Journal of Portfolio Management

Article	Citations
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	23
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	15
Risk in Risk Aversion	15
Option-Enhanced Tax-Smart Portfolio Value	14
Shared Experience in Top Management Team and Mutual Fund Performance	13
Stocks, Bonds, Bills, and Inflation’s Components	12
When Is Reversal Strong? Evidence from Developed Markets	11
How Transitory Is Inflation?	10
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	9
Expected Stock Returns When Interest Rates Are Low	9
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	8
Personalized Inflation-Hedging Strategies	8
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	7
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	7
When Factors Collide: Mapping Causal Spillovers across Global Asset Networks	7
A Causal Analysis of the Monetary Transmission Mechanism	7
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	6
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?	6
Interview with Ian Toner of Verus	6
Prolegomena to Any Future Monetary Policy	6
webinar summary Multi-Asset Strategies Webinar	6
Equity Convexity under Major Monetary Policy Shift	6
Minimum Downside Risk Portfolios	6
Increasing the Transparency of Pricing Dynamics in the US Commercial Real Estate Market with Interpretable Machine Learning Algorithms	6
A CIO’s Perspective on ESG Investing	6

webinar summary Fixed Income Investing	6
Interview with Gerald Garvey of Blackrock	5
Comparing Methodologies for ESG Integration into Equity Factor Construction	5
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	5
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses	5
Integrating Sustainability into Asset Management: Challenges and Opportunities	5
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	5
Forecasting Stock Market Volatility	5
From Economics to AI: Integrating Discretionary and Quantitative Approaches in Asset Management	5
Better Opt Out? Revisiting the Predictive Power of Options-Implied Signals	5
Range-Based Volatility Timing	5
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	5
When DoandWhichFama–French Factors Explain Industry Returns?	4
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	4
Why State-Dependent Discounting Matters for Climate-Sensitive Securities	4
On the Relevance of Variances and Correlations for Multifactor Investors	4
Equity Tail Protection Strategies Before, During, and After COVID-19	4
Carbon Risk Factor Framework	4
Corporate Bonds and Climate Change Risk	4
An Overview of Optimization Models for Portfolio Management	4
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	4
Stock Vulnerability and Resilience	4
Interview with Sebastien Page of T. Rowe Price	4
Modernizing Volatility-Managed Strategies	4
Misleading Returns: How Ignoring Cash Flows Can Result in Performance Measurement Errors	4
Asset Allocation for Retirement Income: A Framework for Income-Oriented Investors	3
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	3
Systematic Insights into Private Equity Investing	3
Does Real Estate Development Add Value?	3
Multi-Asset Portfolios in the New Order	3
Information Ratio = Selection × Breadth + Sizing	3
Is Momentum a Risk Factor? Evidence from Option-Implied Expected Returns	3
Comparing Downside Protection Strategies	3
Impact of ESG Objectives on a Portfolio	3
The False Promise of Drawdown Rules: New Evidence and a Better Framework	3
Portfolio Decisions within a Generalized Funding Ratio Framework	3
Interview with Harshdeep Singh Ahluwalia and Roger Aliaga-Diaz of Vanguard	3
Large Language Models for Financial and Investment Management: Models, Opportunities, and Challenges	3
Sizing Matters: Optimal Scaling of Long and Short Exposures in Equity Portfolios	3
Smarter Beta Investing: More Focus, Less Sustainability Bias, Same Performance	3
Factor Information Decay: A Global Study	3
Supply Chain and Correlations	3
How to Diversify Differently: Time-Varying Correlations, Determinants, and Regimes	2
Climate Change Uncertainty and Volatility of Clean Energy Portfolios: An Asset Pricing Perspective	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
A “Quality” Quality Factor	2
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	2
Investing as Owners Rather Than Traders: How Pension Funds Can Transform Capitalism	2
Understanding the Stable Components of Seasonality in the Size Effect	2
Putting the Long Term to Work: Shaping the Prudent Society Investment Model	2

Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty	2
A Tour of the Factor Funhouse	2
The Power of Narrative Attention: Linking Geopolitical and Economic Storylines to Currency Risk and Return Predictability	2
Diversification Is Dead, Long Live Diversification!	2
The Economic Value of Frequency-Domain Information	2
Time-Zero Direct Alpha: Investment-Level Calculations for Improved Skill Evaluation	2
Introduction to Investing In Emerging Markets Special Issue	2
Interview with Mark Anson, CEO, Commonfund	2
Market Impact Decay and Capacity	2
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company	2
Social Awareness in Real Estate Investment: What Should Investors Do about the “S” in ESG?	2
Pricing Factors and Causal Networks for US Industry Portfolios	2
Global Bond Allocation Using Duration Times Spread	2
Reinforcement Learning for Asset and Portfolio Management	2
Thinking Outside the Benchmark: Part II	2
Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns	2
Weak Feedback and Denial Are Killing Active Management: A Slow Death, Perhaps, but One That Is Avoidable	2
Inflation-Induced Overearnings	2
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	2
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts	2
Operating Leverage and Inflation	2
How Should the Long-Term Investor Harvest Variance Risk Premiums?	2
The Link Between Physical and Transition Climate Risk	2
Financial Networks and Portfolio Management	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1
An Investor’s Guide to Crypto	1
The Roots of Dispersion	1
From Core to Complexity: The Investment Landscape for Real Estate Gets More Complicated	1
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	1
Rebuffed: An Empirical Review of Buffer Funds	1
Demystifying FinBERT: How Transformer Models Turn Financial Text into Market Insights	1
Sector Rotation in Times of Crises	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Institutional Investors as Architects of Change: Toward a New Theory of Firm Value Creation	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	1
Domesticating the Factor Zoo with Economic Theory	1
Alternative Risk Premium Fund Analysis	1
AI and Decision-Making in Investment—Why We Will Not Return to the Cave	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Shrinking the Size Effect	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
Reminiscences on an Extraordinary Gentleman	1
Relevance-Based Importance: A Comprehensive Measure of Variable Importance in Prediction	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
The Return of the Call Auction	1
Interview with Ronald Hua of Qtron Investments	1
Forecast Aggregation and Predictive Value	1
Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Further Applications of Mean–Variance Optimization	1
Momentum Factor Investing: Evidence and Evolution	1
Optimal Strategies for Digital Assets with No Fundamental	1
Strategic Asset Allocation and Inflation Resilience	1
Interview with Gene Podkaminer of Capital Group	1
Editor’s Introduction for the 2026 Special Issue on Factor-Based Investing	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
Fat and Heavy Tails in Asset Management	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1
Strategic Asset Allocation with Alternative Investments: An Integrated Approach	1
Climate Output at Risk	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1
The Factor Edge: Optimized Private Debt Investing	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Editor’s Introduction to the Special Issue on Portfolio Manager Perspectives	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Unnatural Selection in Private Equity Real Estate?	1
Agent Investing: A Constructive Approach	1
Measuring Market Risk in Asset Management	1
Diversification and Asset Allocation in the Post-COVID Era	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
Mean-Variance Optimization for Simulation of Order Flow	1
The Hierarchy of Empirical Evidence in Finance	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1

Event Time	1
A Framework for Attributing Changes in Portfolio Carbon Footprint	1
Bayes Rule and the Selection of Investment Managers	1
Implementing AI Foundation Models in Asset Management: A Practical Guide	1
What to Do with All These Currencies?	1
Social Networks, Trading, and Liquidity	1
Factor Zoo (.zip)	1
Markowitz Remembrance	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Interview with Shaojun Zhang Formerly of Vanguard	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
Inflation Hedging: A Dynamic Approach Using Online Prices	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Formula Investing	1
History Repeats Itself? The Nonstationarity Hazard	1
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate	1
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	1
Equity Performance after Follow-On Offerings: A Modern Reexamination with Portfolio Applications	1
Enhanced Backtesting for Practitioners	1
Interview with Vince Childers and Jeffrey Palma of Cohen & Steers	0
The Rise in Systematic Credit Investing	0
ESG, Fundamentals, and Stock Returns	0
Non-Core Real Estate Returns: An Empirical Approach	0
The New Risk and Return of Venture Capital	0
Leveling the Divide Between Discretionary and Systematic Investing: How AI Enables Breadth and Depth	0
Why Should Asset Management Be Interested in New Economic Thinking?	0
A Century of Macro Factor Investing—Diversified Multi-Asset Multi-Factor Strategies through the Cycles	0
Unpacking Private Equity Performance	0
Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics	0
Perspectives on Private Equity and Venture Capital	0
Fund Concentration: A Magnifier of Manager Skill	0
Low–Risk Alpha without Low Beta	0
Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations	0
Style Investing, Mutual Fund Flows, and Return Comovement	0
Return to Active Equity Management	0
Eggs in a Basket: Harry Markowitz’s Contribution and How I Achieved Erdős 3	0
Emerging Markets Debt Securities: A Literature Review	0
Incorporating Imputed Signal Values Efficiently in Portfolio Construction	0
Market Design—A Practitioner’s Perspective	0
How Many Is Too Few? Revisiting the Number of Names in Equity Portfolios	0
Benchmarks Differ. Then They Get Revised	0
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	0
The Value of Smoothing	0
Predicting Stock Index Changes	0
The Dynamic Impact of Macro Factors on the Performance of Blended Real Estate Equity Strategies	0
Some Practical Considerations for the Total Portfolio Approach to Pension Fund Management	0
Quantifying Narratives and Their Impact on Financial Markets	0
Dynamic Asset Allocation Using Machine Learning: Seeing the Forest for the Trees	0
Trends and Cycles of Style Factors in the 20th and 21st Centuries	0
Endogenous Dynamics of Intraday Liquidity	0
Termination Risk and Sustainability	0
Consumer Spending and the Cross-Section of Stock Returns	0
Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage	0
Seeking Better Sharpe Ratio via Bayesian Optimization	0
Multi-Asset Style Factors Have Their Shining Moments	0
On Risk Parity Performance	0
Interview with Sébastien Page of T. Rowe Price	0
A Framework for the Analysis of Unfolding Financial Crises	0
Editor’s Introduction for 2024 Special Issue on Factor Investing	0
Co-Occurrence: A New Perspective on Portfolio Diversification	0
Selecting Investment Analytic Framework for Both Top-Down and Bottom-Up Investors: Using Global Equity as the Example	0
Proposing a New Metric: Private Fund Duration	0
When to Diversify Differently	0
Strategic Discipline: How Asset Management Mirrors Military Operations	0
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	0
The Markowitzatron: From Modern Portfolio Theory to Modern Petroleum Theory	0
Portfolio Concentration and Stock-Specific Risk	0
Interview with Jean-Charles Bertrand of HSBC Asset Management	0
Dissecting the Value Premium: A Novel Market-to-Book Decomposition	0
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	0
Filled and Killed: Forecast and Realized Trading Costs across Horizons from Global Equity and Fixed Income Portfolio Trades	0
Do Scope 3 Carbon Emissions Impact Firms’ Cost of Debt?	0
Institutional Investors in the Single-Family Rental Market	0
Estimation of Large Financial Covariances: A Cross-Validation Approach	0
Monte Carlo Simulation in Financial Modeling	0
Editor’s Introduction for 2023 Special Issue on Quantitative Tools for Asset Management	0
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	0
Robustness in Portfolio Optimization	0
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	0
Editors’ Introduction to the Special Issue on CIO Perspectives	0
The Modern Endowment Story: A Ubiquitous US Equity Factor	0
Portfolio Selection: Efficient Diversification of Investments, 1959	0
Interview with Daniel Farley of State Street Global Advisors	0
Modeling Models: Factor and Risk Decompositions of Model Portfolio Strategies	0
International Diversification—Still Not Crazy after All These Years	0
Applications of Portfolio Theory to Accelerating Biomedical Innovation	0
Interview with Victor Haghani and James White of Elm Wealth	0
Rethinking Emerging Markets: A Fresh Perspective	0
Stress Testing in a World of Compound Risks and Polycrises	0
Navigating Insolvency Risks in Emerging Markets	0
Total Portfolio Approach	0
Editors’ Introduction: The Birth of Portfolio Theory	0