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.
Are Long-Duration Treasuries the Best Hedge for Equities?
Sunder Ramkumar and Andrew Bates
The Journal of Portfolio Management November 2020, jpm.2020.1.182; DOI: https://doi.org/10.3905/jpm.2020.1.182
Monetization Matters: Active Tail Risk Management and the Great Virus Crisis
Vineer Bhansali, Linda Chang, Jeremie Holdom and Marcy Rappaport
The Journal of Portfolio Management November 2020, jpm.2020.1.181; DOI: https://doi.org/10.3905/jpm.2020.1.181
Volatility Prediction and Risk Management: An SVR-GARCH Approach
Abdullah Karasan and Esma Gaygisiz
The Journal of Financial Data Science Fall 2020, jfds.2020.1.046; DOI: https://doi.org/10.3905/jfds.2020.1.046
Is Smart Beta Still Smart under the Lens of the Diversification Return?
Wenguang Lin and Gary C. Sanger
The Journal of Portfolio Management November 2020, jpm.2020.1.180; DOI: https://doi.org/10.3905/jpm.2020.1.180
Examining Portfolios Created by Bloomberg ESG Scores: Is Disclosure an Alpha Factor?
Mark K. Pyles
The Journal of Impact and ESG Investing Winter 2020, jesg.2020.1.001; DOI: https://doi.org/10.3905/jesg.2020.1.001
Deep Reinforcement Learning for Option Replication and Hedging
Jiayi Du, Muyang Jin, Petter N. Kolm, Gordon Ritter, Yixuan Wang and Bofei Zhang
The Journal of Financial Data Science Fall 2020, jfds.2020.1.045; DOI: https://doi.org/10.3905/jfds.2020.1.045
Sharpe Ratios, Target Ratios, and Return Goals
Martin L. Leibowitz and Stanley Kogelman
The Journal of Portfolio Management November 2020, jpm.2020.1.179; DOI: https://doi.org/10.3905/jpm.2020.1.179
Forbearance During the Pandemic: What Do We Know Thus Far?
Mike Fratantoni
The Journal of Structured Finance Fall 2020, jsf.2020.1.110; DOI: https://doi.org/10.3905/jsf.2020.1.110
PERSPECTIVES: Seeking Sustainability in American Public Employee Pension Systems
Clive Lipshitz and Ingo Walter
The Journal of Portfolio Management November 2020, jpm.2020.1.177; DOI: https://doi.org/10.3905/jpm.2020.1.177
Bringing PHH Full Circle: The Supreme Court’s Decision in Seila Law
Alexander G. Malyshev
The Journal of Structured Finance Fall 2020, jsf.2020.1.107; DOI: https://doi.org/10.3905/jsf.2020.1.107
Why We Tend to Be Unprepared for the Inevitable Next Disaster
Martin J. Goldberg
The Journal of Structured Finance jsf.2020.1.108; DOI: https://doi.org/10.3905/jsf.2020.1.108
Antecedents of Financial Instrument Choice by VC/PE Funds: Using the Theory of Adverse Selection
Smita Tripathi
The Journal of Structured Finance jsf.2020.1.109; DOI: https://doi.org/10.3905/jsf.2020.1.109
Forecast Optimization via Parameter Tuning: Performance Gain and Overfit
Ilya Soloveychik
The Journal of Financial Data Science Fall 2020, jfds.2020.1.044; DOI: https://doi.org/10.3905/jfds.2020.1.044
Using Life Tables for Retirement Planning
Lee M. Dunham and Kenneth M. Washer
The Journal of Wealth Management Winter 2020, jwm.2020.1.120; DOI: https://doi.org/10.3905/jwm.2020.1.120
Neural Embeddings of Financial Time-Series Data
Alik Sokolov, Jonathan Mostovoy, Brydon Parker and Luis Seco
The Journal of Financial Data Science Fall 2020, jfds.2020.1.041; DOI: https://doi.org/10.3905/jfds.2020.1.041
Target-Date Funds, Glidepaths, and Risk Aversion
Javier Estrada
The Journal of Wealth Management Winter 2020, jwm.2020.1.118; DOI: https://doi.org/10.3905/jwm.2020.1.118
ESG Investing: Conceptual Issues
Bradford Cornell
The Journal of Wealth Management Winter 2020, jwm.2020.1.117; DOI: https://doi.org/10.3905/jwm.2020.1.117
The Free Boundary For The American Put Option
Thomas Little
The Journal of Derivatives Winter 2020, jod.2020.1.114; DOI: https://doi.org/10.3905/jod.2020.1.114
Robust and Interpretable Liquidity Proxies for Market and Funding Liquiditys
Riccardo Rebonato and Hong Sherwin
The Journal of Fixed Income Winter 2021, jfi.2020.1.103; DOI: https://doi.org/10.3905/jfi.2020.1.103
The Top Three Pension Systems: Denmark, Finland, and the Netherlands
Svend E. Hougaard Jensen, Jukka Lassila, Niku Määttänen, Tarmo Valkonen and Ed Westerhout
The Journal of Retirement Summer 2020, jor.2020.1.071; DOI: https://doi.org/10.3905/jor.2020.1.071
Deep Learning for Portfolio Optimization
Zihao Zhang, Stefan Zohren and Stephen Roberts
The Journal of Financial Data Science Fall 2020, jfds.2020.1.042; DOI: https://doi.org/10.3905/jfds.2020.1.042
Real Estate Returns
Jack Clark Francis and Roger G. Ibbotson
The Journal of Alternative Investments Fall 2020, jai.2020.1.111; DOI: https://doi.org/10.3905/jai.2020.1.111
Machine Learning Prediction of Recessions: An Imbalanced Classification Approach
Alireza Yazdani
The Journal of Financial Data Science Fall 2020, jfds.2020.1.040; DOI: https://doi.org/10.3905/jfds.2020.1.040
Real Interest Rate Shocks and Portfolio Strategy
Eugene Podkaminer, Wylie Tollette and Laurence Siegel
The Journal of Investing October 2020, joi.2020.1.148; DOI: https://doi.org/10.3905/joi.2020.1.148
Different in Nature, Common in Style: View Commonality of Single Hedge Funds and Funds of Hedge Funds
Gueorgui Konstantinov and Jonas Rebmann
The Journal of Alternative Investments Fall 2020, jai.2020.1.110; DOI: https://doi.org/10.3905/jai.2020.1.110
Being Right Is Not Enough: Buying Options to Bet on Higher Realized Volatility
Roni Israelov and Harsha Tummala
The Journal of Alternative Investments Fall 2020, jai.2020.1.109; DOI: https://doi.org/10.3905/jai.2020.1.109
Some Issues with Using ESG Ratings in an Investment Process
Bahar Gidwani
The Journal of Investing October 2020, joi.2020.1.147; DOI: https://doi.org/10.3905/joi.2020.1.147
The Life Journey of Wealthy Women: Evolving Experiences Around Money, Work, Family, and Life Choices of Ultrawealthy Women
Fredda Herz Brown and Dennis T. Jaffe
The Journal of Wealth Management Winter 2020, jwm.2020.1.113; DOI: https://doi.org/10.3905/jwm.2020.1.113
Trend-Following versus Cross-Sectional Momentum: A Data Driven Statistical Factor Comparison
Daniele Lamponi
The Journal of Investing October 2020, joi.2020.1.146; DOI: https://doi.org/10.3905/joi.2020.1.146
COMMENTARY: Last Page
George Frankfurter
The Journal of Investing October 2020, joi.2020.1.145; DOI: https://doi.org/10.3905/joi.2020.1.145
Class Matters: Analyzing Mutual Fund Class Structure and Expenses
Jonathan Handy, Jessica Hennessey and Tom Smythe
The Journal of Wealth Management Winter 2020, jwm.2020.1.114; DOI: https://doi.org/10.3905/jwm.2020.1.114
Volatility Spillover Effects: VIX and Precious Metals
Mukesh K. Chaudhry and Vivek Bhargava
The Journal of Wealth Management Winter 2020, jwm.2020.1.115; DOI: https://doi.org/10.3905/jwm.2020.1.115
Investigating the Investment Behaviors in Cryptocurrency
Dingli Xi, Timothy Ian O’Brien and Elnaz Irannezhad
The Journal of Alternative Investments Fall 2020, jai.2020.1.105; DOI: https://doi.org/10.3905/jai.2020.1.108
Is it Good to Sin When Times are Bad? An Investigation of the Defensive Nature of Sin Stocks
Greg M. Richey
The Journal of Investing October 2020, joi.2020.1.144; DOI: https://doi.org/10.3905/joi.2020.1.144
Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study
Manoela N. Morais and Matthew R. Morey
The Journal of Investing October 2020, joi.2020.1.143; DOI: https://doi.org/10.3905/joi.2020.1.143
Value Investing for Commodities
Thijs Markwat, Jelmer Quist and Casper Zomerdijk
The Journal of Alternative Investments Fall 2020, jai.2020.1.107; DOI: https://doi.org/10.3905/jai.2020.1.107
Cryptocurrencies As an Asset Class? An Empirical Assessment
Daniele Bianchi
The Journal of Alternative Investments Fall 2020, jai.2020.1.105; DOI: https://doi.org/10.3905/jai.2020.1.105
Style Drift Among Value and Growth Funds
Glenn Tanner, William T. Chittenden and Janet D. Payne
The Journal of Investing October 2020, joi.2020.1.142; DOI: https://doi.org/10.3905/joi.2020.1.142
Carry and Time-Series Momentum: A Match Made in Heaven
Marat Molyboga, Junkai Qian and Chaohua He
The Journal of Alternative Investments Fall 2020, jai.2020.1.106; DOI: https://doi.org/10.3905/jai.2020.1.106
On the Importance of Manager Selection: The Case of Timber Funds
Chung-Hong Fu
The Journal of Alternative Investments Fall 2020, jai.2020.1.104; DOI: https://doi.org/10.3905/jai.2020.1.104
Performance Measurement in the Life Insurance Industry: An Asset-Liability Perspective
Alexander Braun and Florian Schreiber
The Journal of Fixed Income Winter 2021, jfi.2020.1.102; DOI: https://doi.org/10.3905/jfi.2020.1.102
How Do Credit Markets React to Earnings Releases: Empirical Analysis and Implications for Investors
Arik Ben Dor, Jingling Guan and Xiaming Zeng
The Journal of Fixed Income Winter 2021, jfi.2020.1.101; DOI: https://doi.org/10.3905/jfi.2020.1.101
Carry Strategies and the US Dollar Risk of US and Global Bonds
Gueorgui S. Konstantinov and Frank J. Fabozzi
The Journal of Fixed Income Winter 2021, jfi.2020.1.100; DOI: https://doi.org/10.3905/jfi.2020.1.100
Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model
Riccardo Rebonato and Riccardo Ronzani
The Journal of Fixed Income Fall 2020, jfi.2020.1.099; DOI: https://doi.org/10.3905/jfi.2020.1.099
Rates Factors and Global Asset Allocation
Joshua Kothe, Harald Lohre and Carsten Rother
The Journal of Fixed Income Winter 2021, jfi.2020.1.098; DOI: https://doi.org/10.3905/jfi.2020.1.098
A Performance Update—Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long–Short Funds
David F. McCarthy and Brian M. Wong
The Journal of Alternative Investments Fall 2020, jai.2020.1.103; DOI: https://doi.org/10.3905/jai.2020.1.103
Manager Characteristics and Hedge Fund Returns, Liquidity, and Survival
Hyuna Park
The Journal of Alternative Investments Fall 2020, jai.2020.1.102; DOI: https://doi.org/10.3905/jai.2020.1.102
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
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
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
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
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
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
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
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