New Research
At Portfolio Management Research we understand accessing high-quality, thought-provoking, timely research is critical to the success of your portfolios. All our articles are published online first, meaning you have immediate access to the latest financial intelligence, as soon as it is available.
Economic Growth, Poverty, and Income Inequality: Implications for Lower- and Middle-Income Countries in the Era of Globalization
Houda Lechheb, Hicham Ouakil and Youness Jouilil
The Journal of Private Equity Winter 2019, jpe.2019.1.097; DOI: https://doi.org/10.3905/jpe.2019.1.097
Sovereign Bonds in Emerging Asia: Do Investors Demand Liquidity Premium?
Rintu Anthony and Krishna Prasanna
The Journal of Fixed Income Winter 2020, jfi.2019.1.079; DOI: https://doi.org/10.3905/jfi.2019.1.079
Infrastructure Investment as a True Portfolio Diversifier
Clémence Duclos
The Journal of Private Equity Winter 2019, jpe.2019.1.096; DOI: https://doi.org/10.3905/jpe.2019.1.096
KIDS Thematic Indices: Enabling Investors to Invest in Firms That Cater to Children
Rama Malladi
The Journal of Index Investing Winter 2019, jii.2019.1.075; DOI: https://doi.org/10.3905/jii.2019.1.075
Overview of Venture Capital Landscape in India
Mohammad Mustafa
The Journal of Private Equity Winter 2019, jpe.2019.1.098; DOI: https://doi.org/10.3905/jpe.2019.1.098
A Complete Model for Pricing CoCo Bonds
Krasimir Milanov, Ognyan Kounchev and Frank J. Fabozzi
The Journal of Fixed Income Winter 2020, jfi.2019.1.077; DOI: https://doi.org/10.3905/jfi.2019.1.077
Michael Milken: The Junk Dealer
Ravi Kashyap
The Journal of Private Equity Winter 2019, jpe.2019.1.095; DOI: https://doi.org/10.3905/jpe.2019.1.095
Relative Shortage of Long-Term Treasury Securities and the Flat Yield Curve
Peng Zhang
The Journal of Fixed Income jfi.2019.1.078; DOI: https://doi.org/10.3905/jfi.2019.1.078
Leveraged Investment Products: Monthly Rebalancing Boosts Performance, but Tail Risk Looms
Matthew S. Crouse
The Journal of Index Investing Winter 2019, jii.2019.1.074; DOI: https://doi.org/10.3905/jii.2019.1.074
Implied Asset Value Volatility from a New Structural Model of Credit Risk
James Chen
The Journal of Fixed Income Winter 2020, jfi.2019.1.076; DOI: https://doi.org/10.3905/jfi.2019.1.076
The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
Robert Brooks, Don Chance and Michael Hemler
The Journal of Derivatives Winter 2019, jod.2019.1.087; DOI: https://doi.org/10.3905/jod.2019.1.087
Implications of Default Information Leakage on Recoveries
Mao-Wei Hung and Wen-Hsin Tsai
The Journal of Fixed Income Winter 2020, jfi.2019.1.075; DOI: https://doi.org/10.3905/jfi.2019.1.075
The Unrealistic Optimism That Threatens Retirement Security
Alfred Rappaport
The Journal of Retirement Fall 2019, jor.2019.1.056; DOI: https://doi.org/10.3905/jor.2019.1.056
Financing the Middle Market: Growth and Evolution
Michael T. Mullins and Russell J. Casper
The Journal of Structured Finance Fall 2019, jsf.2019.1.082; DOI: https://doi.org/10.3905/jsf.2019.1.082
International Trade and Stock Market Integration: Evidence from Study of India and Its Major Trading Partners
Ritesh Jayantibhai Patel
The Journal of Private Equity Winter 2019, jpe.2019.1.093; DOI: https://doi.org/10.3905/jpe.2019.1.093
Top-Up Contributions to Social Security
John A. Turner
The Journal of Retirement Fall 2019, jor.2019.1.057; DOI: https://doi.org/10.3905/jor.2019.1.057
The Future Dynamics of the Chemical Distribution Business in the ASEAN with the Anticipated Surge of M&A
Tay Kin Bee
The Journal of Private Equity Winter 2019, jpe.2019.1.092; DOI: https://doi.org/10.3905/jpe.2019.1.092
Global Forces on the US CLO Market
Kevin Kendra
The Journal of Structured Finance Fall 2019, jsf.2019.1.081; DOI: https://doi.org/10.3905/jsf.2019.1.081
Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification!
Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplénie and Raul Leote de Carvalho
The Journal of Fixed Income Winter 2020, jfi.2019.1.074; DOI: https://doi.org/10.3905/jfi.2019.1.074
ESG Controversies and Their Impact on Performance
Carmine de Franco
The Journal of Investing ESG Special Issue 2020, joi.2019.1.106; DOI: https://doi.org/10.3905/joi.2019.1.106
Model Uncertainty and Pricing Performance in Option Valuation
Dennis Bams, Gildas Blanchard and Thorsten Lehnert
The Journal of Derivatives Winter 2019, jod.2019.1.086; DOI: https://doi.org/10.3905/jod.2019.1.086
Start-Up Accelerators and Crowdfunding to Drive Innovation Development
Wesley L. Harris and Jarunee Wonglimpiyarat
The Journal of Private Equity Winter 2019, jpe.2019.1.091; DOI: https://doi.org/10.3905/jpe.2019.1.091
Legislative and Regulatory Considerations in the Leveraged Loan and CLO Markets: Are They Still Safe?
Elliot Ganz
The Journal of Structured Finance Fall 2019, jsf.2019.1.080; DOI: https://doi.org/10.3905/jsf.2019.1.080
Fourier Method for Valuation of Options under Parameter and State Uncertainty
Erik Lindström
The Journal of Derivatives Winter 2019, jod.2019.1.085; DOI: https://doi.org/10.3905/jod.2019.1.085
Seeking Alpha from Share Repurchases
Atreya Chakraborty, James L. Grant, Emery A. Trahan and Bhakti Varma
The Journal of Investing December 2019, joi.2019.1.104; DOI: https://doi.org/10.3905/joi.2019.1.104
How to Increase the Odds of Owning the Few Stocks that Drive Returns
Chris Tidmore, Francis M. Kinniry, Giulio Renzi-Ricci and Edoardo Cilla
The Journal of Investing December 2019, joi.2019.1.103; DOI: https://doi.org/10.3905/joi.2019.1.103
Supply and Demand Power of Gold Influencing Gold Pricing
Manu Sharma, Puneet Gupta and Rouhi Gopal
The Journal of Wealth Management Winter 2019, jwm.2019.1.088; DOI: https://doi.org/10.3905/jwm.2019.1.088
Cryptocurrency and Blockchains: Retail to Institutional
Rand Low and Terry Marsh
The Journal of Investing December 2019, joi.2019.1.102; DOI: https://doi.org/10.3905/joi.2019.1.102
Capture Ratios: Seizing Market Gains, Avoiding Losses, and Attracting Investors’ Funds
Timothy Marlo and Jeffrey R. Stark
The Journal of Investing December 2019, joi.2019.1.100; DOI: https://doi.org/10.3905/joi.2019.1.100
Evaluating Opportunities in Active Management
Abhishek Gupta, Raina Oberoi and Raman Aylur Subramanian
The Journal of Investing December 2019, joi.2019.1.101; DOI: https://doi.org/10.3905/joi.2019.1.101
Fitting Private Equity into the Total Portfolio Framework
Alexander Rudin, Jason Mao, Nan R. Zhang and Anne-Marie Fink
The Journal of Portfolio Management November 2019, jpm.2019.1.106; DOI: https://doi.org/10.3905/jpm.2019.1.106
Medicare and Tax Planning for Higher-Income Households
William Reichenstein and William Meyer
The Journal of Wealth Management Winter 2019, jwm.2019.1.087; DOI: https://doi.org/10.3905/jwm.2019.1.087
The Impact of Macro-Economic Determinants on the S&P Energy, S&P Industrial, S&P IPO, and S&P Telecom Index of BSE
Aakruthi A. Alarnkar
The Journal of Wealth Management Winter 2019, jwm.2019.1.086; DOI: https://doi.org/10.3905/jwm.2019.1.086
Managing the Downside of Active and Passive Strategies— Part 1: Convexity and Fragilities
Raphael Douady
The Journal of Portfolio Management November 2019, jpm.2019.1.112; DOI: https://doi.org/10.3905/jpm.2019.1.112
Relative Strength over Investment Horizons and Stock Returns
Zhaobo Zhu, Xinrui Duan and Jun Tu
The Journal of Portfolio Management November 2019, jpm.2019.1.111; DOI: https://doi.org/10.3905/jpm.2019.1.111
Concepts, Components and Collections of Trading Strategies and Market Color
Ravi Kashyap
The Journal of Wealth Management Winter 2019, jwm.2019.1.082; DOI: https://doi.org/10.3905/jwm.2019.1.082
Attributes and Implications of Mutual Fund Revenue Sharing and ‘Defensive’ 12b-1 Fees
John A. Haslem
The Journal of Wealth Management Winter 2019, jwm.2019.1.085; DOI: https://doi.org/10.3905/jwm.2019.1.085
Markowitz Portfolios with Graham Bands in the Accumulation Phase
Paul Hagelstein, Isabella Lackner, James Otto, Austin Perona and Robert Piziak
The Journal of Wealth Management Winter 2019, jwm.2019.1.084; DOI: https://doi.org/10.3905/jwm.2019.1.084
Trust within Investment Decisions and Advice
Petra Ritzer-Angerer
The Journal of Wealth Management Winter 2019, jwm.2019.1.083; DOI: https://doi.org/10.3905/jwm.2019.1.083
Dynamic Strategy Migration and the Evolution of Risk Premia
David E. Kuenzi
The Journal of Portfolio Management November 2019, jpm.2019.1.110; DOI: https://doi.org/10.3905/jpm.2019.1.110
The Golden Age of Quant
Eric H. Sorensen
The Journal of Portfolio Management November 2019, jpm.2019.1.109; DOI: https://doi.org/10.3905/jpm.2019.1.109
Policy Portfolios and Portfolio Characteristics
Joseph Simonian
The Journal of Portfolio Management November 2019, jpm.2019.1.108; DOI: https://doi.org/10.3905/jpm.2019.1.108
Exchange Rate Shocks and the Dynamics of International Asset-Backed Securities (ABS)
Oyakhilome Ibhagui
The Journal of Structured Finance Winter 2020, jsf.2019.1.079; DOI: https://doi.org/10.3905/jsf.2019.1.079
Volatility-Managed Portfolio: Does It Really Work?
Fang Liu, Xiaoxiao Tang and Guofu Zhou
The Journal of Portfolio Management November 2019, jpm.2019.1.107; DOI: https://doi.org/10.3905/jpm.2019.1.106
Alice in Wonderland… or Is It Plunderland?: The Generational Implications of Social Security Financing Policy and New Proposals to Expand Benefits
Sylvester J. Schieber
The Journal of Retirement Fall 2019, jor.2019.1.055; DOI: https://doi.org/10.3905/jor.2019.1.055
Enhancing Time-Series Momentum Strategies Using Deep Neural Networks
Bryan Lim, Stefan Zohren and Stephen Roberts
The Journal of Financial Data Science Fall 2019, jfds.2019.1.015; DOI: https://doi.org/10.3905/jfds.2019.1.015
Reconstructing Emerging and Developed Markets Using Hierarchical Clustering
Gerald Garvey and Ananth Madhavan
The Journal of Financial Data Science Fall 2019, jfds.2019.1.014; DOI: https://doi.org/10.3905/jfds.2019.1.014
Diversification Benefits, Where Art Thou?
Sam Pittman, Amneet Singh and Sangeetha Srinivasan
The Journal of Wealth Management Winter 2019, jwm.2019.1.081; DOI: https://doi.org/10.3905/jwm.2019.1.081
Proofs and Cross-Validations: Three Lessons for Financial Data Science
Joseph Simonian
The Journal of Financial Data Science Fall 2019, jfds.2019.1.009; DOI: https://doi.org/10.3905/jfds.2019.1.009
Time-Series Momentum: A Monte Carlo Approach
Clemens Struck and Enoch Cheng
The Journal of Financial Data Science Fall 2019, jfds.2019.1.012; DOI: https://doi.org/10.3905/jfds.2019.1.012
Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares Cases
Adriano Koshiyama and Nick Firoozye
The Journal of Financial Data Science Fall 2019, jfds.2019.1.013; DOI: https://doi.org/10.3905/jfds.2019.1.013
Why Do Enterprise Multiples Predict Expected Stock Returns?
Steven S. Crawford, Wesley R. Gray and Jack Vogel
The Journal of Portfolio Management November 2019, jpm.2019.1.105; DOI: https://doi.org/10.3905/jpm.2019.1.105
Automated Theme Search in ICO Whitepapers
Fu Chuanjie, Andrew Koh and Paul Griffin
The Journal of Financial Data Science Fall 2019, jfds.2019.1.011; DOI: https://doi.org/10.3905/jfds.2019.1.011
Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes
Poh Ling Neo and Chyng Wen Tee
The Journal of Derivatives Winter 2019, jod.2019.1.083; DOI: https://doi.org/10.3905/jod.2019.1.083
Proofs and Cross-Validations: Three Lessons for Financial Data Science
Joseph Simonian
The Journal of Financial Data Science Fall 2019, jfds.2019.1.009; DOI: https://doi.org/10.3905/jfds.2019.1.009
Should Taxable Investors Shun Dividends?
Ronen Israel, Joseph Liberman, Nathan Sosner and Lixin Wang
The Journal of Wealth Management Winter 2019, jwm.2019.1.080; DOI: https://doi.org/10.3905/jwm.2019.1.080
Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and Generation
Daniel M. DiPietro
The Journal of Financial Data Science Fall 2019, jfds.2019.1.008; DOI: https://doi.org/10.3905/jfds.2019.1.008
Exchange Traded Funds as an International Diversification Tool for Socially Responsible Investors
Javier Rodríguez and Herminio Romero
The Journal of Wealth Management Winter 2019, jwm.2019.1.079; DOI: https://doi.org/10.3905/jwm.2019.1.079
Using the Volatility Risk Premium to Mitigate the Next Financial Crisis
Wei Ge
The Journal of Wealth Management Winter 2019, jwm.2019.1.078; DOI: https://doi.org/10.3905/jwm.2019.1.078