selected publications

• academic article

  • Intangible ironies: investor mispricing of company assets on and off its balance sheet.  SSRN Electronic Journal.  2021
  • Nonlinear Factor Attribution.  SSRN Electronic Journal.  2018
  • A Taxonomy of Beta Based on Investment Outcomes.  SSRN Electronic Journal.  2016
  • Factor Attribution and the Impact of Investment Constraints.  SSRN Electronic Journal.  2015
  • Smart Currency Hedging for Smart Beta Global Equities.  SSRN Electronic Journal.  2014
  • Tactical Timing of Low Volatility Equity Strategies.  SSRN Electronic Journal.  2014
  • Country and Sector Drive Low-Volatility Investing in Global Equity Markets.  SSRN Electronic Journal.  2013
  • Country and Sector Drive Minimum-Volatility Investing in Emerging Markets Too.  SSRN Electronic Journal.  2013
  • To Hedge or Not to Hedge: The Slings and Arrows of Currency Risk in Minimum-Volatility Investing.  SSRN Electronic Journal.  2013
  • Airline Revenue Management Under Imperfect Market Segmentation.  SSRN Electronic Journal.  2003
  • The Bivariate Stochastic Functional Form.  SSRN Electronic Journal.  1999

• blog posting

  • Performance Attribution Through a Factor Lens.  SSRN Electronic Journal. 2018
  • Factor Attribution that Adds Up.  SSRN Electronic Journal. 2012
  • Simulation-Based Booking Limits for Airline Revenue Management.  SSRN Electronic Journal. 2005