MPI Research Corner

Pensions & Investments continues to focus on the issue of increased due diligence and transparency in light of the Madoff affair. Read MPI’s opinion piece, “The similarities between Pearl Harbor and Bernie Madoff” which is featured in this week’s P&I Views section. The article provides an interesting link between algorithms used in modern radars and [...]

This academic paper, co-authored by Michael Markov and Daniel Li of MPI and Russ Wermers, Associate Professor of Finance at University of Maryland, introduces a new method for investors to forecast daily returns in advance of month-end reporting. The approach enables investors to infer daily results from monthly returns data. Synthetic replication portfolios are created [...]