Martin Tarlie

GMO

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 17,380

SSRN RANKINGS

Top 17,380

in Total Papers Downloads

4,155

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (7)

1.

Stock Market Bubbles and Anti-Bubbles

Number of pages: 42 Posted: 27 Oct 2016 Last Revised: 31 Jul 2018
Martin Tarlie, Georgios Sakoulis and Roy Henriksson
GMO, Quantitative Management Associates (QMA) LLC and Quantitative Management Associates (QMA) LLC
Downloads 1,380 (20,105)
Citation 1

Abstract:

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Asset Pricing, Bubbles, Anti-Bubbles, Multiple Bubbles, Price Explosiveness, Explosive Autoregression

2.

Optimal Holdings of Active, Passive and Smart Beta Strategies

Number of pages: 29 Posted: 19 Jun 2017 Last Revised: 22 Jan 2018
Quantitative Management Associates (QMA) LLC, New York University, Quantitative Management Associates, LLC and GMO
Downloads 1,160 (26,035)

Abstract:

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Portfolio Management, Smart Beta, Factor Investing, Passive Index, Enhanced Index, Factor Allocation, Asset Allocation, Modern Portfolio Theory, Mean Variance, Tracking Error, Shortfall, Optimization

3.

Investment Horizon and Portfolio Selection

Number of pages: 32 Posted: 19 Oct 2016 Last Revised: 09 Mar 2017
Martin Tarlie
GMO
Downloads 570 (68,245)
Citation 1

Abstract:

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Multi Period Portfolio Choice, Shortfall Risk, Mean Variance, Dynamic Asset Allocation

4.

Discount Rate Dynamics and Stock Prices

Number of pages: 52 Posted: 09 Oct 2013 Last Revised: 12 Aug 2020
Martin Tarlie
GMO
Downloads 513 (77,804)
Citation 3

Abstract:

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asset pricing, predictability of stock returns, volatility of stock returns, dividend growth predictability, discount rates

5.

Modified IR As a Predictor of Fund Performance

Number of pages: 40 Posted: 22 Nov 2015
Joshua Livnat, Gavin Smith and Martin Tarlie
New York University, Prudential Financial - Quantitative Management Associates and GMO
Downloads 214 (198,952)

Abstract:

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Modified Information Ratio, Fund selection, Predicting Fund Performance

6.

Inflation as the Source of the Bond, Equity, and Value Premia

Number of pages: 30 Posted: 06 May 2022 Last Revised: 23 May 2022
Martin Tarlie
GMO
Downloads 184 (227,906)

Abstract:

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asset pricing, risk premium, equity risk premium, value risk premium, inflation, business cycle risk, long run

7.

A Case Study in Multiperiod Portfolio Optimization: A Classic Problem Revisited

Number of pages: 20 Posted: 02 Oct 2020 Last Revised: 06 Oct 2020
Martin Tarlie
GMO
Downloads 134 (295,340)

Abstract:

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Portfolio optimization, multi-period optimization, multi-period portfolio choice, dynamic programming