Research Papers by David Nawrocki

Research Papers in Portfolio Theory and Financial Markets

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.

Apocalypse Revisited: Do You Know Where Your Optimizer is at Night?, Journal of Financial Planning, December 1996, 68-74.

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.

Portfolio Optimization, Heuristics, and the "Butterfly Effect", Journal of Financial Planning, February 2000, 68-78.

Capital Market Theory: Is It Relevant to Practitioners?, Journal of Financial Planning, October 1997, 97-102.

The Case for Relevancy of Downside Risk Measures, The Handbook of Risk (Ben Warwick, Editor) IMCA, Hoboken,NJ: John Wiley and Sons, 2003, 79-95.

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.

Expectations, Technological Change, Information and Theory of Financial Markets, International Review of Financial Analysis, 1995, 4, 2, 85-106.

Earnings Announcements and Portfolio Selection: Do They Add Value? (with William Carter), International Review of Financial Analysis, 1998, 7, 1, 37-50.

Finance and Monte Carlo Simulation, Journal of Financial Planning, November 2001, 106-119.  

Learning Styles and Portfolio Management, (with C. Nawrocki), Advances in Financial Education, 2005, 3, 89-98.

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.

The Behavior of Stock Market Aggregates: Evidence of Dependence on the American Stock Exchange, (with G. Philippatos), Journal of Business Research, Fall 1973, 101-114.

Optimal Algorithms and Lower Partial Moment: Ex Post Results, Applied Economics, March 1991, 23, 465-470.

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.

Phase of the USA Business Cycle and the Investment Performance of Internationally Diversified Portfolios, (with W. Carter), Working Paper, 1996.

Complete Vita for Professor David Nawrocki

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Copyright (c) 2007 by David Nawrocki