Highlights

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

Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework

Emmanuel Jurczenko and Jérôme Teiletche

The Journal of Alternative Investments
The Alpha, Beta, and Sigma of ESG: Better Beta, Additional Alpha?

Brian Jacobsen, Wai Lee and Chao Ma

The Journal of Portfolio Management
Towards a General Local Volatility Model for All Asset Classes

Dariusz Gatarek and Juliusz Jabłecki

The Journal of Derivatives
The Need for Speed: Does High-Frequency Trading Make or Break Equity Markets?

Ramu Thiagarajan, Richard F. Lacaille, Hanbin Im and Jingyan Wang

The Journal of Index Investing
Have Private Equity Returns Really Declined?

Gregory W. Brown and Steven N. Kaplan

The Journal of Private Equity
Industry Return Predictability: A Machine Learning Approach

David E. Rapach, Jack K. Strauss, Jun Tu and Guofu Zhou

The Journal of Financial Data Science
A Migrant Flow Pension Model for Small Open Economies

Marion Laboure and Juergen Braunstein

The Journal of Retirement
How Much Is Behavioral Advice Worth?

Michael M. Pompian

The Journal of Wealth Management
Be Wary of Black-Box Trading Algorithms

Gary Smith

The Journal of Investing
The Role of ABS CDOs in the Financial Crisis

Larry Cordell, Greg Feldberg and Danielle Sass

The Journal of Structured Finance
Are Bond Ratings Informative? Evidence from Regulatory Regime Changes

Louis Ederington, Jeremy Goh, Yen Teik Lee and Lisa (Zongfei) Yang

The Journal of Fixed Income
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed?

Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert

The Journal of Portfolio Management

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