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.
Quantum Option Pricing and Quantum Finance
Sergio Focardi, Frank J. Fabozzi and Davide Mazza
The Journal of Derivatives Fall 2020, jod.2020.1.111; DOI: https://doi.org/10.3905/jod.2020.1.111
What Is All Efficiency?—A Note
George Frankfurter
The Journal of Investing August 2020, joi.2020.1.135; DOI: https://doi.org/10.3905/joi.2020.1.135
PERSPECTIVES: The New Normal 2.0
Mohamed A. El-Erian
The Journal of Portfolio Management July 2020, jpm.2020.1.164; DOI: https://doi.org/10.3905/jpm.2020.1.164
Hidden in Plain Sight—The Impact of Undrawn Commitments
Thomas Meyer
The Journal of Alternative Investments Fall 2020, jai.2020.1.101; DOI: https://doi.org/10.3905/jai.2020.1.101
Psychological Antecedents of Financial Risk Tolerance
Heena Thanki, Anushree Karani and Anil Kumar Goyal
The Journal of Wealth Management Fall 2020, jwm.2020.1.111; DOI: https://doi.org/10.3905/jwm.2020.1.111
Refining After-Tax Return and Risk Parameters
Peter Mladina
The Journal of Wealth Management Fall 2020, jwm.2020.1.112; DOI: https://doi.org/10.3905/jwm.2020.1.112
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?
Noël Amenc, Felix Goltz and Ben Luyten
The Journal of Portfolio Management July 2020, jpm.2020.1.161; DOI: https://doi.org/10.3905/jpm.2020.1.161
Downside Volatility-Managed Portfolios
Xiao Qiao, Sibo Yan and Binbin Deng
The Journal of Portfolio Management July 2020, jpm.2020.1.162; DOI: https://doi.org/10.3905/jpm.2020.1.162
The Devil Is in the Details: The Risks Often Ignored in Low-Volatility Investing
Nicholas Alonso and Oleg Nusinzon
The Journal of Portfolio Management July 2020, jpm.2020.1.163; DOI: https://doi.org/10.3905/jpm.2020.1.163
Time Horizon, Risk, and Implications for Equity Selection
Sunder R. Ramkumar
The Journal of Portfolio Management July 2020, jpm.2020.1.159; DOI: https://doi.org/10.3905/jpm.2020.1.159
Using CAPE to Forecast Country Returns for Designing an International Country Rotation Portfolio
Sailesh S. Radha
The Journal of Portfolio Management July 2020, jpm.2020.1.160; DOI: https://doi.org/10.3905/jpm.2020.1.160
Cross-Sectional Equity Correlations and the Value of Active Management
Gregg S. Fisher, Michael B. McDonald and Steven E. Kozlowski
The Journal of Index Investing Summer 2020, jii.2020.1.089; DOI: https://doi.org/10.3905/jii.2020.1.089
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data
Arik Ben Dor, Jingling Guan and Carlo Rosa
The Journal of Portfolio Management July 2020, jpm.2020.1.156; DOI: https://doi.org/10.3905/jpm.2020.1.156
Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
George O. Aragon, Rajnish Mehra and Sunil Wahal
The Journal of Portfolio Management July 2020, jpm.2020.1.158; DOI: https://doi.org/10.3905/jpm.2020.1.158
What’s Priced? Estimating Market Mispricing of Macroeconomic News
Kevin Ferriter, Pierre Sarrau and Eric Van Nostrand
The Journal of Portfolio Management July 2020, jpm.2020.1.157; DOI: https://doi.org/10.3905/jpm.2020.1.157
Be Prepared: Exploring Future Climate-Related Risk for Residential and Commercial Real Estate Portfolios
Mark Westcott, John Ward, Swenja Surminski, Paul Sayers, David N. Bresch and Bronwyn Claire
The Journal of Alternative Investments Summer 2020, jai.2020.1.100; DOI: https://doi.org/10.3905/jai.2020.1.100
Portfolio Construction Matters
Stefano Ciliberti and Stanislao Gualdi
The Journal of Portfolio Management July 2020, jpm.2020.1.155; DOI: https://doi.org/10.3905/jpm.2020.1.155
Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power
Takashi Kanamura
The Journal of Alternative Investments Summer 2020, jai.2020.1.099; DOI: https://doi.org/10.3905/jai.2020.1.099
Stock Characteristics and Stock Returns: A Skeptic’s Look at the Cross Section of Expected Returns
Bradford Cornell
The Journal of Portfolio Management July 2020, jpm.2020.1.154; DOI: https://doi.org/10.3905/jpm.2020.1.154
PERSPECTIVES: Molecular Biology and Economics: A Few Funerals Are Needed
Arturo Cifuentes and Bernardo Pagnoncelli
The Journal of Portfolio Management July 2020, jpm.2020.1.153; DOI: https://doi.org/10.3905/jpm.2020.1.153
Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility
Peter Carr, Andrey Itkin and Sasha Stoikov
The Journal of Derivatives Fall 2020, jod.2020.1.110; DOI: https://doi.org/10.3905/jod.2020.1.110
Correlation and Regression Analysis of the Relation between Ethereum Price and Both Its Volume and Bitcoin Price
Nurkhodzha Akbulaev, Ilkin Mammadov and Mehbube Hemdullayeva
The Journal of Structured Finance Summer 2020, jsf.2020.1.099; DOI: https://doi.org/10.3905/jsf.2020.1.099
Return Commonality in Cross Listings: Evidence from Hong Kong ADRs
Malay K. Dey and Chaoyan Wang
The Journal of Index Investing Summer 2020, jii.2020.1.088; DOI: https://doi.org/10.3905/jii.2020.1.088
Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits
Bing Dong, Jindong Wang and Wei Xu
The Journal of Derivatives Winter 2020, jod.2020.1.109; DOI: https://doi.org/10.3905/jod.2020.1.109
Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities
Luca Capriotti and Ruggero Vaia
The Journal of Derivatives Winter 2020, jod.2020.1.107; DOI: https://doi.org/10.3905/jod.2020.1.107
Information Content of Options Trading Prior to Dividend Initiations
Qin Emma Wang
The Journal of Derivatives Winter 2020, jod.2020.1.106; DOI: https://doi.org/10.3905/jod.2020.1.106
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
Igor Halperin
The Journal of Derivatives Winter 2020, jod.2020.1.108; DOI: https://doi.org/10.3905/jod.2020.1.108
Evidence on the Performance of Infrastructure Mutual Funds
Manel Kammoun and Djerry C. Tandja M.
The Journal of Wealth Management Fall 2020, jwm.2020.1.110; DOI: https://doi.org/10.3905/jwm.2020.1.110
Estimation Error and the Fundamental Law of Active Management: Is Quant Fundamentally Flawed?
Richard O. Michaud, David N. Esch and Robert O. Michaud
The Journal of Investing June 2020, joi.2020.1.133; DOI: https://doi.org/10.3905/joi.2020.1.133
Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model
Haozhe Su and David P. Newton
The Journal of Derivatives Winter 2020, jod.2020.1.105; DOI: https://doi.org/10.3905/jod.2020.1.105
The Impact of High-Frequency Trading in Experimental Markets
Nathanael Berger, Mark DeSantis and David Porter
The Journal of Investing June 2020, joi.2020.1.132; DOI: https://doi.org/10.3905/joi.2020.1.132
Last Page
George Frankfurter
The Journal of Investing June 2020, joi.2020.1.134; DOI: https://doi.org/10.3905/joi.2020.1.134
Seeking Alpha From Stock Splits
Atreya Chakraborty, James L. Grant, Emery A. Trahan and Bhakti Varma
The Journal of Investing June 2020, joi.2020.1.131; DOI: https://doi.org/10.3905/joi.2020.1.131
Green Bonds and Green Bond Funds: The Quest for the Real Impact
Gabor Gyura
The Journal of Alternative Investments Summer 2020, jai.2020.1.098; DOI: https://doi.org/10.3905/jai.2020.1.098
Is “Greenness” Priced in the Market? Evidence from Green Bond Issuance in China
Zhiyao Deng, Dragon Yongjun Tang and Yupu Zhang
The Journal of Alternative Investments Summer 2020, jai.2020.1.097; DOI: https://doi.org/10.3905/jai.2020.1.097
Cryptocurrency Risks
J. Benson Durham
The Journal of Investing June 2020, joi.2020.1.128; DOI: https://doi.org/10.3905/joi.2020.1.128
Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi
The Journal of Derivatives Winter 2020, jod.2020.1.104; DOI: https://doi.org/10.3905/jod.2020.1.104
Actively Managed Mean-Variance Portfolios
Paskalis Glabadanidis
The Journal of Wealth Management Fall 2020, jwm.2020.1.109; DOI: https://doi.org/10.3905/jwm.2020.1.109
Dividend Analysis of Dow Jones Asia Select Dividend 30 Index
Saurabh Gandhi, Sandhir Sharma and Manu Sharma
The Journal of Wealth Management Fall 2020, jwm.2020.1.108; DOI: https://doi.org/10.3905/jwm.2020.1.108
Market Timing with the Backward SADF Test
Weilong Guo and Jacqueline Glyman
The Journal of Investing June 2020, joi.2020.1.129; DOI: https://doi.org/10.3905/joi.2020.1.129
ESMA’s Mission to Integrate ESG Risks and Factors into UCITS and AIFMD: Value Added or Additional Administrative Burden
Michael Hahn
The Journal of Investing June 2020, joi.2020.1.130; DOI: https://doi.org/10.3905/joi.2020.1.130
Influence of Behavioral Biases and Decision Making Tools on the Performance of Secondary Equity Investors
R. Renu Isidore, P. Christie and C. Joe Arun
The Journal of Wealth Management Fall 2020, jwm.2020.1.107; DOI: https://doi.org/10.3905/jwm.2020.1.107
Alpha Alchemy: Diversifying Without Diluting Alpha
Brian Jacobsen and Chao Ma
The Journal of Wealth Management Fall 2020, jwm.2020.1.106; DOI: https://doi.org/10.3905/jwm.2020.1.106
The Future of ETFs: A Backward Glance
Andrew S. Clarke, Michael W. Nolan and Tyrone Sampson
The Journal of Index Investing Summer 2020, jii.2020.1.087; DOI: https://doi.org/10.3905/jii.2020.1.087
Pricing of Basket Options by Conditioning and Moment Matching
Ping Wu and Hui Lin
The Journal of Derivatives Winter 2020, jod.2020.1.103; DOI: https://doi.org/10.3905/jod.2020.1.103
Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
The Journal of Derivatives Winter 2020, jod.2020.1.102; DOI: https://doi.org/10.3905/jod.2020.1.102
The Term Structure of the Rebalancing Premium
Xiaoyang Liu and Vivek Viswanathan
The Journal of Investing June 2020, joi.2020.1.127; DOI: https://doi.org/10.3905/joi.2020.1.127
The Weakening Index Effect
Anthony A. Renshaw
The Journal of Index Investing Summer 2020, jii.2020.1.086; DOI: https://doi.org/10.3905/jii.2020.1.086
Factor Investing in Credit
Harald Henke, Hendrik Kaufmann, Philip Messow and Jieyan Fang-Klingler
The Journal of Index Investing Summer 2020, jii.2020.1.085; DOI: https://doi.org/10.3905/jii.2020.1.085
Equity Momentum in European Credits
Hendrik Kaufmann and Philip Messow
The Journal of Fixed Income Summer 2020, jfi.2020.1.097; DOI: https://doi.org/10.3905/jfi.2020.1.097
The Underpricing of Sin Stocks
Robert N. Killins, Thanh Ngo and Hongxia Wang
The Journal of Investing June 2020, joi.2020.1.126; DOI: https://doi.org/10.3905/joi.2020.1.126
News Sentiment as an Explanation for Changes in the VIX Futures Basis
Lee A. Smales
The Journal of Investing June 2020, joi.2020.1.125; DOI: https://doi.org/10.3905/joi.2020.1.125
Measuring the Carbon Exposure of Institutional Investors
Darwin Choi, Zhenyu Gao and Wenxi Jiang
The Journal of Alternative Investments Summer 2020, jai.2020.1.095; DOI: https://doi.org/10.3905/jai.2020.1.095
Normal Return Gaps: Dispersion Illuminates Diversification
William W. Jennings, Thomas C. O’Malley and Brian C. Payne
The Journal of Wealth Management Fall 2020, jwm.2020.1.105; DOI: https://doi.org/10.3905/jwm.2020.1.105
Student Loan Asset-Backed Securities: The Next Market in Crisis?
Xiaoqing Eleanor Xu and Miki Ortiz-Eggenberg
The Journal of Fixed Income Fall 2020, jfi.2020.1.096; DOI: https://doi.org/10.3905/jfi.2020.1.096
Biases in CDS Spreads After the CDS Big Bang
Xinjie Wang, Hongjun Yan and Zhaodong (Ken) Zhong
The Journal of Fixed Income Summer 2020, jfi.2020.1.095; DOI: https://doi.org/10.3905/jfi.2020.1.095
An Empirical Examination of the Term Structure Fundamentals of Credit Spreads
Austin Murphy and Adrian Headley
The Journal of Fixed Income Summer 2020, jfi.2020.1.093; DOI: https://doi.org/10.3905/jfi.2020.1.093
Rank-Based Error Tracking for Agency MBS Prepayment Models
Jiawei “David” Zhang
The Journal of Fixed Income Summer 2020, jfi.2020.1.090; DOI: https://doi.org/10.3905/jfi.2020.1.090
Analytically Deriving Risk-Neutral Densities from Volatility Smiles in Delta
Fumio Hayashi
The Journal of Derivatives Summer 2020, jod.2020.1.099; DOI: https://doi.org/10.3905/jod.2020.1.099
Factor Timing in Fixed Income Strategies
Andrew Chin and Wenxuan Tang
The Journal of Fixed Income Fall 2020, jfi.2020.1.092; DOI: https://doi.org/10.3905/jfi.2020.1.092
Interpolating the Yield Curve
Oldrich Alfons Vasicek
The Journal of Fixed Income Fall 2020, jfi.2020.1.094; DOI: https://doi.org/10.3905/jfi.2020.1.094
The Liquidity Hierarchy in the US Treasury Cash and Futures Market
Lee Baker, Lihong McPhail and Bruce Tuckman
The Journal of Fixed Income Summer 2020, jfi.2020.1.091; DOI: https://doi.org/10.3905/jfi.2020.1.091
Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective
Lionel Martellini and Vincent Milhau
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.152; DOI: https://doi.org/10.3905/jpm.2020.1.152
Risk Parity Optimality Even with Negative Sharpe Ratio Assets
Brian Jacobsen and Wai Lee
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.151; DOI: https://doi.org/10.3905/jpm.2020.1.151
Term Structure of CDS Spreads and Risk-Based Capital of the Protection Seller: An Extension of the Dynamic Nelson-Siegel Model with the Business Cycle
Standley R. Baron and Issouf Soumaré
The Journal of Fixed Income Fall 2020, jfi.2020.1.089; DOI: https://doi.org/10.3905/jfi.2020.1.089
Conditional Fixed Income Correlations: Skews and Straddles
Zava Aydemir
The Journal of Fixed Income Fall 2020, jfi.2020.1.087; DOI: https://doi.org/10.3905/jfi.2020.1.087
(Systematic) Investing in Emerging Market Debt
Jordan Brooks, Scott Richardson and Zhikai Xu
The Journal of Fixed Income Fall 2020, jfi.2020.1.088; DOI: https://doi.org/10.3905/jfi.2020.1.088
Strategic Rebalancing
Sandy Rattray, Nick Granger, Campbell R. Harvey and Otto Van Hemert
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.150; DOI: https://doi.org/10.3905/jpm.2020.1.150
Harvesting Macroeconomic Risk Premia
Kyriakos Chousakos and Daniel Giamouridis
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.149; DOI: https://doi.org/10.3905/jpm.2020.1.149
Adaptive Optimal Risk Budgeting
Alexander Rudin, Vikas Mor and Daniel Farley
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.148; DOI: https://doi.org/10.3905/jpm.2020.1.148
A Network and Machine Learning Approach to Factor, Asset, and Blended Allocation
Gueorgui Konstantinov, Andreas Chorus and Jonas Rebmann
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.147; DOI: https://doi.org/10.3905/jpm.2020.1.147
Fact and Fiction about Low-Risk Investing
Ron Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje Pedersen
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.146; DOI: https://doi.org/10.3905/jpm.2020.1.146
Mixed Ag: A Regime-Based Analysis of Multi-Asset Agriculture Portfolios
Joseph Simonian
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.144; DOI: https://doi.org/10.3905/jpm.2020.1.144
Buy-and-Hold and Constant-Mix May Be Better Allocation Strategies Than You Think
Thomas J. O’Brien
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.138; DOI: https://doi.org/10.3905/jpm.2020.1.138
How Do Options Affect the Volatility of the Underlying Equity Market? Evidence from the Introduction of Weekly Options
Yuan Wen
The Journal of Derivatives Summer 2020, jod.2020.1.100; DOI: https://doi.org/10.3905/jod.2020.1.100
Analytically Deriving Risk-Neutral Densities from Volatility Smiles
Fumio Hayashi
The Journal of Derivatives Summer 2020, jod.2020.1.099; DOI: https://doi.org/10.3905/jod.2020.1.099
Physics and Derivatives: On Three Important Problems in Mathematical Finance
Alexander Lipton and Vadim Kaushansky
The Journal of Derivatives Special Issue 2020, jod.2020.1.098; DOI: https://doi.org/10.3905/jod.2020.1.098
The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
Panha Heng, Scott J. Niblock, Jennifer L. Harrison and Hansi Hu
The Journal of Derivatives Summer 2020, jod.2020.1.097; DOI: https://doi.org/10.3905/jod.2020.1.097
Information Leakage in Energy Derivatives around News Announcements
Marc J. M. Bohmann and Vinay Patel
The Journal of Derivatives Summer 2020, jod.2020.1.095; DOI: https://doi.org/10.3905/jod.2020.1.095