Journal of Portfolio Management

Article	Citations
When Is Reversal Strong? Evidence from Developed Markets	23
Stocks, Bonds, Bills, and Inflation’s Components	20
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	15
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	14
Expected Stock Returns When Interest Rates Are Low	13
Option-Enhanced Tax-Smart Portfolio Value	12
Risk in Risk Aversion	12
Shared Experience in Top Management Team and Mutual Fund Performance	12
Intangibles: The Missing Ingredient in Book Value	11
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	11
How Transitory Is Inflation?	10
Personalized Inflation-Hedging Strategies	10
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	9
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	8
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	8
A Causal Analysis of the Monetary Transmission Mechanism	8
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?	7
Increasing the Transparency of Pricing Dynamics in the US Commercial Real Estate Market with Interpretable Machine Learning Algorithms	7
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	7
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	7
Interview with Ian Toner of Verus	6
How Valuable Are Target Price Forecasts to Factor Investing?	6
Equity Convexity under Major Monetary Policy Shift	6
A CIO’s Perspective on ESG Investing	6
webinar summary Multi-Asset Strategies Webinar	6

Integrating Sustainability into Asset Management: Challenges and Opportunities	5
webinar summary Fixed Income Investing	5
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	5
Range-Based Volatility Timing	5
Forecasting Stock Market Volatility	5
From Economics to AI: Integrating Discretionary and Quantitative Approaches in Asset Management	5
Minimum Downside Risk Portfolios	5
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	5
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	5
Interview with Gerald Garvey of Blackrock	5
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	5
Prolegomena to Any Future Monetary Policy	5
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	5
Geopolitical Risk in Investment Research: Allies, Adversaries, and Algorithms	4
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses	4
Carbon Risk Factor Framework	4
When DoandWhichFama–French Factors Explain Industry Returns?	4
Stock Vulnerability and Resilience	4
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	4
Modernizing Volatility-Managed Strategies	4
A Tour of the Factor Funhouse	3
Time-Zero Direct Alpha: Investment-Level Calculations for Improved Skill Evaluation	3
Price Informativeness with Equity Market Factors	3
Asset Allocation for Retirement Income: A Framework for Income-Oriented Investors	3
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	3
Equity Tail Protection Strategies Before, During, and After COVID-19	3
Sizing Matters: Optimal Scaling of Long and Short Exposures in Equity Portfolios	3
Information Ratio = Selection × Breadth + Sizing	3
Supply Chain and Correlations	3
Weak Feedback and Denial Are Killing Active Management: A Slow Death, Perhaps, but One That Is Avoidable	3
Social Awareness in Real Estate Investment: What Should Investors Do about the “S” in ESG?	3
Comparing Downside Protection Strategies	3
Large Language Models for Financial and Investment Management: Models, Opportunities, and Challenges	3
Why State-Dependent Discounting Matters for Climate-Sensitive Securities	3
Factor Information Decay: A Global Study	3
Portfolio Decisions within a Generalized Funding Ratio Framework	3
Impact of ESG Objectives on a Portfolio	3
Operating Leverage and Inflation	3
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	3
Interview with Harshdeep Singh Ahluwalia and Roger Aliaga-Diaz of Vanguard	3
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	3
Interview with Sebastien Page of T. Rowe Price	3
An Overview of Optimization Models for Portfolio Management	3
Misleading Returns: How Ignoring Cash Flows Can Result in Performance Measurement Errors	3
Corporate Bonds and Climate Change Risk	3
Systematic Insights into Private Equity Investing	3
Multi-Asset Portfolios in the New Order	3
The Roots of Dispersion	2
A Framework for Attributing Changes in Portfolio Carbon Footprint	2
Thinking Outside the Benchmark: Part II	2

Global Bond Allocation Using Duration Times Spread	2
Investing as Owners Rather Than Traders: How Pension Funds Can Transform Capitalism	2
Market Impact Decay and Capacity	2
Climate Change Uncertainty and Volatility of Clean Energy Portfolios: An Asset Pricing Perspective	2
The Power of Narrative Attention: Linking Geopolitical and Economic Storylines to Currency Risk and Return Predictability	2
Pricing Factors and Causal Networks for US Industry Portfolios	2
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts	2
A “Quality” Quality Factor	2
Interview with Mark Anson, CEO, Commonfund	2
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	2
Volatility-Dependent Skewness Preference	2
Inflation-Induced Overearnings	2
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
How Should the Long-Term Investor Harvest Variance Risk Premiums?	2
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	2
Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns	2
Putting the Long Term to Work: Shaping the Prudent Society Investment Model	2
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company	2
Interview with Gene Podkaminer of Capital Group	2
Quantifying Long-Term Market Impact	2
Diversification Is Dead, Long Live Diversification!	2
Introduction to Investing In Emerging Markets Special Issue	2
Understanding the Stable Components of Seasonality in the Size Effect	2
How to Diversify Differently: Time-Varying Correlations, Determinants, and Regimes	2
The Link Between Physical and Transition Climate Risk	2
The Economic Value of Frequency-Domain Information	2
Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty	2
Social Networks, Trading, and Liquidity	2
The Factor Edge: Optimized Private Debt Investing	1
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	1
Shrinking the Size Effect	1
Strategic Asset Allocation with Alternative Investments: An Integrated Approach	1
Event Time	1
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)	1
Formula Investing	1
An Investor’s Guide to Crypto	1
Rebuffed: An Empirical Review of Buffer Funds	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
Factor Zoo (.zip)	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1
The Hierarchy of Empirical Evidence in Finance	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1
From Portfolio Selection to Portfolio Choice: Remembering Harry Markowitz	1
Institutional Investors as Architects of Change: Toward a New Theory of Firm Value Creation	1
Financial Networks and Portfolio Management	1
The Future of Fixed Income Is Systematic	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Markowitz Remembrance	1
Volatility Timing under Low-Volatility Strategy	1
Building on Finance Theory to Forge the Future of Investment Practice	1
Interview with Shaojun Zhang Formerly of Vanguard	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Agent Investing: A Constructive Approach	1
Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
Risky Corporate Bonds in 2021: A Bubble, or Rational Underwriting in a Low-Rate Environment?	1
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications	1
Interview with Ronald Hua of Qtron Investments	1
Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Editor’s Introduction to the Special Issue on Portfolio Manager Perspectives	1
The Cross-Section of Factor Returns	1
Mean-Variance Optimization for Simulation of Order Flow	1
Reminiscences on an Extraordinary Gentleman	1
How Much Information Is Required to Time the Market?	1
Further Applications of Mean–Variance Optimization	1
Diversification and Asset Allocation in the Post-COVID Era	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
Private Investing: A Survey of Issues and Solutions	1
Sector Rotation in Times of Crises	1
Alternative Risk Premium Fund Analysis	1
Leveraging the Low-Volatility Effect	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
Stock Selection Modeling and Portfolio Selection in Emerging Markets	1
Measuring Market Risk in Asset Management	1
Climate Output at Risk	1
Comparing Geopolitical Risk Measures	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1

Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Predicting Performance Using Consumer Big Data	1
Relevance-Based Importance: A Comprehensive Measure of Variable Importance in Prediction	1
Carbon-Tax-Adjusted Value	1
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
William T. Ziemba and a Brief Look at HisJournal of Portfolio ManagementLegacy	1
What to Do with All These Currencies?	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
History, Shocks, and Drifts: A New Approach to Portfolio Formation	1
Enhanced Backtesting for Practitioners	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Model-Free Market Risk Hedging Using Crowding Networks	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
Forecast Aggregation and Predictive Value	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	1
Four-Fold News Sentiment and Stock Returns	1
Strategic Asset Allocation and Inflation Resilience	1
The Return of the Call Auction	1
Overview of Investing in Private Corporate Debt	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Public or Private? Determining the Optimal Ownership Structure	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
Domesticating the Factor Zoo with Economic Theory	1
Bayes Rule and the Selection of Investment Managers	1
Fat and Heavy Tails in Asset Management	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Inflation Hedging: A Dynamic Approach Using Online Prices	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1
History Repeats Itself? The Nonstationarity Hazard	1
Emerging Markets Debt Securities: A Literature Review	0
Forecasting Stock–Bond Correlation	0
Endogenous Dynamics of Intraday Liquidity	0
Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage	0
Some Practical Considerations for the Total Portfolio Approach to Pension Fund Management	0
Termination Risk and Sustainability	0
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	0
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	0
Navigating Insolvency Risks in Emerging Markets	0
Stress Testing in a World of Compound Risks and Polycrises	0
Multi-Asset Style Factors Have Their Shining Moments	0
On Risk Parity Performance	0
Dual-Horizon Strategic Asset Allocation	0
Benchmarks Differ. Then They Get Revised	0
Managing Compound Risks in a Polycrisis World: Conference Overview	0
Interview with Wesley Phoa of Capital Group	0
Selecting Investment Analytic Framework for Both Top-Down and Bottom-Up Investors: Using Global Equity as the Example	0
Dynamic Asset Allocation Using Machine Learning: Seeing the Forest for the Trees	0
Applications of Portfolio Theory to Accelerating Biomedical Innovation	0
Institutional Investors in the Single-Family Rental Market	0
Return to Active Equity Management	0
Rethinking Emerging Markets: A Fresh Perspective	0
Editor’s Introduction to the Special Issue on Investing in Private Markets	0
Predicting Stock Index Changes	0
Estimation of Large Financial Covariances: A Cross-Validation Approach	0
Dissecting the Value Premium: A Novel Market-to-Book Decomposition	0
Compound Tail Risk	0
Editor’s Introduction for 2023 Special Issue on Quantitative Tools for Asset Management	0
When to Diversify Differently	0
Portfolio Factory	0
Fund Concentration: A Magnifier of Manager Skill	0
Tail Risk Hedging Performance: Measuring What Counts	0
A Tale of Two Tails: Mortality, Size, Volatility, and EPU	0
Long-Term Stock Market Risks and Returns: Insights from the Perspective of a Global EUR Investor	0
Interview with Daniel Farley of State Street Global Advisors	0
Unpacking Private Equity Performance	0
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	0
Leveling the Divide Between Discretionary and Systematic Investing: How AI Enables Breadth and Depth	0
Portfolio Selection: Efficient Diversification of Investments, 1959	0
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	0
International Diversification—Still Not Crazy after All These Years	0
The Modern Endowment Story: A Ubiquitous US Equity Factor	0
Low–Risk Alpha without Low Beta	0
Resurrecting Earnings-to-Price with Robust Control for Outliers	0
Style Investing, Mutual Fund Flows, and Return Comovement	0
Why Should Asset Management Be Interested in New Economic Thinking?	0
Total Portfolio Approach	0
Co-Occurrence: A New Perspective on Portfolio Diversification	0
Quantifying Narratives and Their Impact on Financial Markets	0
How Many Is Too Few? Revisiting the Number of Names in Equity Portfolios	0
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	0
A Framework for the Analysis of Unfolding Financial Crises	0
Trending Fast and Slow	0
Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations	0
Modeling Models: Factor and Risk Decompositions of Model Portfolio Strategies	0
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	0
Monte Carlo Simulation in Financial Modeling	0
Interview with Sébastien Page of T. Rowe Price	0
Incorporating Imputed Signal Values Efficiently in Portfolio Construction	0
The Markowitzatron: From Modern Portfolio Theory to Modern Petroleum Theory	0
A Century of Macro Factor Investing—Diversified Multi-Asset Multi-Factor Strategies through the Cycles	0