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.
Turning Tail Risks into Tailwinds
Jérôme Gava, Francisco Guevara and Julien Turc
The Journal of Portfolio Management Multi-Asset Special Issue 2021, jpm.2021.1.205; DOI: https://doi.org/10.3905/jpm.2021.1.205
Managing Portfolio Volatility
Michael Stamos and Thomas Zimmerer
The Journal of Portfolio Management Multi-Asset Special Issue 2021, jpm.2021.1.207; DOI: https://doi.org/10.3905/jpm.2021.1.207
Tactical Asset Allocation with the Relative Total Return CAPE
Rolando F. Peláez
The Journal of Portfolio Management Multi-Asset Special Issue 2021, jpm.2021.1.206; DOI: https://doi.org/10.3905/jpm.2021.1.206
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation
Steve Q. Xia and Joseph Simonian
The Journal of Portfolio Management Multi-Asset Special Issue 2021, jpm.2021.1.208; DOI: https://doi.org/10.3905/jpm.2021.1.208
Building Machine Learning Systems for Automated ESG Scoring
Alik Sokolov, Jonathan Mostovoy, Jack Ding and Luis Seco
The Journal of Impact and ESG Investing Spring 2021, jesg.2021.1.010; DOI: https://doi.org/10.3905/jesg.2021.1.010
PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
Paul L. Davis and Robert A. Schwartz
The Journal of Portfolio Management February 2021, jpm.2020.1.204; DOI: https://doi.org/10.3905/jpm.2020.1.204
Is the Stock Market Worried About Climate Change? Lessons from the 2010s
Bradford Cornell
The Journal of Impact and ESG Investing Spring 2021, jesg.2020.1.009; DOI: https://doi.org/10.3905/jesg.2020.1.009
A Framework for Designing Investment Strategies for Default Retirement Plans
Edwin Lung, Craig Roodt, Laura Ryan, Geoffrey J. Warren and Kirsten Wymer
The Journal of Retirement Winter 2021, jor.2020.1.081; DOI: https://doi.org/10.3905/jor.2020.1.081
Assessing the Impact of Longevity Risk for Countries with Limited Data
Samuel. E. Assabil and Don L. Mcleish
The Journal of Retirement Winter 2021, jor.2020.1.080; DOI: https://doi.org/10.3905/jor.2020.1.080
Portfolio Protection? It’s a Long (Term) Story…
Nicholas McQuinn, Ashwin Thapar and Dan Villalon
The Journal of Portfolio Management February 2021, jpm.2020.1.203; DOI: https://doi.org/10.3905/jpm.2020.1.203
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets
Kristy Jansen and Patrick Tuijp
The Journal of Portfolio Management February 2021, jpm.2020.1.202; DOI: https://doi.org/10.3905/jpm.2020.1.202
A Closed-Form Model-Free Implied Volatility Formula through Delta Families
Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Taylor
The Journal of Derivatives Summer 2021, jod.2020.1.127; DOI: https://doi.org/10.3905/jod.2020.1.127
Work Harder: Diligent Rebalancing and Investment Horizon
Wai Lee and Pai Liu
The Journal of Portfolio Management February 2021, jpm.2020.1.201; DOI: https://doi.org/10.3905/jpm.2020.1.201
Power Purchase Agreements and Financing Renewables: An Interdependency
Steffen Hundt, Johanna Jahnel and Andreas Horsch
The Journal of Structured Finance Spring 2021, jsf.2020.1.119; DOI: https://doi.org/10.3905/jsf.2020.1.119
Power Purchase Agreements and Financing Renewables: An Interdependency
Steffen Hundt, Johanna Jahnel and Andreas Horsch
The Journal of Structured Finance Spring 2021, jsf.2020.1.119; DOI: https://doi.org/10.3905/jsf.2020.1.119
Measuring Racial/Ethnic Retirement Wealth Inequality
Wenliang Hou and Geoffrey T. Sanzenbacher
The Journal of Retirement Winter 2021, jor.2020.1.079; DOI: https://doi.org/10.3905/jor.2020.1.079
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management
Maximilian Görgen, Andrea Jacob and Martin Nerlinger
The Journal of Portfolio Management February 2021, jpm.2020.1.200; DOI: https://doi.org/10.3905/jpm.2020.1.200
Portfolio Diversification Using Shape-Based Clustering
Tristan Lim and Chin Sin Ong
The Journal of Financial Data Science Winter 2021, jfds.2020.1.054; DOI: https://doi.org/10.3905/jfds.2020.1.054
Implied Mortality for the Firm: The Market Tells the Tail
Maggie Copeland, Thomas Copeland and Koda Song
The Journal of Portfolio Management February 2021, jpm.2020.1.199; DOI: https://doi.org/10.3905/jpm.2020.1.199
Deep Hedging of Derivatives Using Reinforcement Learning
Jay Cao, Jacky Chen, John Hull and Zissis Poulos
The Journal of Financial Data Science Winter 2021, jfds.2020.1.052; DOI: https://doi.org/10.3905/jfds.2020.1.052
Valuing a Lost Opportunity: An Alternative Perspective on the Illiquidity Discount
Jamil Baz, Steve Sapra, Christian Stracke and Wentao Zhao
The Journal of Portfolio Management February 2021, jpm.2020.1.197; DOI: https://doi.org/10.3905/jpm.2020.1.197
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting
Guido Giese, Zoltán Nagy and Linda-Eling Lee
The Journal of Portfolio Management February 2021, jpm.2020.1.198; DOI: https://doi.org/10.3905/jpm.2020.1.198
On the Predictability of the Equity Premium Using Deep Learning Techniques
Jonathan Iworiso and Spyridon Vrontos
The Journal of Financial Data Science Winter 2021, jfds.2020.1.051; DOI: https://doi.org/10.3905/jfds.2020.1.051
Deviations from Covered Interest Rate Parity: The Case of British Pound Sterling versus Euro
Frank Lehrbass and Thamara Sandra Schuster
The Journal of Financial Data Science Winter 2021, jfds.2020.1.050; DOI: https://doi.org/10.3905/jfds.2020.1.050
Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading
Trent Spears, Stefan Zohren and Stephen Roberts
The Journal of Financial Data Science Winter 2021, jfds.2020.1.049; DOI: https://doi.org/10.3905/jfds.2020.1.049
The Stock-Bond Correlation
Megan Czasonis, Mark Kritzman and David Turkington
The Journal of Portfolio Management February 2021, jpm.2020.1.195; DOI: https://doi.org/10.3905/jpm.2020.1.195
A Derivatives Pricing Model with Non-Cash Collateralization
Kazuhiro Takino
The Journal of Derivatives Fall 2021, jod.2020.1.126; DOI: https://doi.org/10.3905/jod.2020.1.126
Optimizing Alpha through Better Information Workflows
Chito Jovellanos
The Journal of Investing February 2021, joi.2020.1.164; DOI: https://doi.org/10.3905/joi.2020.1.164
Risk Capacity Portfolio Construction
Matthew W. Sherwood
The Journal of Investing February 2021, joi.2020.1.163; DOI: https://doi.org/10.3905/joi.2020.1.163
Financial Literacy, the “High Fee Puzzle,” and Knowledge About the Importance of Fees
Leslie A. Muller and John A. Turner
The Journal of Retirement Winter 2021, jor.2020.1.078; DOI: https://doi.org/10.3905/jor.2020.1.078
The Impact of Public Announcements and Private Analyses on US Treasury Bonds
Onem Ozocak
The Journal of Investing February 2021, joi.2020.1.165; DOI: https://doi.org/10.3905/joi.2020.1.165
A New Uncertainty Measure—Cam
Julia Klevak, Joshua Livnat, Duo (Selina) Pei and Kate Suslava
The Journal of Investing February 2021, joi.2020.1.161; DOI: https://doi.org/10.3905/joi.2020.1.161
Volatility Dependent Structured Products
Artem Dyachenko, Walter Farkas and Marc Oliver Rieger
The Journal of Investing February 2021, joi.2020.1.162; DOI: https://doi.org/10.3905/joi.2020.1.162
The Best Way to Select Features? Comparing MDA, LIME, and SHAP
Xin Man and Ernest P. Chan
The Journal of Financial Data Science Winter 2021, jfds.2020.1.047; DOI: https://doi.org/10.3905/jfds.2020.1.047
Fat Tails: An Untrustworthy Friend
Nicholas Spizzirri
The Journal of Structured Finance Spring 2021, jsf.2020.1.118; DOI: https://doi.org/10.3905/jsf.2020.1.118
BOOK REVIEW: Is There a Retirement Crisis? An Exploration of the Current Debate
Anna M. Rappaport
The Journal of Retirement Winter 2021, jor.2020.1.077; DOI: https://doi.org/10.3905/jor.2020.1.077
An Integrated Model of Financial Literacy Among B–School Graduates Using Fuzzy AHP and Factor Analysis
Shivani Inder, Arun Aggarwal, Sahil Gupta, Sanjay Gupta and Sanjay Rastogi
The Journal of Wealth Management Spring 2021, jwm.2020.1.126; DOI: https://doi.org/10.3905/jwm.2020.1.126
Low-Risk Benchmarking Transcends Rebalancing Methods
Gregory N. Hight and Joseph D. Haley
The Journal of Investing February 2021, joi.2020.1.159; DOI: https://doi.org/10.3905/joi.2020.1.159
Model Risk in Risk Analysis for No-Negative-Equity-Guarantees
Jr-Wei Huang, Sharon S. Yang and Chuang-Chang Chang
The Journal of Derivatives Summer 2021, jod.2020.1.125; DOI: https://doi.org/10.3905/jod.2020.1.125
Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
Sonnan Chen and Yuchi Gu
The Journal of Derivatives Spring 2021, jod.2020.1.124; DOI: https://doi.org/10.3905/jod.2020.1.124
Universal Arbitrage-Free Estimation of State Price Density
Qi Hu and David Newton
The Journal of Derivatives Spring 2021, jod.2020.1.123; DOI: https://doi.org/10.3905/jod.2020.1.123
Financing Correlated Drug Development Projects
Andrew W. Lo and Kien Wei Siah
The Journal of Structured Finance Spring 2021, jsf.2020.1.114; DOI: https://doi.org/10.3905/jsf.2020.1.114
Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model
Artem Dyachenko and Marc Oliver Rieger
The Journal of Derivatives Summer 2021, jod.2020.1.122; DOI: https://doi.org/10.3905/jod.2020.1.122
Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers
Nathan Sosner and Stanley Krasner
The Journal of Wealth Management Spring 2021, jwm.2020.1.125; DOI: https://doi.org/10.3905/jwm.2020.1.125
An Arbitrage-Free Interpolation of Class Graphic for Option Prices
Fabien Le Floc’h
The Journal of Derivatives Summer 2021, jod.2020.1.119; DOI: https://doi.org/10.3905/jod.2020.1.119
Risk Tolerance, Return Expectations and Other Factors Impacting Investment Decisions
Sam Sivarajan and Oscar De Bruijn
The Journal of Wealth Management Spring 2021, jwm.2020.1.124; DOI: https://doi.org/10.3905/jwm.2020.1.124
Can the Improved CMBO Strategies Beat the CMBO Index?
Wei-Han Liu and Jow-Ran Chang
The Journal of Derivatives Spring 2021, jod.2020.1.121; DOI: https://doi.org/10.3905/jod.2020.1.121
How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?
Samuel Drapeau, Tan Wang and Tao Wang
The Journal of Derivatives Spring 2021, jod.2020.1.120; DOI: https://doi.org/10.3905/jod.2020.1.120
Analytical Valuation of Exotic Double Barrier Options
Jui-Jane Chang, Hui-Ming Pai and Ting-Pin Wu
The Journal of Derivatives Spring 2021, jod.2020.1.118; DOI: https://doi.org/10.3905/jod.2020.1.118
A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies
Massimo Costabile
The Journal of Derivatives Spring 2021, jod.2020.1.117; DOI: https://doi.org/10.3905/jod.2020.1.117
Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
Zhenyu Cui and Stephen Taylor
The Journal of Derivatives Spring 2021, jod.2020.1.116; DOI: https://doi.org/10.3905/jod.2020.1.116
Does Integration in the Asian Frontier, Emerging and Developed Stock Markets Conceal a Hidden Opportunity for Portfolio Diversification?
Guntur Anjana Raju and Velip Suraj Pavto
The Journal of Wealth Management Spring 2021, jwm.2020.1.123; DOI: https://doi.org/10.3905/jwm.2020.1.123
The Premium Reduction of European, American, and Perpetual Log Return Options
Stephen Taylor and Jan Vecer
The Journal of Derivatives Summer 2021, jod.2020.1.115; DOI: https://doi.org/10.3905/jod.2020.1.115
Angled Short Straddle: A New Dimension of Trading
Peeyush Bangur, Manoj Kumar Singh, Pankaj Kumar Singh and Ruchi Bangur
The Journal of Wealth Management Spring 2021, jwm.2020.1.122; DOI: https://doi.org/10.3905/jwm.2020.1.122