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Summer 2009


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Marc H. Malek, Sergei Dobrovolsky
Volatility Exposure of CTA Programs and Other Hedge Fund Strategies
2009, Journal of Alternative Investments, Volume Summer

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Frank J. Fabozzi; Jinlin Liu; Lorne N. Switzer
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies
2009, Journal of Alternative Investments, Volume Winter

Heiko Ebens; Chintan Kotecha; Alex Ypsilanti; Arik Reiss
Investment Strategies Introducing the Multi-Asset Strategy Index
2009, Journal of Alternative Investments, Volume Winter

Helyette Geman; Yih Fong Shih
Risk Management Modeling Commodity Prices Under the CEV Model
2009, Journal of Alternative Investments, Volume Winter

Marc H. Malek, Sergei Dobrovolsky
Volatility Exposure of CTA Programs and Other Hedge Fund Strategies
2009, Journal of Alternative Investments, Volume Summer

Momtchil Pojarliev
Trading the Forward Rate Puzzle
2009, Journal of Alternative Investments, Volume Winter

Y.V. Reddy; A. Sebastin
Are Commodity and Stock Markets Independent of Each Other? A Case Study in India
2009, Journal of Alternative Investments, Volume Winter


The Journal of Alternative Investments is the official publication of the Chartered Alternative Investment Analyst (CAIA) Association.  Founded in 1998, JAI is the leading source of cutting-edge research and analysis in the field of alternative investments. Topics covered include asset allocation, risk management, indexing, regulation, and taxation, among a variety of others.

JAI's prestigious authors include such renowned academic experts as Noel Amenc, EDHEC; Don Chance, Louisiana State; Roger Ibbotson, Yale; and Francois-Serge Lhabitant, EDHEC, University of Lausanne and Kedge Capital Partners. Leading practitioners such as Mark Anson of Hermes Pensions Management, Alexander Ineichen of UBS, and Christopher Kojima of Goldman Sachs have contributed numerous articles as well. JAI is published quarterly by Institutional Investor, Inc., publisher of The Journal of Portfolio Management and Institutional Investor magazine.


The editor of JAI is Dr. Thomas Schneeweis, who is the Michael and Cheryl Philipp Professor of Finance at the Isenberg School of Management at the University of Massachusetts in Amherst, Massachusetts. He also serves as the Director of the Center for International Securities and Derivatives Markets (CISDM), a leading nonprofit research center specializing in alternative investments. Dr. Schneeweis is a co-founding member, along with the guidance of the Alternative Investment Management Association (AIMA), of the Chartered Alternative Investment Analyst Association (CAIA Association); Director of Research for Lyra Capital, LLC (an investment management firm specializing in the alternative investment area); and an outside trustee for the Managers Funds (a mutual fund-based fund of funds). He is also a board member for the Managed Funds Association and a principal in Alternative Investment Analytics, a financial consulting firm.