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.
A Tale of Two Tails: Mortality, Size, Volatility, and EPU
Maggie Copeland, Thomas Copeland and Zhitong Lai
The Journal of Portfolio Management November 2021, jpm.2021.1.302; DOI: https://doi.org/10.3905/jpm.2021.1.302
Measuring and Managing the Opportunity Cost of Downside Risk Protection
Nicole Beevers, Hannes Du Plessis, Lionel Martellini and Vincent Milhau
The Journal of Portfolio Management November 2021, jpm.2021.1.301; DOI: https://doi.org/10.3905/jpm.2021.1.301
How Much Information Is Required to Time the Market?
Rongju Zhang and Henry Wong
The Journal of Portfolio Management November 2021, jpm.2021.1.299; DOI: https://doi.org/10.3905/jpm.2021.1.299
The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation
Richard Roll
The Journal of Portfolio Management November 2021, jpm.2021.1.300; DOI: https://doi.org/10.3905/jpm.2021.1.300
Research Unbundling and COVID-19: Will Europe’s Capital Markets Recovery Package Help?
Micha Bender, Tino Cestonaro, Peter Gomber and Jascha-Alexander Koch
The Journal of Investing December 2021, joi.2021.1.205; DOI: https://doi.org/10.3905/joi.2021.1.205
Alternative Investment Due Diligence: A Survey on Key Drivers for Manager Selection
Mark S. Rzepczynski and Keith Black
The Journal of Alternative Investments Due Diligence 2022, jai.2021.1.147; DOI: https://doi.org/10.3905/jai.2021.1.147
Should Equity Factors Be Betting on Industries?
Krishna Vyas and Michael van Baren
The Journal of Portfolio Management November 2021, jpm.2021.1.297; DOI: https://doi.org/10.3905/jpm.2021.1.297
Developing Practical Investment Resilience
Jarrod Wilcox
The Journal of Portfolio Management November 2021, jpm.2021.1.298; DOI: https://doi.org/10.3905/jpm.2021.1.298
Adaptive Seriational Risk Parity and Other Extensions for Heuristic Portfolio Construction Using Machine Learning and Graph Theory
Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel
The Journal of Financial Data Science Fall 2021, jfds.2021.1.078; DOI: https://doi.org/10.3905/jfds.2021.1.078
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
Latent Factors in Equity Returns: How Many Are There and What Are They?
Ross French
The Journal of Portfolio Management QES Special Issue 2022, jpm.2021.1.296; DOI: https://doi.org/10.3905/jpm.2021.1.296
Volatility-Dependent Skewness Preference
Xiang Gao, Kees G. Koedijk and Zhan Wang
The Journal of Portfolio Management November 2021, jpm.2021.1.295; DOI: https://doi.org/10.3905/jpm.2021.1.295
Fund Success and Assurance Frontiers
Martin L. Leibowitz and Stanley Kogelman
The Journal of Portfolio Management November 2021, jpm.2021.1.294; DOI: https://doi.org/10.3905/jpm.2021.1.294
Volatility Timing under Low-Volatility Strategy
Poh Ling Neo and Chyng Wen Tee
The Journal of Portfolio Management November 2021, jpm.2021.1.293; DOI: https://doi.org/10.3905/jpm.2021.1.293
Factor Investing Using Capital Market Assumptions
Redouane Elkamhi, Jacky S. H. Lee and Marco Salerno
The Journal of Portfolio Management QES Special Issue 2022, jpm.2021.1.291; DOI: https://doi.org/10.3905/jpm.2021.1.291
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
Risky Corporate Bonds in 2021: A Bubble, or Rational Underwriting in a Low-Rate Environment?
Edward I. Altman and Mike Harmon
The Journal of Portfolio Management November 2021, jpm.2021.1.292; DOI: https://doi.org/10.3905/jpm.2021.1.292
Operational Due Diligence on Cryptocurrency and Digital Asset Funds
Jason Scharfman
The Journal of Alternative Investments Due Diligence 2022, jai.2021.1.146; DOI: https://doi.org/10.3905/jai.2021.1.146
On Optimal Allocations of Target-Date Funds
Radu Gabudean, Francisco Gomes, Alexander Michaelides and Yuxin Zhang
The Journal of Retirement Fall 2021, jor.2021.1.094; DOI: https://doi.org/10.3905/jor.2021.1.094
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
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives
Junmei Ma, Wei Xu and Yi Yao
The Journal of Derivatives Winter 2021, jod.2021.1.140; DOI: https://doi.org/10.3905/jod.2021.1.140
The Art and the Science of Manager Due Diligence
Keith Black
The Journal of Alternative Investments Due Diligence 2022, jai.2021.1.145; DOI: https://doi.org/10.3905/jai.2021.1.145
The Financial and Tax Considerations of Social Security and Early Retirement
Stephen Kuselias, Stephen J. Perreault and Michael Shafer
The Journal of Wealth Management Winter 2021, jwm.2021.1.154; DOI: https://doi.org/10.3905/jwm.2021.1.154
Interpretable, Transparent, and Auditable Machine Learning: An Alternative to Factor Investing
Daniel Philps, David Tilles and Timothy Law
The Journal of Financial Data Science Fall 2021, jfds.2021.1.077; DOI: https://doi.org/10.3905/jfds.2021.1.077
Further on the Returns to Non-Traded REITs
Joshua Mallett and Craig McCann
The Journal of Wealth Management Winter 2021, jwm.2021.1.153; DOI: https://doi.org/10.3905/jwm.2021.1.153
Does Change in Ted Spread Impact Bank Stock Returns?
Srinivas Nippani, Augustine C. Arize and D. K. Malhotra
The Journal of Wealth Management Winter 2021, jwm.2021.1.151; DOI: https://doi.org/10.3905/jwm.2021.1.151
Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away
Adam Grealish and Petter N. Kolm
The Journal of Wealth Management Winter 2021, jwm.2021.1.149; DOI: https://doi.org/10.3905/jwm.2021.1.149
Minding the Gap in Subjective Mortality Estimates
David Blanchett
The Journal of Retirement Fall 2021, jor.2021.1.093; DOI: https://doi.org/10.3905/jor.2021.1.093
Classification Methods for Market Making in Auction Markets
Nikolaj Normann Holm, Mansoor Hussain and Murat Kulahci
The Journal of Financial Data Science Fall 2021, jfds.2021.1.076; DOI: https://doi.org/10.3905/jfds.2021.1.076
The Argument for Bonds in Strategic Asset Allocation
Aron Gottesman and Matthew Morey
The Journal of Wealth Management Winter 2021, jwm.2021.1.150; DOI: https://doi.org/10.3905/jwm.2021.1.150
Evaluating the Performance of Alternative Strategies Relative to Long-Only Public Market Benchmarks
Jean L. P. Brunel
The Journal of Wealth Management Winter 2021, jwm.2021.1.146; DOI: https://doi.org/10.3905/jwm.2021.1.146
Using a Simple Technical Analysis Indicator to Guide Asset Allocation Decisions
Bryan Foltice and Steven Dolvin
The Journal of Wealth Management Winter 2021, jwm.2021.1.148; DOI: https://doi.org/10.3905/jwm.2021.1.148
Income Investing in a Low Yield Environment
David M. Blanchett
The Journal of Wealth Management Winter 2021, jwm.2021.1.147; DOI: https://doi.org/10.3905/jwm.2021.1.147
Alternative Data in Investment Management: Usage, Challenges, and Valuation
Gene Ekster and Petter N. Kolm
The Journal of Financial Data Science Fall 2021, jfds.2021.1.073; DOI: https://doi.org/10.3905/jfds.2021.1.073
Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets
Charles Huang, Weifeng Ge, Hongsong Chou and Xin Du
The Journal of Financial Data Science Fall 2021, jfds.2021.1.074; DOI: https://doi.org/10.3905/jfds.2021.1.074
How Social Security Coordination Can Add Value to a Tax-Efficient Withdrawal Strategy
William Reichenstein and William Meyer
The Journal of Retirement Fall 2021, jor.2021.1.092; DOI: https://doi.org/10.3905/jor.2021.1.092
Factor Momentum and Regime-Switching Overlay Strategy
Junhan Gu and John M. Mulvey
The Journal of Financial Data Science Fall 2021, jfds.2021.1.072; DOI: https://doi.org/10.3905/jfds.2021.1.072
Do Households Increase Their Savings When the Kids Leave Home?
Irena Dushi, Alicia H. Munnell, Geoffrey T. Sanzenbacher, Anthony Webb and Anqi Chen
The Journal of Retirement Fall 2021, jor.2021.1.091; DOI: https://doi.org/10.3905/jor.2021.1.091
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management
Frank J. Fabozzi and Ahmet K. Karagozoglu
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.289; DOI: https://doi.org/10.3905/jpm.2021.1.289
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing
Lionel Martellini and Lou-Salomé Vallée
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.290; DOI: https://doi.org/10.3905/jpm.2021.1.290
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
Théo Roncalli, Théo Le Guenedal, Frédéric Lepetit, Thierry Roncalli and Takaya Sekine
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.285; DOI: https://doi.org/10.3905/jpm.2021.1.285
Novel Risks: A Research and Policy Overview
Ahmet K. Karagozoglu
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.287; DOI: https://doi.org/10.3905/jpm.2021.1.287
Firm-Level Cybersecurity Risk and Idiosyncratic Volatility
Nazli Sila Alan, Ahmet K. Karagozoglu and Tianpeng Zhou
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.286; DOI: https://doi.org/10.3905/jpm.2021.1.286
Geopolitical Risk in Investment Research: Allies, Adversaries, and Algorithms
Joseph Simonian
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.284; DOI: https://doi.org/10.3905/jpm.2021.1.284
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks
Guido Giese, Zoltán Nagy and Bruno Rauis
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.283; DOI: https://doi.org/10.3905/jpm.2021.1.283
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management
Dominique Outlaw, Aimee Hoffmann Smith and Na Wang
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.282; DOI: https://doi.org/10.3905/jpm.2021.1.282
The Unreasonable Attractiveness of More ESG Data
Mike Chen, Robert von Behren and George Mussalli
The Journal of Portfolio Management Novel Risks 2021, jpm.2021.1.281; DOI: https://doi.org/10.3905/jpm.2021.1.281
Analytical Valuation of Compound Options Under Regime-Switching Dynamics
Michèle Breton and Mbaye Ndoye
The Journal of Derivatives Winter 2021, jod.2021.1.139; DOI: https://doi.org/10.3905/jod.2021.1.139
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
Abootaleb Shirvani, Frank J. Fabozzi, Boryana Racheva-Iotova and Svetlozar T. Rachev
The Journal of Derivatives Winter 2021, jod.2021.1.138; DOI: https://doi.org/10.3905/jod.2021.1.138
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density
Zhenyu Cui and Zixiao Yu
The Journal of Derivatives Winter 2021, jod.2021.1.137; DOI: https://doi.org/10.3905/jod.2021.1.137
Finding Value Using Momentum
Bijon Pani and Frank J. Fabozzi
The Journal of Portfolio Management QES Special Issue 2022, jpm.2021.1.272; DOI: https://doi.org/10.3905/jpm.2021.1.272
Factor Investing in Emerging Market Credits
Lennart Dekker, Patrick Houweling and Frederik Muskens
The Journal of Index Investing Fall 2021, jii.2021.1.107; DOI: https://doi.org/10.3905/jii.2021.1.107
Jumbo Mortgage 2021 Conference Notes
Mark Adelson
The Journal of Structured Finance Fall 2021, jsf.2021.1.125; DOI: https://doi.org/10.3905/jsf.2021.1.125
Divergence of Aviation Finance Markets: Lulls Before the Storm or Growth?
David Yu
The Journal of Structured Finance Fall 2021, jsf.2021.1.124; DOI: https://doi.org/10.3905/jsf.2021.1.124
American Exceptionalism: The Long-Term Evidence
Elroy Dimson, Paul Marsh and Mike Staunton
The Journal of Portfolio Management Non-US Financial Markets 2021, jpm.2021.1.257; DOI: https://doi.org/10.3905/jpm.2021.1.257
Targeted Wealth Management for Prospect Theory Investors
Jordan Moore
The Journal of Wealth Management Winter 2021, jwm.2021.1.145; DOI: https://doi.org/10.3905/jwm.2021.1.145
Cover’s Rebalancing Option with Discrete Hindsight Optimization
Alex Garivaltis
The Journal of Derivatives Winter 2021, jod.2021.1.135; DOI: https://doi.org/10.3905/jod.2021.1.135