Highlights

Each month Portfolio Management Research showcases the most noteworthy articles from across its titles.

Negative WTI Price: What Really Happened and What Can We Learn?

Lingjie Ma

The Journal of Derivatives Spring 2022
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective

Stefano Cavaglia, Louis Scott, Kenneth Blay and Scott Hixon

The Journal of Portfolio Management, Multi-Asset Special Issue 2022
Active versus Passive: Old Wine in New Wine Skins

Eric Sorensen, Nicholas Alonso, Sebastian Lancetti and Daniel Belanger

The Journal of Portfolio Management, February 2022
When Do Investors Freak Out? Machine Learning Predictions of Panic Selling

Daniel Elkind, Kathryn Kaminski, Andrew W. Lo, Kien Wei Siah and Chi Heem Wong

The Journal of Financial Data Science, Winter 2022
GUEST COLUMN: Ongoing Collaboration and Discussion Crucial to Moving the Needle on Retirement Savings

Warren Cormier

The Journal of Retirement, Winter 2022
Richard Ennis’s Insights: Cutting through the Fog of Asset Class Labels

Richard M. Ennis

The Journal of Investing, February 2022
Rise of the Machines: Application of Machine Learning to Mortgage Prepayment Modeling

Glenn M. Schultz and Frank J. Fabozzi

The Journal of Fixed Income Winter 2022
The Future of Factor Investing

Dimitris Melas

The Journal of Portfolio Management Quantitative Special Issue 2022
Narrative, Storytelling, and Qualitative Due Diligence

Mark S. Rzepczynski

The Journal of Alternative Investments Due Diligence 2022
Sustainable Consumption and Production, Climate Change and Firm Performance

Maretno Agus Harjoto, Clemens Kownatzki, Jillian Alderman and Robert Lee

The Journal of Impact and ESG Investing Winter 2021
Cover’s Rebalancing Option with Discrete Hindsight Optimization

Alex Garivaltis

The Journal of Derivatives Winter 2021
Queue-Jumping and Strategic Limit Order Routing

Hitesh Mittal, Kathryn S. Berkow and Johnson Zachariah

The Journal of Investing Trading 2021

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