Risk Management

Currency-Hedging Optimization for Multi-Asset Portfolios
Helen Guo and Laura Ryan
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 100-113; DOI: https://doi.org/10.3905/jpm.2018.44.2.100

Predicting Stock Market Crashes in China
Sébastien Lleo and William T. Ziemba
The Journal of Portfolio Management Spring 2018, 44 (5) 125-135; DOI: https://doi.org/10.3905/jpm.2018.1.078

A Case for Tail-Risk-Based Sharpe Ratios
James X. Xiong and Thomas M. Idzorek
The Journal of Portfolio Management Winter 2018, 44 (3) 114-125; DOI: https://doi.org/10.3905/jpm.2018.44.3.114

What Happens to Stocks when Interest Rates Rise?
Andrew L. Berkin
The Journal of Investing Summer 2018, 27 (2) 126-135; DOI: https://doi.org/10.3905/joi.2018.27.2.126

Right Tail Hedging: Managing Risk When Markets Melt Up
Vineer Bhansali
The Journal of Portfolio Management Summer 2018, 44 (7) 55-62; DOI: https://doi.org/10.3905/jpm.2018.44.7.055

Consistent Risk Modeling of Liquid and Illiquid Asset Returns
Bingxu Chen and David Greenberg
The Journal of Portfolio Management Special Real Estate Issue 2017, 43 (6) 73-89; DOI: https://doi.org/10.3905/jpm.2017.43.6.073

Defensive Portfolio Construction Based on Extreme Value at Risk
Frank Schmielewski and Stoyan Stoyanov
The Journal of Portfolio Management Spring 2017, 43 (3) 42-50; DOI: https://doi.org/10.3905/jpm.2017.43.3.042

A Wealth Management Perspective on Factor Premia and the Value of Downside Protection
Louis Scott and Stefano Cavaglia
The Journal of Portfolio Management Spring 2017, 43 (3) 33-41; DOI: https://doi.org/10.3905/jpm.2017.43.3.033

Predicting Longevity: An Analysis of Potential Alternatives to Life Expectancy Reports
Jiahua Xu and Adrian Hoesch
The Journal of Investing Fall 2018, 27 (supplement) 65-79; DOI: https://doi.org/10.3905/joi.2018.27.supplement.065

Measuring Factor Exposures: Uses and Abuses
Ronen Israel and Adrienne Ross
The Journal of Alternative Investments Summer 2017, 20 (1) 10-25; DOI: https://doi.org/10.3905/jai.2017.20.1.010

The Credit Risk Premium
Attakrit Asvanunt and Scott Richardson
The Journal of Fixed Income Winter 2017, 26 (3) 6-24; DOI: https://doi.org/10.3905/jfi.2017.26.3.006

Quantifying Downside Risk in Goal-Based Portfolios
Franklin J. Parker
The Journal of Wealth Management Winter 2014, 17 (3) 68-77; DOI: https://doi.org/10.3905/jwm.2014.17.3.068

Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach
Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov and Barry Schachter
The Journal of Derivatives Summer 2015, 22 (4) 10-25; DOI: https://doi.org/10.3905/jod.2015.22.4.010