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.
Diversification—A Free Starbucks Cup of Coffee?
Mark Anson
The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.330; DOI: https://doi.org/10.3905/jpm.2022.1.330
Dual-Horizon Strategic Asset Allocation
Alexander Rudin and Daniel Farley
The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.331; DOI: https://doi.org/10.3905/jpm.2022.1.331
ESG Performance of Privately-held Versus Publicly-listed Firms: How Do US Private Firms Perform?
Maretno A. Harjoto and Clemens E. Kownatzki
The Journal of Impact and ESG Investing Spring 2022, jesg.2022.1.038; DOI: https://doi.org/10.3905/jesg.2022.1.038
Misperceptions of Bitcoin Volatility
Mieszko Mazur
The Journal of Alternative Investments Spring 2022, jai.2022.1.153; DOI: https://doi.org/10.3905/jai.2022.1.153
Portfolio Risk Mitigation without Bonds
Michael Stamos
The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.329; DOI: https://doi.org/10.3905/jpm.2022.1.329
When to Diversify Differently
Brian Jacobsen and Matthias Scheiber
The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.328; DOI: https://doi.org/10.3905/jpm.2022.1.328
An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints
Romain Deguest, Lionel Martellini and Vincent Milhau
The Journal of Fixed Income Spring 2022, jfi.2022.1.128; DOI: https://doi.org/10.3905/jfi.2022.1.128
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes
Chris Kelliher, Avishek Hazrachoudhury and Bill Irving
The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.327; DOI: https://doi.org/10.3905/jpm.2022.1.327
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion
Tak Kuen Siu and Robert J. Elliott
The Journal of Derivatives Spring 2022, jod.2022.1.147; DOI: https://doi.org/10.3905/jod.2022.1.147
Esg Score Design And Portfolio Construction
AJ Lindeman
The Journal of Impact and ESG Investing Spring 2022, jesg.2022.1.037; DOI: https://doi.org/10.3905/jesg.2022.1.037
Do Options Belong in the Portfolios of Individual Investors?
Victor Haghani, Vladimir Ragulin and James White
The Journal of Derivatives Derivatives in Asset Management 2022, jod.2022.1.145; DOI: https://doi.org/10.3905/jod.2022.1.145
Application of Credit Derivatives In Portfolio Management
Sameer Kackar and Kelly Rogal
The Journal of Derivatives Derivatives in Asset Management 2022, jod.2022.1.146; DOI: https://doi.org/10.3905/jod.2022.1.146
Term Risk Free Rates: Methodologies, Challenges, and Future
Xi (Figo) Liu and Yudi Bai
The Journal of Derivatives Spring 2022, jod.2022.1.144; DOI: https://doi.org/10.3905/jod.2022.1.144
BOOK REVIEW: Remaking Retirement: Debt in an Aging Economy
Will Sandbrook
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.102; DOI: https://doi.org/10.3905/jor.2021.1.102
Factor Investing with Classification-Based Supervised Machine Learning
Edward N. W. Aw, Joshua Jiang and John Q. Jiang
The Journal of Investing joi.2022.1.220; DOI: https://doi.org/10.3905/joi.2022.1.220
Auto ABS Loan-Level Data: Improved Risk Analysis
Yini Yang, Joy Zhang and Jiawei “David” Zhang
The Journal of Structured Finance Winter 2022, jsf.2022.1.130; DOI: https://doi.org/10.3905/jsf.2022.1.130
There Is No Unique Rational Decision Strategy in Financial Markets
Klaus Schredelseker
The Journal of Portfolio Management February 2022, jpm.2021.1.326; DOI: https://doi.org/10.3905/jpm.2021.1.326
The Covariance Structure between Liquid and Illiquid Assets
Marielle de Jong
The Journal of Portfolio Management February 2022, jpm.2021.1.318; DOI: https://doi.org/10.3905/jpm.2021.1.318
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
Kieran Wood, Stephen Roberts and Stefan Zohren
The Journal of Financial Data Science Winter 2022, jfds.2021.1.081; DOI: https://doi.org/10.3905/jfds.2021.1.081
Creating and Managing A Smif Club That Invests Exclusively In Mutual Funds
Riley M. L. Perkins, Michael D. Phillips and Dong Y. Nyonna
The Journal of Investing joi.2021.1.219; DOI: https://doi.org/10.3905/joi.2021.1.219
Income Enhancement with Options
Megan Miller, Brian Jacobsen and Martijn de Vree
The Journal of Derivatives Derivatives in Asset Management 2022, jod.2021.1.143; DOI: https://doi.org/10.3905/jod.2021.1.143
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, jpm.2021.1.325; DOI: https://doi.org/10.3905/jpm.2021.1.325
Quantifying Long-Term Market Impact
Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan Zohren
The Journal of Portfolio Management February 2022, jpm.2021.1.324; DOI: https://doi.org/10.3905/jpm.2021.1.324
Public and Private Equity Returns: Different or Same?
Alexander Rudin and Daniel Farley
The Journal of Portfolio Management February 2022, jpm.2021.1.323; DOI: https://doi.org/10.3905/jpm.2021.1.323
Tax Reform, Company Value, and Biden Proposals
Robin L. Walker, John R. Wingender and Thomas J. Purcell
The Journal of Investing February 2022, joi.2021.1.200; DOI: https://doi.org/10.3905/joi.2021.1.200
Intangible Ironies: Investor Mispricing of Company Assets On and Off its Balance Sheet
Sanne de Boer
The Journal of Investing February 2022, joi.2021.1.204; DOI: https://doi.org/10.3905/joi.2021.1.204
Richard Ennis’s Insights: Cutting through the Fog of Asset Class Labels
Richard M. Ennis
The Journal of Investing February 2022, joi.2021.1.218; DOI: https://doi.org/10.3905/joi.2021.1.218
Intangibles: The Missing Ingredient in Book Value
Feifei Li
The Journal of Portfolio Management February 2022, jpm.2021.1.322; DOI: https://doi.org/10.3905/jpm.2021.1.322
BOOK REVIEW: Remaking Retirement: Debt in an Aging Economy
Will Sandbrook
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.102; DOI: https://doi.org/10.3905/jor.2021.1.102
Negative WTI Price: What Really Happened and What Can We Learn?
Lingjie Ma
The Journal of Derivatives Spring 2022, jod.2021.1.141; DOI: https://doi.org/10.3905/jod.2021.1.141
Equity Portfolio Trading with Volatility and Dividend Derivatives
Radu Tunaru
The Journal of Derivatives Spring 2022, jod.2021.1.142; DOI: https://doi.org/10.3905/jod.2021.1.142
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, jfds.2021.1.085; DOI: https://doi.org/10.3905/jfds.2021.1.085
Seven Myths About US Infrastructure
Barry Gold and Allan Marks
The Journal of Structured Finance Winter 2022, jsf.2021.1.127; DOI: https://doi.org/10.3905/jsf.2021.1.128
Forests for Fama
Joseph Simonian
The Journal of Financial Data Science Winter 2022, jfds.2021.1.086; DOI: https://doi.org/10.3905/jfds.2021.1.086
Mass Customization of Asset Allocation
Tarek Issaoui, Romain Perchet, Olivier Retière, François Soupé, Chenyang Yin and Raul Leote de Carvalho
The Journal of Investing April 2022, joi.2021.1.217; DOI: https://doi.org/10.3905/joi.2021.1.217
ETF Arbitrage and Daily Cash Flow
Jon A. Fulkerson, Susan D. Jordan and Denver H. Travis
The Journal of Investing April 2022, joi.2021.1.216; DOI: https://doi.org/10.3905/joi.2021.1.216
History, Shocks, and Drifts: A New Approach to Portfolio Formation
Mark Kritzman and David Turkington
The Journal of Portfolio Management February 2022, jpm.2021.1.321; DOI: https://doi.org/10.3905/jpm.2021.1.321
BOOK REVIEW: Wealth After Work: Innovative Reforms to Expand Retirement Security
Stacy L. Schaus
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.101; DOI: https://doi.org/10.3905/jor.2021.1.101
Gains from Markowitz Optimization: Evidence from Reoptimization of Mutual Fund Holdings
Tony Elavia, S. P. Kothari, Xu Li and Haifeng You
The Journal of Portfolio Management February 2022, jpm.2021.1.319; DOI: https://doi.org/10.3905/jpm.2021.1.319
Predicting Performance Using Consumer Big Data
Kenneth Froot, Namho Kang, Gideon Ozik and Ronnie Sadka
The Journal of Portfolio Management February 2022, jpm.2021.1.320; DOI: https://doi.org/10.3905/jpm.2021.1.320
In Search of Market Outperformance: Another Look at Berkshire Hathaway
Anthony L. Loviscek and Kangzhen Xie
The Journal of Wealth Management Spring 2022, jwm.2021.1.163; DOI: https://doi.org/10.3905/jwm.2021.1.163
“Honey, I Shrunk the ESG Alpha”: Risk-Adjusting ESG Portfolio Returns
Giovanni Bruno, Mikheil Esakia and Felix Goltz
The Journal of Investing February 2022, joi.2021.1.215; DOI: https://doi.org/10.3905/joi.2021.1.215
BOOK REVIEW: Review of Book Reviews
Anthony Webb
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.100; DOI: https://doi.org/10.3905/jor.2021.1.100
Investable and Interpretable Machine Learning for Equities
Yimou Li, Zachary Simon and David Turkington
The Journal of Financial Data Science Winter 2022, jfds.2021.1.084; DOI: https://doi.org/10.3905/jfds.2021.1.084
Analysis of Sustainability Reports for Top 20 Companies in the S&P 500 Index
Asli Ascioglu, Juan Gonzalez and Leila Zbib
The Journal of Impact and ESG Investing Spring 2022, jesg.2021.1.036; DOI: https://doi.org/10.3905/jesg.2021.1.036
BOOK REVIEW: Retirement Planning Guidebook: Navigating the Important Decisions for Retirement Success
John A. Turner
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.099; DOI: https://doi.org/10.3905/jor.2021.1.099
COMMENTARY: Last Page
George Frankfurter
The Journal of Investing February 2022, joi.2021.1.214; DOI: https://doi.org/10.3905/joi.2021.1.214
Deep Learning for Exotic Option Valuation
Jay Cao, Jacky Chen, John Hull and Zissis Poulos
The Journal of Financial Data Science Winter 2022, jfds.2021.1.083; DOI: https://doi.org/10.3905/jfds.2021.1.083
An Empirical Examination of Lifestyle Mutual Funds
Srinidhi Kanuri
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.098; DOI: https://doi.org/10.3905/jor.2021.1.098
NLP for SDGs: Measuring Corporate Alignment with the Sustainable Development Goals
Mike Chen, George Mussalli, Amir Amel-Zadeh and Michael Oliver Weinberg
The Journal of Impact and ESG Investing Spring 2022, jesg.2021.1.035; DOI: https://doi.org/10.3905/jesg.2021.1.035
ESG and Alternative Data: Capturing Corporates’ Sustainability-Related Activities with Job Postings
Arik Ben Dor, Jingling Guan, Adam Kelleher, Adam Lauretig, Ryan Preclaw and Xiaming Zeng
The Journal of Financial Data Science Winter 2022, jfds.2021.1.082; DOI: https://doi.org/10.3905/jfds.2021.1.082
Changes in Ownership Breadth and Capital Market Anomalies
Yangru Wu and Weike Xu
The Journal of Portfolio Management February 2022, jpm.2021.1.317; DOI: https://doi.org/10.3905/jpm.2021.1.317
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization
Sander Gerber, Harry M. Markowitz, Philip A. Ernst, Yinsen Miao, Babak Javid and Paul Sargen
The Journal of Portfolio Management February 2022, jpm.2021.1.316; DOI: https://doi.org/10.3905/jpm.2021.1.316
Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas
F. Amir-Ghassemi, A. Papanicolaou and M. Perlow
The Journal of Portfolio Management February 2022, jpm.2021.1.313; DOI: https://doi.org/10.3905/jpm.2021.1.313
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
Kieran Wood, Stephen Roberts and Stefan Zohren
The Journal of Financial Data Science Winter 2022, jfds.2021.1.081; DOI: https://doi.org/10.3905/jfds.2021.1.081
Analysis and Comparison of Natural Language Processing Algorithms as Applied to Bitcoin Conversations on Social Media
Benjamin McMillan, Joshua Myers, An Nguyen, Don Robinson and Mark Kennard
The Journal of Investing February 2022, joi.2021.1.213; DOI: https://doi.org/10.3905/joi.2021.1.213
The Trouble with State Government Employee Pension Plans: The Case of Connecticut
Mark J. Warshawsky
The Journal of Retirement DCIIIA Forum 2022, jor.2021.1.097; DOI: https://doi.org/10.3905/jor.2021.1.097
Cryptocurrency Sectorization through Clustering and Web-Scraping: Application to Systematic Trading
Babak Mahdavi-Damghani, Robert Fraser, James Howell and Jon Sveinbjorn Halldorsson
The Journal of Financial Data Science Winter 2022, jfds.2021.1.080; DOI: https://doi.org/10.3905/jfds.2021.1.080
The Performance Life Cycle of Hedge Funds: Can Investors Achieve Lasting Performance?
Chao Gao, Timothy D. Haight, Chengdong Yin and Chengsi Zhang
The Journal of Portfolio Management April 2022, jpm.2021.1.315; DOI: https://doi.org/10.3905/jpm.2021.1.315
The Better-of-Two Strategy for Active versus Passive Management: The Option Value of Active through Time
Steve Fox and P. Brett Hammond
The Journal of Portfolio Management February 2022, jpm.2021.1.314; DOI: https://doi.org/10.3905/jpm.2021.1.314
Trending Fast and Slow
Eddie Cheng, Nazar Kostyuchyk, Wai Lee, Pai Liu and Chenfei Ma
The Journal of Portfolio Management February 2022, jpm.2021.1.312; DOI: https://doi.org/10.3905/jpm.2021.1.312
Collins v. Yellen: The Supreme Court Addresses Constitutional Challenges to the FHFA More Than a Decade After the Financial Crisis
Alex Malyshev
The Journal of Structured Finance Winter 2022, jsf.2021.1.127; DOI: https://doi.org/10.3905/jsf.2021.1.127
The Historical Record on Active versus Passive Mutual Fund Performance
David Nanigian
The Journal of Investing joi.2021.1.212; DOI: https://doi.org/10.3905/joi.2021.1.212
Extracting Factor Loadings from Capital Market Assumptions: What is Embedded in Forecast Hedge Fund Returns?
William W. Jennings and Brian C. Payne
The Journal of Wealth Management Spring 2022, jwm.2021.1.162; DOI: https://doi.org/10.3905/jwm.2021.1.162
Optimal Goals-Based Investment Strategies for Switching Between Bull and Bear Markets
Sanjiv R. Das, Daniel Ostrov, Aviva Casanova, Anand Radhakrishnan and Deep Srivastav
The Journal of Wealth Management Spring 2022, jwm.2021.1.161; DOI: https://doi.org/10.3905/jwm.2021.1.161
A Case Study in Sequence Risk: A 20-Year Retrospective on the Impact of the 2000–2002 and 2007–2009 Bear Markets on Retirement Nest Egg Sustainability
Jack C. DeJong and John H. Robinson
The Journal of Wealth Management Spring 2022, jwm.2021.1.160; DOI: https://doi.org/10.3905/jwm.2021.1.160
Evaluating the Performance of World Allocation Funds
Srinidhi Kanuri and Davinder Malhotra
The Journal of Wealth Management Spring 2022, jwm.2021.1.158; DOI: https://doi.org/10.3905/jwm.2021.1.158
Artjewel: No Treasure for Posh Ventures
Ramesh Bhat, Papiya De and Amit Shrivastava
The Journal of Wealth Management Spring 2022, jwm.2021.1.159; DOI: https://doi.org/10.3905/jwm.2021.1.159
Systematic Pricing and Trading of Municipal Bonds
Petter N. Kolm and Sudarshan Purushothaman
The Journal of Financial Data Science Winter 2022, jfds.2021.1.079; DOI: https://doi.org/10.3905/jfds.2021.1.079
BOOK REVIEW: “First Generation Wealth” and “The Destructive Power of Family Wealth”
Paul Bouchey
The Journal of Wealth Management Spring 2022, jwm.2021.1.157; DOI: https://doi.org/10.3905/jwm.2021.1.157
Outlier Events in Major Cryptocurrency Markets: Is There Evidence of Overreaction?
Mark Schaub
The Journal of Wealth Management Spring 2022, jwm.2021.1.155; DOI: https://doi.org/10.3905/jwm.2021.1.155
Negative Beta Equity Securities as Insurance
Tom Arnold and Terry D. Nixon
The Journal of Wealth Management Spring 2022, jwm.2021.1.156; DOI: https://doi.org/10.3905/jwm.2021.1.156
The Impact of Leakages from 401(k)s and IRAs
Alicia H. Munnell and Anthony Webb
The Journal of Retirement Winter 2022, jor.2021.1.096; DOI: https://doi.org/10.3905/jor.2021.1.096
Employee Opinions about Partial Annuitization in a Retirement Plan
Michael Finke and Jason J. Fichtner
The Journal of Retirement Winter 2022, jor.2021.1.095; DOI: https://doi.org/10.3905/jor.2021.1.095
Protecting Portfolios Against Inflation
Eugene Podkaminer, Wylie Tollette and Laurence Siegel
The Journal of Investing joi.2021.1.207; DOI: https://doi.org/10.3905/joi.2021.1.207
True Lender Issues: One Step Forward, Two Steps Back?
Reed D. Auerbach, Susan F. DiCicco and David I. Monteiro
The Journal of Structured Finance Winter 2022, jsf.2021.1.126; DOI: https://doi.org/10.3905/jsf.2021.1.126
Enhancing Equity Index Mutual Fund Returns Using Cost and Morningstar Ratings Information
C. Edward Chang, Thomas M. Krueger and H. Doug Witte
The Journal of Investing joi.2021.1.206; DOI: https://doi.org/10.3905/joi.2021.1.206
Intangible Ironies: Investor Mispricing of Company Assets On and Off its Balance Sheet
Sanne de Boer
The Journal of Investing joi.2021.1.204; DOI: https://doi.org/10.3905/joi.2021.1.204
Applying News Sentiment for Optimizing Strategic Asset Allocations
Philippe Rohner and Matthias W. Uhl
The Journal of Investing Behavioral Finance 2022, joi.2021.1.203; DOI: https://doi.org/10.3905/joi.2021.1.203
The Information in Low Forecasts
Haim A. Mozes
The Journal of Investing Behavioral Finance-2022, joi.2021.1.202; DOI: https://doi.org/10.3905/joi.2021.1.202