New Research @
Boston University School of Management

Winter 2004/2005

Focus On:

Next-Generation Asset Allocation: Optimizing Portfolio Performance with Monte Carlo Methods*

An interview with Jerome Detemple , Professor of Finance & Economics

Q: Your latest work, on optimizing portfolio performance, has gained a lot of attention lately by firms such as State Street Global Advisors (SSGA), who base their new "risk asset allocation product" on it. Why such industry interest?

A: One of the fundamental concepts underlying modern theories of asset allocation is the notion that securities provide hedging services: when you invest in portfolios you want to make sure that you hedge against relevant future contingencies. This of course is nothing new.

But the methodologies we have developed enable us to calculate exactly the amount of hedging you have to make and how to modify more traditional asset allocation rules in order to take these contingencies into account.

* Based on the following working paper: Detemple, Jerome, Garcia, Rene and Rindisbacher, Marcel, "A Monte Carlo Method for Optimal Portfolios" Journal of Finance, Vol. 58, No. 1, February 2003: 401-446.

Read more >>

Quick Takes

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  Rip Van Wrinkle: Waking up to the Network Era

  By N. Venkatraman , David J. McGrath, Jr., Professor in Management & Chair, Information Systems Department

  Rip Van Wrinkle, who had worked as a strategy consultant, woke up after being in a coma for two decades. He wondered how technology and business logic had shifted... Read more (pdf)
  

   

   

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  The Story of Island Man: It's not Just the Technology

  By Nalin Kulatilaka, Wing Tat Lee Family Professor of Management; and  James Ciriello , Director & Exec in Residence, BUILDE

  This is the story of technology adoption, told through the daily life of Island Man... Read more (pdf)
  

   

   

   

Select New Faculty Publications

Books

Organizational Behavior

Jennifer Howard-Grenville with T.E. Graedel: Greening the Industrial Facility: Perspectives, Approaches, and Tools, New York: Springer Press (forthcoming Dec. 04)

Strategy & Policy

Anita McGahan: How Industries Evolve, Cambridge: Harvard Business School Press  Buy it on Amazon

Articles/Chapters

Accounting

Michael Smith with C. Levine: "Information Externalities, Underinvestment, and Organizational Remedies,” Journal of Accounting, Auditing and Finance

Feng Gu  with B. Lev: "The Information Content of Royalty Income,"   Accounting Horizons

Feng Gu with W. Wang: "Intangible Assets, Information Complexity, and Analysts' Earnings Forecasts," Journal of Business Finance and Accounting

Information Systems

N Venkatraman : "Offshoring Without Guilt," Sloan Management Review

Marketing

Frederic Brunel with B. Tietje: "Towards A Unified Theory of Implicit Consumer Brand Cognitions," in Applying Social Cognition to Consumer-Focused Strategy, edited by F. R. Kardes, P.M. Herr, & J. Nantel; Lawrence Erlbaum Associates Press

See more working papers

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