Schneeweis and Hossein Kazemi, Journal of Alternative Investments, Fall 2012, Vol. 15, No. 2, pp. 24-53

“Hedge Fund Database “Deconstruction”: Are Hedge Fund Databases Half Full or Half Empty?” with Thomas R. Schneeweis, and Hossein Kazemi, Journal of Alternative Investments, Fall 2011, Vol. 14, No. 2, pp. 65-88

”Defining Speculation: The First Step toward a Rational Dialogue,” Journal of Alternative Investments, Summer 2011, Vol. 14, No. 1, pp. 75-82. Second most downloaded paper in the history of the Journal as of February 2016.

“Loosening Your Collar – Alternative Implementations of QQQ Collars,” with Thomas Schneeweis, Journal of Trading, Spring 2010, Vol. 5, No. 2, pp. 35-56

“Madoff: A Footprint in the Returns,” with Thomas Schneeweis, Journal of Alternative Investments, Spring 2010, Vol. 12, No. 4, pp. 7-19

“VIX Futures and Options – A Case Study of Portfolio Diversification During the 2008 Financial Crisis,” Journal of Alternative Investments, Fall 2009, Vol. 12, No. 2, pp. 68-85

“Collaring the Cube: Protection Options for a QQQ ETF Portfolio,” with Hossein Kazemi, Journal of Alternative Investments, Spring 2009, Vol. 11, No. 4, pp. 24-42

“Benefits of Private Equity,” with Thomas Schneeweis and Raj Gupta, Journal of Investment Consulting, Volume 9, (1), Fall 2008, pp 27-35

“Performance Characteristics of Hedge Fund Replication Programs,” with Raj Gupta and William Spurgin, Journal of Alternative Investments, Fall 2008, Vol. 11, No. 2, pp. 61-68

“Hedge Fund Legal Structures and Their Impact on Performance,” with Raj Gupta, Alternative Investment Quarterly, Issue 27, Second Quarter 2008, pp. 23-37

“Benefits of Commodity Investing,” with Thomas Schneeweis and Raj Gupta, Investments and Wealth Monitor, March/April 2008, pp. 14-24

“The Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index,” with Nikunj Kapadia, Journal of Alternative Investments, Spring 2007, Vol. 9, No. 4, pp. 39-56

BOOK CHAPTERS AND OTHER PUBLICATIONS
CFA Level III: CFA Reading 24: Alternatives Investments Portfolio Management, with Jot K. Yau, Thomas Schneeweis, Thomas Robinson, and Lisa Weiss. Forthcoming.

CAIA level II: Alternative Investments, 3rd ed., Hossein B. Kazemi, Keith H. Black, Donald R. Chambers, Editors, CAIA Knowledge Series. Hoboken, NJ: Wiley, 2016, Chapters 22, 23, and 24.

“What a Difference a Day, Week, Month Makes – The Convertible Arbitrage Case Across Economic Environments,” with Thomas Schneeweis and Hossein Kazemi, Alternative Investment Analyst Review, Q2 2013, Vol. 2, No. 1, pp. 66-81

CAIA level II: Advanced Core Topics in Alternative Investments, 2nd ed., Keith H. Black, Donald R. Chambers, and Hossein Kazemi, Editors, CAIA Knowledge Series. Hoboken, NJ: Wiley, 2012, Chapters 23, 24, 25 and 26.

“Setting the Benchmark: Spotlight on Private Equity,” with Gitanjali M. Swamy, Irina Zeltser and Hossein Kazemi, Alternative Investment Analyst Review, Q1 2012, Vol. 1, No. 1, pp. 1-18

“Collaring Your Portfolio,” Active Trader Magazine, December 2009

“Hedge Fund Legal Structures and Their Impact on Performance,” with Raj Gupta, Chapter 4 of The Capital Report on Seeding and Incubation of Hedge Funds, ISI publications, 2008, pp. 31-47

Articles and Publications  – Thomas Schneeweis, Ph.D:

BOOKS

Financial Futures: Fundamentals, Strategies, and Applications. (co-authored: Joanne Hill, E. Schwarz) Richard Irwin, 1986.

Applications in Finance, Investments and Banking (co-editor: Diem Ho) Kluwer, 1999.

Handbook of Alternative Investments: An Investors’ Guide (co-author: Joe Pescatore) Institutional Investor. 1999.

The New Science of Asset Allocation (co-authors: Garry Crowder, Hossein Kazemi) John Wiley, 2010.

Postmodern Investment (co-authors: Garry Crowder, Hossein Kazemi) JohnWiley, 2012.

Risk Management in a Multi-Asset World – Collaring Multi-Asset ETF Positions (co-author: E. Szado) INGARM, 2012.

 

PAPERS PUBLISHED

Alternative Investments

“Survivor Bias in Commodity Trading Advisor Performance,” (co-authors: Richard Spurgin and David McCarthy) Journal of Futures Markets Vol. 16, No. 7 (October, 1996), 757-772.

“Investment in CTAs: An Alternative Managed Futures Investment,” (co-authors: Richard Spurgin and David McCarthy) Journal of Derivatives, Vol.3, No.4 (Summer, 1996), 36-47.

“Managed Futures and Hedge Fund Investment for Downside Equity Risk Management,” (co-authors: Richard Spurgin and M. Potter) Derivatives Quarterly, Vol. 3, No. 1 (Fall, 1996), 62-72.

“The Benefits of Managed Futures,” (co-author: Richard Spurgin) in Peters and Warwick eds.

The Handbook of Managed Futures (Irwin, 1997), 17-48.

“Informational Content in Historical CTA Performance,” (co-authors: Richard Spurgin and D. McCarthy) Journal of Futures Markets (May, 1997), 317-340.

“Comparisons of Commodity and Managed Futures Benchmark Indices,” (co-author: Richard Spurgin) Journal of Derivatives (Summer, 1997), 33-50.

“Return Interval Selection and CTA Performance Analysis,” (co-authors: D. McCarthy, G. Martin), Derivatives Quarterly (Summer, 1997), 73-82.

“Dealing with Myths of Managed Futures,” The Journal of Alternative Investments,” (Summer, 1998), 9-17.

“A Comparison of Return Patterns in Traditional and Alternative Investments”(co-author: Richard Spurgin) in Sohail Jaffer ed. Alternative Investment Strategies (Euromoney, 1998), 157-188.

“Multi-Factor Analysis of Managed Futures, Hedge Funds, and Mutual Funds Return Estimation,” The Journal of Alternative Investments (Fall, 1998), 1-24.

“Evidence of Superior Performance Persistence in Hedge Funds: An Empirical Comment,” The Journal of Alternative Investments (Fall, 1998), 76-80.

“Dealing with Myths of Hedge Fund Investment,” The Journal of Alternative Investments (Winter, 1998), 11-15.

“Quantitative Analysis of Hedge Fund and Managed Futures Return and Risk Characteristics” in P. Lake ed. Evaluating and Implementing Hedge Fund Strategies (Euromoney, 1999), 262-274.

“Alternative Investments in the Institutional Portfolio,” (co-author: Richard Spurgin) in Schneeweis and Pescatore ed. The Handbook of Alternative Investment Strategies (Institutional Investor, 1999), 205-215.

“Traditional and Alternative Investments: Market Structure, Product Structure, and Security Design,” (co-author: Richard Spurgin), The Journal of Alternative Investments (Fall, 1999), 9-31.

“Alpha, Alpha . . . Whose Got the Alpha,” (co-author: Richard Spurgin), The Journal of Alternative Investments (Winter, 1999), 83-87.

“Alternative Investments: Past, Present and Future,” (co-author: Jim Bernard), The Capital Guide to Alternative Investments (ISI Publications, 2000), 3-16.

“The Investment Benefits of the LME Index”, (co-author: Richard Spurgin), The Journal of Alternative Investments (Summer, 2000), 21-31.

“Hedge Funds: Risk diversifiers, return enhancers or both?” (co-author: Richard Spurgin), European Fund Management Journal (Fall, 2000).

“Estimating Changing Correlation Patterns and Its application to Hedge Funds,” (co-author: Richard Spurgin), Journal of Asset Management (January, 2001), 217-230.

“Hedge Funds: Where to in the Future”, The Capital Guide to Fund Investment (ISI  Publications, Spring, 2001).

“Alternative Investments: Past, Present and Future,” (co-author: Jim Bernard), The Capital Guide to Alternative Investments (ISI Publications, 2000), 3-16.

“The Investment Benefits of the LME Index”, (co-author: Richard Spurgin), The Journal of Alternative Investments (Summer, 2000), 21-31.

“Estimating Changing Correlation Patterns and Its application to Hedge  Funds,” (co-author: Richard Spurgin), Journal of Asset Management (January, 2001), 217-230.

“The Benefits of Index Option-Based Strategies for Institutional Portfolios”,” The Journal of Alternative Investments” (co-author: R. Spurgin), Vol. 3, No. 4, (Spring 2001), 44-52.

“Hedge Funds: Where to in the Future”, The Capital Guide to Fund Investment (ISI Publications, Spring, 2002).

“Managed Futures” Handbook of Alternative Investments, John Wiley, New York, 2002, 17 pages.

“Fund of Funds: Creation, Monitoring, and Managing, (co-authors: Kazemi, and Spurgin)

Euromoney Fund of Funds, 2002. 24 pages.

“Financial Futures” Handbook of Modern Finance, (co-author: Yau), Warren Gorman, and Lamont, Chapter 12, 2002, 47 pages.

“Understanding Hedge Fund Performance: Research Issues Revisited-Part I,” (co-authors: Kazemi and Martin), The Journal of Alternative Investments, 5 (2002), 6-22.

“Eurex Derivative Products in Alternative Investments: The Case for Hedge Funds” (co-authors: Kazemi and Karavas), Eurex (November, 2003).

“Understanding Hedge Fund Performance: Research Issues Revisited —Part II,” (co-authors: Kazemi, and Martin) The Journal of Alternative Investments, 7 (Spring 2003), 8-30.

“Omega as a Performance Measure”, (co-author: Kazemi and Gupta), Journal of Performance Measurement, (Spring 2004) – Volume 8 – Number 3.

“The Impact of Leverage on Hedge Fund Risk and Return,” (co-authors: Martin, Kazemi, and Karavas) The Journal of Alternative Investments, 9 (2005), 10-21.

“Diversification in Fund of Hedge Fund Investment: How Many Hedge Fund Managers Are Enough To Represent a Strategy?” (co-authors: Karavas and DuBose) Hedge FundsWorld (2005).

“Understanding the Sources of Hedge Fund Returns,” (co-authors: Karavas, DuBose and Machayya) Hedge funds and Alternative Investments Handbook (Euromoney, 2006).

“Where Academics and Practitioners got it Wrong”, Alternative Investment Quarterly (Second Quarter, 2006), 17-23.

“Early Reporting Effects on Hedge Fund and CTA Returns”, Journal of Alternative Investments (Fall, 2006).

“Timely Execution: Evidence From Physicals Futures Markets,” (co-authors: Spurgin, and Gupta), Journal of Trading Vol.1 No. 3, (2006), 73-81.

“Understanding the Sources of Hedge Fund Returns” (co-authors: Karavas, DuBose and Machayya) in Hedge Funds and Alternative Investments. Euromoney (2006), 15-30.

“Angels and Demons: Demystifying Investible Hedge Fund Indices”. (co-authors: Karavas and Grasic) in Hedge Funds: Crossing the Institutional Frontier (2006), 135-150.

“Hedge Fund Incubation, Development, and Performance ” (co-authors: Gupta and Martin). In Journal of Asset Management (Oct. 2007).

“Alternative Investments: Myths versus Reality, Seeding and Incubation of Hedge funds” ISI, (2008), 11-18.

“CTA/Managed Futures Benchmarks” Handbook of Commodity Investing, John Wiley, (2008).

“Momentum in Asset Returns: Are Commodity Returns A Special Case” (co-authored) Journal of Alternative Investments, (Spring, 2008), 23-36.

“Madoff: A Returns Based Analysis,” (Co-author: Ed Szado), Journal of Alternative Investments, Vol. 12, No. 4: (Spring 2010), 7-19.

“Loosening Your Collar: Alternative Implementations of QQQ Collars,” (co-author: Ed Szado) Journal of Trading, , Vol. 5, No. 2, (Spring 2010), 35-56.

“Hedge Fund Database “Deconstruction”: Are Hedge Fund Databases Half Full or Half Empty?” (co-authors: Hossein Kazemi, and Edward Szado) The Journal of Alternative Investments, Vol. 14, No. 2, (Fall 2011), 65-88.

“Asset Class and Strategy Investment Tracking Based Approaches” (co-authors: Garry B. Crowder, Hossein Kazemi) The Journal of Alternative Investments, Vol. 13, No. 3, (Winter 2011), 81-101.

“Hedge Fund Return-Based Style Estimation Models: A Review on Comparison Hedge Fund Indices,” (co-authors: H. Kazemi, E. Szado) Journal of Alternative Investments (Fall, 2012).

“Where Academics/Practitioners Get It Wrong: An Open Letter” Alternative Investment Analyst Review (Fall, 2012).

“Managed Futures Return-Based Style Estimation Models: A Review on Comparison CTA Fund Indices,” (co-authors: H. Kazemi, E. Szado) Journal of Alternative Investments (Winter, 2013).

“The Use of IRR in Hedge Fund Analysis: Buyer Beware” (co-authors: H. Kazemi and E. Szado), Alternative Investment Analyst Review (2013).

“Issues in Hedge Fund Analysis: What a Difference A Day, Week, Month Makes,” (co-authors: H. Kazemi, and E. Szado) Alternative Investment Analyst Review (2013).

International Finance

“Time Series Analyses of International Dollar Denominated Interest Rates,” (co-author: Joe Finnerty), Journal of International Business Studies (Spring/Summer, 1979), 39-52.

“Co-movement of International Asset Returns,” (co-author: Joe Finnerty), Journal of International Business Studies (Winter, 1979), 66-78.

“Interest Rates in the Eurobond Market,” (co-authors: Joe Finnerty, S. Hedge), Journal of Financial and Quantitative analysis (Sept. 1980), 743-756.

“A Note of the Co-movement of International Equity and Bond Markets,” (co-author: Joanne Hill), Financial Review (Winter, 1980), 30-38.

“Forecasting Effectiveness of Foreign Currency Futures,” (co-author: Joanne Hill), Business Economics (May, 1981), 42-46.

“Structure of Eurodollar Interest Rates,” (co-author: Joe Finnerty), Nebraska Journal of Economics and Business (Autumn, 1981), 51-62.

“A Note on the Hedging Effectiveness of Pound and Mark Forward and Futures Markets,” (coauthor: Joanne Hill), Journal of Futures Markets (Winter, 1981), 659-664.

“The Hedging Effectiveness of Foreign Currency Futures”, (co-author: Joanne Hill), Journal of Financial Research (Spring, 1982), 95-104.

“Forecasting and Hedging Effectiveness of Pound and Mark Forward and Futures Markets,” (co-author: Joanne Hill), Management International Review, Vol. 22, No. 1, (1982), 43-52.

“International Diversification of Equity and Fixed-Income Securities,” (co-author: Joanne Hill), Journal of Financial Research (Winter, 1983), 333-343.

“Determinants of Profitability: An International Comparison,” Management International Review, Vol. 23, No. 2, (1983), 15-21.

“International versus National Equity Investment: A Comparison,” (co-author: Joanne Hill), Management International Review, Vol. 24, No. 2, (1984), 38-49.

“International Trade and Market Structure,” Journal of International Business Studies (Summer 1985), 139-152.

“Exchange Rates: Government, Moral, or Market Order,” (co-author: Sidney Sufrin), Journal of International Economic Integration (Autumn, 1986), 123-131.

“International Diversification: A Further Analysis,” (co-authors: Joanne Hill, Jot Yau), Advances in Financial Planning and Forecasting: International Dimensions (Volume 4 1990), 197-214.

“Closed-End Country Funds: Exchange Rate and Investment Risk,” (co-authors: Gordon Johnson, W. Dinning) Financial Analyst Journal (November-December, 1993), 74-82.

Corporate Finance and Investments

“A Note on the Study of Interest Rate Seasonality,” (co-author: J.R. Wooldridge), Business Economics 3 (May, 1979), 28-32.

“Capital Market Seasonality: The Case of Bond Returns,” (co-author: J.R.Wooldridge), Journal of Financial and Quantitative Analysis (December, 1979), 939-958.

“The Meaning of the Mean,” (co-authors: Carl Schweser, Robert M. Soldofsky), Journal of Portfolio Management 3 (Summer, 1979), 23-27.

“The Effect of Interval Selection on the Parameters of the Market Model as Applied to Bond Returns,” (co-author: Joanne Hill), Financial Review (Fall, 1979), 34-60.

“A Note on the Usefulness of Bond Ratings as Measures of Systematic Risk,” (co-author: Carl Schweser), Nebraska Journal of Economics and Business, (Winter, 1980), 62-71.

“Risk-Return and the Multi-Dimensional Security Pricing Model,” (co-author: Carl Schweser), Journal of Financial Research (Spring, 1980), 23-33.

“Diversification and Portfolio Size for Fixed Income Securities,” (co-author: Joanne Hill), Journal of Economics and Business (Winter, 1980), 115-121.

“Risk and Return for New England Public Utilities,” (co-author: Joanne Hill), New England Journal of Economics and Business (Fall, 1980), 1-14.

“Capital Market Efficiency in Fixed Income Securities,” (co-author: Ben Branch), Review of Business and Economic Research (Winter, 1980), 34-42.

“Research Design for Systematic Risk Prediction,” (co-authors: Pieter Elgers, Joanne Hill), Journal of Portfolio Management (Spring, 1982), 43-52.

“A Note on the Effect of the TMI on Electric Utilities,” (co-author: Joanne Hill), Journal of Finance, (September, 1983), 1285-1292.

“The Determinants of Risk and Return for Electric Utility Equity Issues,” (co-authors: Ben Branch, Alan Gleit), Quarterly Journal of Business and Economics (Winter, 1984), 16-31.

“Corporate Bond Price Data Sources and Return/Risk Measurement,” (co-authors: Joanne Hill and Ken Nunn), Journal of Finance and Quantitative Analysis (June 1986), 197-208.

“Pitfalls in Bond Trading,” (co-author: Ben Branch), AAII Journal (July, 1986), 13-15.

“Market Movements and Technical Market Indicators,” (co-author: Ben Branch), Mid-Atlantic Journal of Business (Summer, 1986), 31-41.

“Close-Form Solutions of Convexity and M-Square,” (co-authors: Sanjay Nawalkha and Nelson Lacey) Financial Analyst Journal (January/February, 1990), 75-77.

“Jump-Diffusion Processes in the Foreign Exchange Markets and The Release of Macroeconomic News,” Journal of Computational Economics (Vol. 7, 1994), 309-329.

Derivative and Capital Markets

“The Use of Interest Rate Futures in Corporate Financing and Security Investment,” (co-author: Joanne Hill, Proceedings International Futures Trading Seminar, Vol. VII (Chicago Board of Trade, 1980).

“Risk Reduction Potential of Financial Futures for Corporate Bond Positions,” (co-author: Joanne Hill), in G. Gay and R.W. Kolb eds. Interest Rate Futures: Comprehensive Anthology (Dame, Inc., Richmond, VA, 1982).

“Commentary: Measurement and Methodology: Problems in Hedge Ratio Determination,” Review of Research in Futures Markets, Vol. 1, No. 2 (1982), 127-129.

“An Analysis of the Impact of Variation Margin in Hedging Fixed-Income Securities,” (co-authors: Bob Mayerson and Joanne Hill) Review of Research in Futures Markets, Vol. 2, No. 1 (1983), 136-159.

“Hedge Ratio Determination Based on Bond Yield Forecasts,” (co-authors: Joanne Hill and Michael Philipp) Review of Research in Futures Markets, Vol. 2, No. 3 (1983), 338-350.

“Financial Futures Markets,” (co-author: Lloyd Besant) in D. Logue ed. Handbook of Modern Finance (Warren, Gorman, and Lamont, 1984), 12.1-12.46.

“On The Estimation of Hedge Ratios for Corporate Bond Positions,” (co-author: J. Hill) in F. Fabozzi (ed.) Advances in Financial Planning and Forecasting (1985), 307-323.

“Hedge Ratio Determination for Financial Futures: Measurement and Methodology,” (co-author: Lloyd Besant) in D. Logue ed. Handbook of Modern Finance (Warren, Gorman, and Lamont, 1986), 12.1-12.28.

“International Risk Reduction with Financial and Foreign Currency Futures,” (co-author: Joanne Hill), in F. Fabozzi ed. Advances in Futures and Options Research (1986), 113-135.

“Commentary: The Use of Generalized Duration Measures in Financial Futures Hedging,” Research in Futures Markets, Vol. 6, No. 1 (1986), 109-110.

“The Quality Option and the Timing Option in Futures Contracts: A Commentary,” in John Hore ed. Proceedings of the Third Canadian International Futures Research Seminar, (1987), 51-58.

“Risk/Return Characteristics of Portfolios Combining Commodity Futures Contracts with Common Stocks: A Commentary,” Research in Futures Markets Vol. 6, No. 3 (1987), 426-427.

“The Weekend Effect for Stock Indexes and Stock Index Futures: Dividend and Interest Rate Effects,” (co-author: Fred Phillips-Patrick Journal of Futures Markets (February, 1988), 115-122.

“TEDS and TRIGGERS: A Review and Analysis,” in John Hore ed. Proceedings of the Fourth Canadian International Futures Research Seminar (1989), 89-96.

“Globalization of Financial Futures: Review and Analysis,” in John Hore ed. Proceedings of the Fourth Canadian International Futures Research Seminar (1989), 3-16.

“Stock Index and Futures Markets in Pacific-Basin Countries in Hong Kong: Before and After the Crash,” (co-authors: J. Yau and K. Yung) in S.G. Rhee and R.P. Chang eds. Pacific-Basin Capital Markets Research (North Holland, 1990), 357-78.

“Risk Management with Futures and Options in Investment Banking Activities,” (co-author: Joanne Hill) in Investing and Risk Management ed. in Robert Kuhn (Dow Jones, 1990), 595-618.

“Multi-Manager Commodity Funds,” in John Hore ed. Proceedings of the Fifth Canadian International Futures Research Seminar (1990), 115-155.

“International Trading Time/Non-Trading Time Effects on Risk Estimation in Futures Markets,” (co-authors: J. Hill and J. Yau) Journal of Futures Markets (August, 1990), 407-424.

“Financial Futures Markets: International Dimensions,” (co-author: Jot Yau) in D. Logue ed. Handbook of Modern Finance (Warren Gorham and Lamont, 1990), 12.1-12.15.

“The Analysis of the Effectiveness of the Nikkei 225 Futures Contract in Risk-Return Management,” (co-authors: Jot Yau, J. Hill) Global Finance Journal (Fall, 1990), 255-276.

“The Effect of Alternative Return Measures in Financial Futures Research,” (co-authors: J. Yau and U. Savanayana) in Frank Fabozzi ed. Advances in Futures and Options Research Vol. 4 (1990), 283-297.

“Alternative Commodity Trading Vehicles: A Performance Analysis,” (co-authors: D. McCarthy, U. Savanayana), Journal of Futures Markets (August, 1991), 475-490.

“International Trading Time/Non-Trading Time Effects in French Futures Markets,” (co-authors: H. Geman and U. Savanayana) in J. Ronen, ed. Accounting and Financial Globalization (Quorum, New York, New York, 1991) 91-115.

“Multi-Manager Commodity Portfolios: A Risk/Return Analysis,” (co-authors: D. McCarthy, U. Savanayana) in C. Epstein ed. Managed Future in the Institutional Portfolio (Wiley, 1992), 82-102.

“Alternative Performance Models in Interest Rate Futures,” (co-authors: Jot Yau, Uttama Savanayana) in B. Goss ed. Rational Expectations and Efficiency in Futures Markets (Routledge, 1992), 168-189.

“Trading/Non-Trading and Informational Effects in U.S. Treasury Bond Futures,” (co-authors: J. Yau and U. Savanayana) in S. Koury ed. Recent Developments in International Banking and Finance Volume VI, (Blackwell, 1992), 170-186.

“Financial Futures Markets,” (co-author: Jot Yau) in D. Logue ed. Handbook of Modern Finance (Warren, Gorham, Lamont, 1993), chapter 10.

“The French Notional Futures Contract in Risk/Return Management,” (co-author: Helyette Geman) International Review of Financial Analysis (Vol. 2, No. 1, 1993), 17-32.

“Performance Evaluation Models in Exchange Rate Futures,” (co-author: Jot Yau) Journal of Multinational Financial Management Vol. 4, No. 1/2, 1994), 85-101.

“The Effectiveness of the CAC40 in Investment Risk/Return Management,” (co-author: H. Geman) in R. Aggerwal ed. Global Investment Management (Academic Press, 1995), 123-142.

“Financial Futures Markets,” (co-author: Jot Yau) in D. Logue ed. Handbook of Financial Markets (Warren, Gorham, Lamont, 1995), 375-420.

“Efficient Estimation of Intraday Volatility: A Method of Moments Approach Incorporating the Trading Range,” (co-author: Richard Spurgin), in P. Lequeux ed., Financial Markets Tick by Tick (Wiley, 1999), 3-26.

Management

“An Analysis of Alternative Measures of Strategic Performance,” (co-author: Joanne Hill and Jean McGuire) in C. Lamb and P. Shrivastava eds., Advances in Strategic Management, Vol. IV, JAI Press (1986), 127-154.

“Effect of Cabinet Appointments on Shareholder Wealth,” (co-authors: Jean McGuire, Joel Naroff) Academy of Management Journal (March, 1988), 201-212.

“Corporate Social Responsibility and Firm Financial Performance,” (co-authors: Jean McGuire, Alison Sundgren) Academy of Management Journal (December, 1988), 854-872.

“Perceptions of Firm Quality: “A Cause or Result of Firm Performance,” (co-authors: Jean McGuire, Ben Branch) Journal of Management Vol. 6, No. 2 (1990), 209-221.

“Corporate Performance and Firm Perception: The British Experience,” (co-authors: Sudhir Nanda and Kristina Eneroth) European Financial Management Journal, Vol. 2, No. 2 (1996), 197-221.

”Corporate Reputation and Investment Performance: The UK and US Experience,” (co-authors: Chung, Eneroth) Research in International Business and Finance, Vol. 17, 2002.

CISDM Publications

“Fund Size and Performance In Hedge Funds,” (co-authors: H. Kazemi and V. Karavas) CISDM White Paper (2003).

“Manager Track Record and Performance In Hedge Funds,” (co-authors: H. Kazemi and V. Karavas) CISDM White Paper (2003).

“Performance Persistence in Hedge Funds,” (co-authors: H. Kazemi and V. Karavas) CISDM White Paper (2003).

“An Academic Response to the Hedge Fund Mirage,” (Summer 2012).

Articles and Publications – Hossein Kazemi, Ph.D, CFA

BOOKS
 The New Science of Asset Allocation: Risk Management in a Multi-Asset World (Wiley Finance) (Schneeweis, Crowder and Kazemi), 2010.

 CAIA Knowledge Series Level II: Current and Integrated Topics, Editor Hossein Kazemi, (Institutional Investors), 2012.

Post Modern Investment (Wiley Finance) (Crowder, Schneeweis and Kazemi), 2013.

 CAIA Level I: An Introduction to Core Topics in Alternative Investments (Wiley Finance) (Chambers, Anson, Black and Kazemi), 2015.

 CAIA Level II: Advanced Core Topics in Alternative Investments (Wiley Finance) (Kazemi, Black, Chambers), 2016.

PUBLISHED ARTICLES & BOOK CHAPTERS

“An Alternative Testable Form of Consumption CAPM.” The Journal of Finance 143, (March 1988), 61-70.

“A Multiperiod Asset-Pricing Model with Unobservable Market Portfolio.” The Journal of Finance 143, (September 1988), 1015-1024.

“Dispersion of Beliefs, Asset Prices, and Noisy Aggregation of Information.” The Financial Review 26, (February 1991), 1-14.

“Time-Varying Risk Premium in Forward Exchange Contracts and Deviations from PPP.” Recent Developments in International Banking and Finance 4, (1991), 177-202.

“The Multi-Period CAPM and the Valuation of Multi-Period Stochastic Cash Flows.” Journal of Financial and Quantitative Analysis 26, (June 1991), 223-231.

“The Demand and Supply of Forward Exchange Contracts Under Incomplete Information.” (with Gunter Dufey) The Journal of Economics and Business 43, (November 1991), 339-352.

“An Intertemporal Model of Asset Prices in a Markov Economy with Limiting Distribution.” The Review of Financial Studies 5, (1992), 85-104.

“The Effects of International Integration of Financial Markets on Interest Rates.” (with Mahnaz Mahdavi), Journal of International Financial Markets, Institutions, and Money Vol. 2, (1992), 71-88.

“Return Generating of Long-Term Bonds and Measurement of Risk: Theory and Empirical Tests.” (withNikolas Milonas and Prasad Nanisetty), The Review of Quantitative Finance and Accounting, Vol. 5, (1995), 231-241.

“Mean-Reversion, Random Walk and Jumps in Real Exchange Rates.” (with V. Anantha Nageswaran and Mahnaz Mahdavi), The International Journal of Finance Vol. 7 (1995), 1040-1062.

“Volatility and Nonfundamental Uncertainty in Exchange Rates.” (with Mahnaz Mahdavi) Economic Inquiry, Vol. 34, (1996), 168-182.

“International Convergence of Interest Rates.” (with V. A. Nageswaran and Dolly Warotamasikkhadit). Global Finance Journal Vol. 8 No 2, (1997), 240-256.

“Recent Developments in International Asset Allocation and Currency Risk Management,” The Journal of Alternative Investments. Vol. 1 No 1 (1998), 66-75.

“Time-Varying Risk and Return in the Bond Market: A Test of a New Equilibrium Pricing Model.” (with Cynthia Campbell and Prasad Nanisetty) The Review of Financial Studies, Fall 1999, 630-642.

“The Effects of Deviations from RandomWalk on Option Prices” (with Thomas Henker), Derivatives Quarterly, Fall 1999, 49-59.

“Revealing the Market Price of Risk from the Short-Term Rate Processes,” (With G. Georgiev and M. Mahdavi), Studies in Economics and Finance, Autumn 2002, 19-39.

“Understanding Hedge Fund Performance: Research Issues Revisited (Part I),” (with T. Schneeweis and G. Martin), Journal of Alternative Investments, Winter 2002.

“Understanding Hedge Fund Performance: Research Issues Revisited (Part II),” (with T. Schneeweis and G. Martin), Journal of Alternative Investments, Spring 2003.

“Performance Measurement Issues for Investors,” (with T. Schneeweis and R. Spurgin), 2003, Fund of Hedge Funds, Sohail Ja ar (editor), Euromoney Institutional Investors Publications, London.

“Hedge Fund Classification Methods,” (with B. Gupta and A. Daglioglu), 2003, in Hedge Fund Reader, Beard Books, Maryland.

“Manager-Based Hedge Fund Indices: Do They Really Differ and Does it Matter?,” The Monitor, Vol 18, No 4, August 2003, pp. 1-9.

“Estimates of the Short-Term Process in an Arbitrage-Free Framework” (With Brett Salazar and Mahnaz Mahdavi), International Journal of Theoretical and Applied Finance, 2004.

“Omega as a Measure of Performance,” (With Tom Schneeweis and Raj Gupta), Journal of Performance Evaluation, 2004.

“The Behavior of Emerging Closed-End Country Funds and Investment Trusts Premia During the Asian Financial Crisis of 1997-1998,” (with Urbi Garay), The International Journal of Finance, Volume 15, No. 2, 2004.

“The Impact of Leverage on Hedge Fund Risk and Return,” (with Schneeweis, Martin, and Karavas), Journal of Alternative Investments, Spring 2005.

“Private Placement of Life Insurance,” (With J.C. Bouges), Journal of Wealth Management, Winter 2005.

“Conditional Performance of Hedge Funds: Evidence From Daily Data,” (With Ying Li), European Financial Management, Vol 13, March 2007.

“Factor Exposures and Hedge Fund Operational Risk: The Case of Amaranth,” (With Bhaswar Gupta), Alternative Investment Quarterly, Vol 23, September 2007.

“International Financial Integration and the Performance of International Mutual Funds” with Saira Lati , The International Journal of Finance, Vol 19, No. 4, 2007, pages 4514-4532.

“Bid-Ask Spread in a Competitive Market with Institutions and Order size,” (With Malay Dey), Review of Quantitative Finance & Accounting, Vol 30, May 2008, p 433-453.

“Momentum in Asset Returns: Are Commodity Returns a Special Case?”, (T. Schneeweis and R. Spurgin), Journal of Alternative Investments, Spring 2008, 23-36.

“Replication and Benchmarking of Hedge Funds,”(with Feng Tu and Ying Li), Journal of Alternative Investments, Fall 2008, Vol. 11, No. 2, pp. 40-59.

“Abnormal Return Patterns and Hedge Fund Failures,” (with Raj Gupta), Risk Management of Financial Institutions, December 2008.

“Market Timing of CTAs: An Examination of Systematic and Discretionary CTAs,” (With Ying Li), Journal of Futures Markets, Volume 29, Issue 11, Date: November 2009, pp. 1067-1099.

“SDF Based Test of International Financial Integration,” (With Saira Latif), Global Journal of Finance and Economics, Volume 6, No. 1, 2009, pp. 1-18.

“Collaring the Cube: Protection Options for a QQQ ETF Portfolio,” (With Ed Szado), The Journal of Alternative Investments, Spring 2009, pp. 24-42.

“Reaction of Credit Default Swap Markets to Changes in Credit Rating of Sovereign Debt Emerging Economies,” (With I. Ismalicu), Journal of Banking and Finance, 34, 2010, 2861-2873.

“Credit Derivatives,” in CAIA Knowledge Series Level II: Current and Integrated Topics, Institutional Investors, 2011.

“Asset Class and Strategy Investment Tracking Based Approaches,” (With G.B. Crowder and T. Schneeweis), The Journal of Alternative Investments, Winter 2011, 81-101.

“Hedge Fund Database Deconstruction, (With Schneeweis & Szado), Journal of Alternative Investments, Fall 2011, No 2, 65-88.

“Is There Any Contagion in Emerging Debt Markets?” (With I. Ismailescu), in Financial Contagion: The Viral Threat to the Wealth of Nations Ed. Robert Kolb, Wiley and Sons, 2011.

“An Introduction to Risk Parity,” Alternative Investments Analyst Review, September 2011. Also published in CAIA Knowledge Series Level II: Core and Integrated Topics, Institutional Investors, 2012.

“Setting the Benchmark: Spotlight on Private Equity,” (With Szado, Zeltser and Swamy), Alternative Investments Analyst Review, Vol 1, No 1, March 2012, pp. 6-20.

“Contagion or Interdependence in Emerging Debt Markets?”, (with Ismailescu), Banking and Finance Review, December 2011, pp 1-16.

“Hedge Fund Return{Based Style Estimation: A Review of Comparison Hedge Fund Indices,” (Schneeweis, Kazemi and Szado), The Journal of Alternative Investments Fall 2012, Vol. 15, No. 2: pp. 24-53.