Portfolio Management / Multi-Asset Allocation

A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later
Meb Faber
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 156-167; DOI: https://doi.org/10.3905/jpm.2018.44.2.156

Asset Allocation and Factor Investing: An Integrated Approach
Alain Bergeron, Mark Kritzman and Gleb Sivitsky
The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 32-38; DOI: https://doi.org/10.3905/jpm.2018.44.4.032

Evaluating Multi-Asset Strategies
K. Stuart Peskin
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 40-49; DOI: https://doi.org/10.3905/jpm.2018.44.2.040

Does Past Performance Matter in Investment Manager Selection?
Bradford Cornell, Jason Hsu and David Nanigian
The Journal of Portfolio Management Summer 2017, 43 (4) 33-43; DOI: https://doi.org/10.3905/jpm.2017.43.4.033

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions
Lionel Martellini and Vincent Milhau
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 8-22; DOI: https://doi.org/10.3905/jpm.2018.44.2.008

Bridging the Gap: Adding Factors to Passive and Active Allocations
Anil Rao, Raman Aylur Subramanian and Dimitris Melas
The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 17-31; DOI: https://doi.org/10.3905/jpm.2018.44.4.017

Building Diversified Portfolios that Outperform Out of Sample
Marcos López de Prado
The Journal of Portfolio Management Summer 2016, 42 (4) 59-69; DOI: https://doi.org/10.3905/jpm.2016.42.4.059

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio
Gregory Gadzinski, Markus Schuller and Andrea Vacchino
The Journal of Portfolio Management summer 2018, 44 (7) 12-23; DOI: https://doi.org/10.3905/jpm.2018.44.7.012

An Alternative Option to Portfolio Rebalancing
Roni Israelov and Harsha Tummala
The Journal of Derivatives Spring 2018, 25 (3) 7-32; DOI: https://doi.org/10.3905/jod.2018.25.3.007

Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies
Zoltán Nagy, Altaf Kassam and Linda-Eling Lee
The Journal of Investing Summer 2016, 25 (2) 113-124; DOI: https://doi.org/10.3905/joi.2016.25.2.113

Capacity Analysis for Equity Funds
Michael O’Neill, Camille Schmidt and Geoffrey Warren
The Journal of Portfolio Management Spring 2018, 44 (5) 36-49; DOI: https://doi.org/10.3905/jpm.2018.44.5.036

Total Portfolio Factor, Not Just Asset, Allocation
Robert Bass, Scott Gladstone and Andrew Ang
The Journal of Portfolio Management Special QES Issue 2017, 43 (5) 38-53; DOI: https://doi.org/10.3905/jpm.2017.43.5.038