Research Papers by David Nawrocki
Research Papers by David Nawrocki
You may use your browser to view and to print these papers. Their purpose is to document the techniques used in the PMSPP programs. They do not make specific security recommendations. The returns discussed in the papers are the result of backtesting a random selection of assets. Note that historic returns are not indicative of future returns. Most of the research papers appeared in academic journals and the reader should note that they are academic research papers.
Adaptive Trading Rules and Dynamic
Market Disequilibrium, Applied Economics,
1984, 16, 1-14.
A Brief History of Downside Risk
Measures, Journal of Investing, Fall
1999, 9-26.
Copyright (c) 2007 by David Nawrocki
Portfolio Optimization, Heuristics, and the "Butterfly
Effect", Journal of Financial Planning, February 2000, 68-78.A
Customized LPM Risk Measure for Portfolio Analysis, (with K. Kilroy-Staples),
Applied Economics, 1989, 21, 205-218.Dynamic
Asset Allocation During Different Inflation Scenarios, (with
H. Evensky),
Journal of Financial Planning, October, 2003, 44-51.
Entropy,
Bifurcation and Dynamic Market Disequilibrium,
Financial Review, Spring 1984, 266-284.Finance and Monte Carlo Simulation, Journal of Financial Planning, November 2001, 106-119.
Market Dependence
and Economic Events,
Financial Review, 1996, 31,2, 287-312.A
Comparison of Risk Measures When Used in a Simple Portfolio Selection Heuristic,
Journal of Business Finance and Accounting, 1983, 10,2, 183-194.R/S Analysis and Long Term Dependence in Stock Market Indices,
Managerial Finance, 1995, 21, 7, 78-91.The Characteristics
of Portfolios Selected by N-Degree Lower Partial Moment,
International Review of Financial Analysis, 1992, 1, 3, 195-209.State-Value Weighted Entropy As a Measure of
Investment Risk,
(with W. Harding), Applied Economics, April 1986, 18, 411-419.
The
Information Inaccuracy of Stock Market Forecasts: Some New Evidence of
Dependence on the N.Y.S.E.,
(with G. Philippatos), Journal of Financial and Quantitative Analysis, June 1973,
445-458.Tailoring Asset Allocation to the Individual Investor,
International
Review of Economics and Business, October-November 1990), 997-990.Portfolio Analysis with a Large Universe of Assets, Applied Economics, 1996, 28, 1191-1198.Phase of the Business Cycle and Portfolio Management, (with W. Carter), Working
Paper, 1996.Complete Vita for Professor David Nawrocki