PUBLISHED MATERIALS for BOB KORKIEBooks and Book Chapters Mathematical Dictionary for Economics and Business Administration, with W. A. Skrapek and T. E. Daniel, Allyn and Bacon Inc., 1976, (reprinted 1978), 369 pp. "Mutual Funds", The 1998 Canadian and World Encyclopedia, McClelland & Stewart Inc, book article.
"A Clinical Analysis of a Professionally Managed Portfolio", book chapter in
Performance Measurement, edited by J. Knight and S. Satchell, Butterworth
and Heinemann Inc, 2002.
Articles in Refereed Journals
"Comment: Systematic Interest Rate Risk in a Two Index Model of Returns", Journal of Financial and Quantitative Analysis, 9 (November 1974), 723 - 725.
"Theory of the Firm Facing Uncertain Demand: Comment.", American Economic Review, 65 (March 1975), 245 - 247.
"Portfolio Adjustment in a Reinsurance Market", with N. A. Doherty, The Geneva Papers on Risk and Insurance: Essays in the Economic Theory of Risk and Insurance, 17 (June 1980), 63 - 74.
"Estimation for Markowitz Efficient Portfolios", with J. D. Jobson, Journal of the American Statistical Association, 75 (September 1980), 544 - 554. "Putting Markowitz Theory to Work", with J. D. Jobson, Journal of Portfolio Management, 7 (Summer 1981), 70 - 74.
"Performance Hypothesis Testing with the Sharpe and Treynor Measures", with J. D. Jobson, Journal of Finance, 36 (September 1981), 889 - 908.
"Potential Performance and Tests of Portfolio Efficiency", with J. D. Jobson, Journal of Financial Economics, 10 (December 1982), 433 - 466.
"External vs. Internal Performance Evaluation", Journal of Portfolio Management, 9 (Spring 1983), 36 - 42.
"Statistical Inference in Two-Parameter Portfolio Theory with Multiple Regression Software", with J. D. Jobson, Journal of Financial and Quantitative Analysis, 18 (June 1983), 189 - 197.
"A Note on the Jensen Measure and Marginal Improvements in Portfolio Performance", with J. D. Jobson, Journal of Finance, 39 (March 1984), 245 - 251.
"Some Tests of Linear Asset Pricing with Multivariate Normality", with J. D. Jobson, Canadian Journal of Administrative Sciences, 2 (June 1985), 116 - 140.
"Market Line Deviations and Market Anomalies with Reference to Small and Large Firms", Journal of Financial and Quantitative Analysis, 21 (June 1986), 161 - 180.
"The Trouble with Performance Measurement: Comment", with J. D. Jobson, Journal of Portfolio Management, 14 (Winter 1988), 74 - 76.
"A Note on Expectations of the Observed Risk-Return Relation When the CAPM is True", Canadian Journal of Administrative Sciences, 6 (December 1989), 45 - 56, Air Canada Best paper award.
"A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning and Mean-Variance Efficiency", with J. D. Jobson, Journal of Financial and Quantitative Analysis, 24 (June 1989), 185 - 204.
"Corrections for Trading Frictions in Multivariate Returns", Journal of Finance, 44 (December 1989), 1421 - 1434.
"A Note on the TSE/Western Treasury Bill Returns", Canadian Journal of Administrative Sciences, 7 (September 1990), 26 - 29.
"Optimal Portfolio Rules and Maximum Gains from Economic Events", with B. Laiss, Journal of Accounting, Auditing, and Finance, 5 (Fall 1990), 593 - 618.
"Optimal Portfolio Rules and Maximum Gains from Economic Events: Professional Adaptation", with B. Laiss, Journal of Accounting, Auditing, and Finance, 5 (Fall 1990), 619 - 625.
"Inferences for Arbitrage Profits and Stochastic Dominance in Managed Portfolios", International Review of Financial Analysis, 2, (No. 2 1993), 97 - 119.
"Tests of Conditional Asset Pricing with Time Varying Moments and Risk Prices", with A. Buse and H. Turtle, Journal of Financial and Quantitative Analysis, 29, (March 1994), 15 - 30.
"Portfolio Optimization and Contingent Claim Pricing with Differential Information", with R. Elliott and H. Geman, Stochastics and Stochastic Reports, 60, (1997), 185 - 203.
"Block Holding and Keiretsu in Japan: the Effects of Capital Markets' Liberalization Measures on the Stock Market", with M. Nakamura, Journal of International Money and Finance, 16, (no. 1 1997), 113 - 140.
"A Note on the Analytics and Geometry of Limiting Mean-Variance Investment Opportunity Sets", with H. Turtle, Review of Quantitative Finance and Accounting, 9, (1997), 289-300.
"The Canadian Investment Opportunity Set: 1967-1993", with H. Turtle, Canadian Journal of Administrative Sciences, 15, (1998), 213 - 229 (finalist for best paper award).
"A Contingent Claim Analysis of Closed-End Fund Premia", with M. Nakamura and H. Turtle, International Review of Financial Analysis, 10, (2001), 365 - 394.
"What's a Portfolio Manager Worth?": A new style performance measure:, with H. Turtle, Journal of Portfolio Management, winter, (2002), 65 - 73.
"A Mean-Variance Analysis of Self-Financing Portfolios", with H. Turtle, Management Science, 48, (2002), 427 - 443.
"The Dual Contributions of Information Instruments in Return Models: Magnitude and Direction Predictability", with R. Sivakumar and H. Turtle, Journal of Empirical Finance, (2002), 9, 511 – 523.
"Variance Spillover and Skewness in Financial Asset Returns", with R. Sivakumar and H. Turtle, The Financial Review, (2006)
"Measuring Performance in a Dynamic World: Conditional Mean-Variance Fundamentals", with R. Jha and H. Turtle, Journal of Banking and Finance, (2009), 33, 1851-1859
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