Highlights

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

On the Importance of Manager Selection: The Case of Timber Funds

Chung-Hong Fu

The Journal of Alternative Investments
Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model

Riccardo Rebonato and Riccardo Ronzani

The Journal of Fixed Income
From SRI to ESG: The Origins of Socially Responsible and Sustainable Investing

Blaine Townsend

The Journal of Impact and ESG Investing
Market Liquidity: An Elusive Variable

Robert A. Schwartz, Reto Francioni and Peter Weber

The Journal of Portfolio Management
Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities

Luca Capriotti and Ruggero Vaia

The Journal of Derivatives
A Better Way to Index: Revisiting and Revising a Central Tenet of Index Methodology

Miles Huffman and Shiyun Song

The Journal of Index Investing
A Better Approach to Systematic Outperformance? 58 Years of Endowment Performance

Dennis Hammond

The Journal of Investing
Foreclosures and Their Costs: Could They Have Been Avoided? The Case of California during the Mortgage Crisis

Mejda Bahlous-Boldi

The Journal of Structured Finance
Refining After-Tax Return and Risk Parameters

Peter Mladina

The Journal of Wealth Management
Participation and Pre-Retirement Withdrawals in Oregon’s Auto-IRA

Laura D. Quinby, Alicia H. Munnell, Wenliang Hou, Anek Belbase and Geoffrey T. Sanzenbacher

The Journal of Retirement
Machine Trading: Theory, Advances, and Applications

Dilip B. Madan and Yazid M. Sharaiha

The Journal of Financial Data Science
An Empirical Examination of the Term Structure Fundamentals of Credit Spreads

The Journal of Fixed Income

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