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.
Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales
Giovanni Calice, Jing Chen and Julian Williams
The Journal of Derivatives Spring 2020, jod.2019.1.094; DOI: https://doi.org/10.3905/jod.2019.1.094
Beyond the Black Box: An Intuitive Approach to Investment Prediction with Machine Learning
Yimou Li, David Turkington and Alireza Yazdani
The Journal of Financial Data Science Winter 2020, jfds.2019.1.023; DOI: https://doi.org/10.3905/jfds.2019.1.023
Parameterized Calendar Correlations: Decoding Oil and Beyond
Roza Galeeva and Thomas Haversang
The Journal of Derivatives Spring 2020, jod.2019.1.093; DOI: https://doi.org/10.3905/jod.2019.1.093
Constructing Equity Portfolios from SEC 13F Data Using Feature Extraction and Machine Learning
Alexander Fleiss, Han Cui, Sasha Stoikov and Daniel M. DiPietro
The Journal of Financial Data Science Winter 2020, jfds.2019.1.022; DOI: https://doi.org/10.3905/jfds.2019.1.022
Machine Learning in Asset Management— Part 1: Portfolio Construction—Trading Strategies
Derek Snow
The Journal of Financial Data Science Winter 2020, jfds.2019.1.021; DOI: https://doi.org/10.3905/jfds.2019.1.021
An Excel Calculator for Determining Student Loan Information
Tom Arnold, John H. Earl and Cassandra D. Marshall
The Journal of Wealth Management Summer 2020, jwm.2019.1.092; DOI: https://doi.org/10.3905/jwm.2019.1.092
An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
Junmei Ma, Sihuan Huang and Wei Xu
The Journal of Derivatives Spring 2020, jod.2019.1.092; DOI: https://doi.org/10.3905/jod.2019.1.092
Teaching Machines to Understand Chinese Investment Slang
Mike Chen, Jaime Lee and George Mussalli
The Journal of Financial Data Science Winter 2020, jfds.2019.1.017; DOI: https://doi.org/10.3905/jfds.2019.1.020
Deep Learning Classifier with Piecewise Linear Activation Function: An Empirical Evaluation with Intraday Financial Data
Soham Banerjee and Diganta Mukherjee
The Journal of Financial Data Science Winter 2020, jfds.2019.1.018; DOI: https://doi.org/10.3905/jfds.2019.1.018
Mitigating Overfitting on Financial Datasets with Generative Adversarial Networks
Fernando De Meer Pardo and Rafael Cobo López
The Journal of Financial Data Science Winter 2020, jfds.2019.1.019; DOI: https://doi.org/10.3905/jfds.2019.1.019
Deep Learning Classifier with Piecewise Linear Activation Function: An Empirical Evaluation with Intraday Financial Data
Soham Banerjee and Diganta Mukherjee
The Journal of Financial Data Science Winter 2020, jfds.2019.1.018; DOI: https://doi.org/10.3905/jfds.2019.1.018
Impact Investing 2.0— Not Just for Do-Gooders Anymore
Diana Lieberman
The Journal of Investing ESG Special Issue 2020, joi.2019.1.112; DOI: https://doi.org/10.3905/joi.2019.1.112
The Bond–Equity–Fund Relation Using the Fama–French–Carhart Factors: A Practical Network Approach
Gueorgui Konstantinov and Mario Rusev
The Journal of Financial Data Science Winter 2020, jfds.2019.1.017; DOI: https://doi.org/10.3905/jfds.2019.1.017
New Time-Dependent Risk-Return Tradeoffs from CBI Certified Municipal Bonds
Carolin Schellhorn
The Journal of Investing ESG Special Issue 2020, joi.2019.1.111; DOI: https://doi.org/10.3905/joi.2019.1.111
Selection Determinants for Private Equity Investments
Raphael Schwartze and Thomas Maier
The Journal of Wealth Management Spring 2020, jwm.2019.1.091; DOI: https://doi.org/10.3905/jwm.2019.1.091
Demystifying Illiquid Assets: Expected Returns for Private Equity
Antti Ilmanen, Swati Chandra and Nicholas McQuinn
The Journal of Alternative Investments Winter 2020, jai.2019.1.086; DOI: https://doi.org/10.3905/jai.2019.1.086
Crowdsourced Investment Research Through Tournaments
Marcos López de Prado and Frank J. Fabozzi
The Journal of Financial Data Science Winter 2020, jfds.2019.1.016; DOI: https://doi.org/10.3905/jfds.2019.1.016
What Does Today’s Smile Imply About Future Volatilities?
Riccardo Rebonato
The Journal of Derivatives Spring 2020, jod.2019.1.091; DOI: https://doi.org/10.3905/jod.2019.1.091
Value by Design?
Stephan Kessler, Bernd Scherer and Jan Philipp Harries
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.122; DOI: https://doi.org/10.3905/jpm.2019.1.122
Analysis of Three Emerging Trends in Limited Partner Operational Due Diligence
Jason Scharfman
The Journal of Alternative Investments Winter 2020, jai.2019.1.085; DOI: https://doi.org/10.3905/jai.2019.1.085
The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says on the Tin
Jason MacQueen
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.121; DOI: https://doi.org/10.3905/jpm.2019.1.121
Cryptocurrency Survival Analysis
Jan Lansky
The Journal of Alternative Investments Winter 2020, jai.2019.1.084; DOI: https://doi.org/10.3905/jai.2019.1.084
Do as I Say, Not as I Do: An Analysis of Portfolio Development Recommendations Made by Financial Advisors
John Grable, Amy Hubble and Michelle Kruger
The Journal of Wealth Management Spring 2020, jwm.2019.1.089; DOI: https://doi.org/10.3905/jwm.2019.1.089
Risk Neutral Density Estimation: Looking at the Tails
Martin Reinke
The Journal of Derivatives Spring 2020, jod.2019.1.090; DOI: https://doi.org/10.3905/jod.2019.1.090
Do Health Care Mutual Funds Provide Healthy Risk-Adjusted Returns?
Srinidhi Kanuri and Davinder Malhotra
The Journal of Wealth Management Spring 2020, jwm.2019.1.090; DOI: https://doi.org/10.3905/jwm.2019.1.090
ABS East 2019 Conference Notes
Mark Adelson
The Journal of Structured Finance Winter 2020, jsf.2019.1.089; DOI: https://doi.org/10.3905/jsf.2019.1.089
Private Equity Investment and Local Employment Growth: A County-Level Analysis
Joshua Cox and Bronwyn Bailey
The Journal of Alternative Investments Winter 2020, jai.2019.1.082; DOI: https://doi.org/10.3905/jai.2019.1.082
Default Probability Assessment for Project Finance Bank Loans and Basel Regulations:Searching for a New Paradigm
Vikas Srivastava and Surya Dashottar
The Journal of Structured Finance Winter 2020, jsf.2019.1.088; DOI: https://doi.org/10.3905/jsf.2019.1.088
Efficient Out-of-Sample Pricing of VIX Futures
Shuxin Guo and Qiang Liu
The Journal of Derivatives Spring 2020, jod.2019.1.089; DOI: https://doi.org/10.3905/jod.2019.1.089
Sources of Excess Return and Implications for Active Fixed-Income Portfolio Construction
Stephen Laipply, Ananth Madhavan, Aleksander Sobczyk and Matthew Tucker
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.119; DOI: https://doi.org/10.3905/jpm.2019.1.119
The Market Risk of Corporate Bonds
Marielle De Jong and Frank J. Fabozzi
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.120; DOI: https://doi.org/10.3905/jpm.2019.1.120
A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios
Jennifer Bender and Xiaole Sun
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.117; DOI: https://doi.org/10.3905/jpm.2019.1.117
Consistent and Efficient Dynamic Portfolio Replication with Many Factors
Lars Stentoft and Sha Wang
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.118; DOI: https://doi.org/10.3905/jpm.2019.1.118
Factor Investing in Currency Markets: Does It Make Sense?
Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali Xu
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.116; DOI: https://doi.org/10.3905/jpm.2019.1.116
The Volatility Effect Revisited
David Blitz, Pim van Vliet and Guido Baltussen
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.114; DOI: https://doi.org/10.3905/jpm.2019.1.114
Cryptocurrency Value and 51% Attacks: Evidence from Event Studies
Savva Shanaev, Arina Shuraeva, Mikhail Vasenin and Maksim Kuznetsov
The Journal of Alternative Investments Winter 2020, jai.2019.1.081; DOI: https://doi.org/10.3905/jai.2019.1.081
Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management
Jean-Michel Maeso, Lionel Martellini and Riccardo Rebonato
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.115; DOI: https://doi.org/10.3905/jpm.2019.1.115
CLO Equity Return and Manager Selection
Batur Bicer, Ryan Brauchler, Serhan Secmen and Maggie MJ Wang
The Journal of Structured Finance Fall 2019, jsf.2019.1.085; DOI: https://doi.org/10.3905/jsf.2019.1.085
Detecting Factor Risk in Private Asset Returns
Peter Mladina and David Moore
The Journal of Portfolio Management Quantitative Special Issue 2020, jpm.2019.1.113; DOI: https://doi.org/10.3905/jpm.2019.1.113
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
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
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
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
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
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
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
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