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.
The Exit Behavior of Private Equity Firms in Eastern Europe: An Empirical Analysis of the Main Exit Strategies
Mihai Precup
The Journal of Private Equity Fall 2019, jpe.2019.1.090; DOI: https://doi.org/10.3905/jpe.2019.1.090
Hedge Funds as a Diversification Vehicle
Andreas Mikkelsen, Frode Kjærland and Tom Erik Sønsteng Henriksen
The Journal of Investing October 2019, joi.2019.1.099; DOI: https://doi.org/10.3905/joi.2019.1.099
BRICS Emerging Markets Linkages: Evidence from the 2008 Global Financial Crisis
Peeyush Bangur
The Journal of Private Equity Fall 2019, jpe.2019.1.086; DOI: https://doi.org/10.3905/jpe.2019.1.086
Investment Certainty and Demonetization: Evidence from India
Ritesh Jayantibhai Patel
The Journal of Private Equity Fall 2019, jpe.2019.1.089; DOI: https://doi.org/10.3905/jpe.2019.1.089
The Efficient Frontuzzle: What Investment Risk Profiling Still Fails to Solve
Amy Hubble and John E. Grable
The Journal of Investing October 2019, joi.2019.1.098; DOI: https://doi.org/10.3905/joi.2019.1.098
Remembering Mark Rubinstein
The Journal of Derivatives Fall 2019, jod.2019.1.082; DOI: https://doi.org/10.3905/jod.2019.1.082
Model to Predict the Actual Annual Return of the Investor with the Investors’ Behavioral Biases as the Independent Variables
R. Renu Isidore and P. Christie
The Journal of Private Equity Fall 2019, jpe.2019.1.088; DOI: https://doi.org/10.3905/jpe.2019.1.088
The Fallacy of Currency Diversification: How Zero Correlation Can Still Add Risk
Robert Bush, Jason Chen and Eric Legunn
The Journal of Investing October 2019, joi.2019.1.097; DOI: https://doi.org/10.3905/joi.2019.1.097
Consistent ESG through ESG Benchmarks
Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy and Laura Nishikawa
The Journal of Index Investing Fall 2019, jii.2019.1.072; DOI: https://doi.org/10.3905/jii.2019.1.072
Have Private Equity Returns Really Declined?
Gregory W. Brown and Steven N. Kaplan
The Journal of Private Equity Fall 2019, jpe.2019.1.087; DOI: https://doi.org/10.3905/jpe.2019.1.087
Integrating Factors in Market Indexes and Active Portfolios
Dimitris Melas, Zoltán Nagy, Navneet Kumar and Peter Zangari
The Journal of Portfolio Management September 2019, jpm.2019.1.096; DOI: https://doi.org/10.3905/jpm.2019.1.096
Hedging High Yield and Emerging Market Bond Tail Risk with VIX® Futures
Berlinda Liu and Hong Xie
The Journal of Alternative Investments Fall 2019, jai.2019.1.080; DOI: https://doi.org/10.3905/jai.2019.1.080
Cross-Predictability of Industry Return in Trade Network: Using LASSO
Rasha Ashraf
The Journal of Investing October 2019, joi.2019.1.095; DOI: https://doi.org/10.3905/joi.2019.1.095
Portfolio Selection: A Game-Theoretic Approach
Joseph Simonian
The Journal of Portfolio Management September 2019, jpm.2019.1.095; DOI: https://doi.org/10.3905/jpm.2019.1.095
The Impact of Capital Structure on Mobile Telecommunication Operators in Africa
Grant Chivandire, Ilse Botha and Marise Mouton
The Journal of Private Equity Fall 2019, jpe.2019.1.085; DOI: https://doi.org/10.3905/jpe.2019.1.085
Different Paths to the Same Target: Variation in Target Date Funds
D. Eli Sherrill
The Journal of Investing October 2019, joi.2019.1.094; DOI: https://doi.org/10.3905/joi.2019.1.094
Private Equity Investment: The Outlook for Latin America
Philip T. von Mehren
The Journal of Private Equity Fall 2019, jpe.2019.1.084; DOI: https://doi.org/10.3905/jpe.2019.1.084
An Improved Estimation Method for a Family of GARCH Models
Pascal Létourneau
The Journal of Derivatives Fall 2019, jod.2019.1.081; DOI: https://doi.org/10.3905/jod.2019.1.081
Macroeconomic Risks in Equity Factor Investing
Noël Amenc, Mikheil Esakia, Felix Goltz and Ben Luyten
The Journal of Portfolio Management September 2019, jpm.2019.1.092; DOI: https://doi.org/10.3905/jpm.2019.1.092
The Alpha, Beta, and Sigma of ESG: Better Beta, Additional Alpha?
Brian Jacobsen, Wai Lee and Chao Ma
The Journal of Portfolio Management September 2019, jpm.2019.1.091; DOI: https://doi.org/10.3905/jpm.2019.1.091
Black-Scholes and Heston Models with Stochastic Interest Rates and Term Structure of Volatilities
Alberto Bueno-Guerrero
The Journal of Derivatives Fall 2019, jod.2019.1.078; DOI: https://doi.org/10.3905/jod.2019.1.078
Towards a General Local Volatility Model for All Asset Classes
Dariusz Gatarek and Juliusz Jabłecki
The Journal of Derivatives Fall 2019, jod.2019.1.079; DOI: https://doi.org/10.3905/jod.2019.1.079
On the Existence of Stock Price Bubbles—The Smoking Gun—Discounts and Premiums on Closed-End Funds and ETFs
Robert Jarrow
The Journal of Portfolio Management September 2019, jpm.2019.1.090; DOI: https://doi.org/10.3905/jpm.2019.1.090
American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Qianru Shang and Brian Byrne
The Journal of Derivatives Fall 2019, jod.2019.1.080; DOI: https://doi.org/10.3905/jod.2019.1.080
The Capacity of Factor Strategies
David Blitz and Thom Marchesini
The Journal of Portfolio Management September 2019, jpm.2019.1.089; DOI: https://doi.org/10.3905/jpm.2019.1.089
Carry On
Megan Czasonis, Baykan Pamir and David Turkington
The Journal of Alternative Investments Fall 2019, jai.2019.1.079; DOI: https://doi.org/10.3905/jai.2019.1.079
Expected Shortfall Asset Allocation: A Multi-Dimensional Risk Budgeting Framework
Emmanuel Jurczenko and Jérôme Teiletche
The Journal of Alternative Investments Fall 2019, jai.2019.1.078; DOI: https://doi.org/10.3905/jai.2019.1.078
How Much Is Behavioral Advice Worth?
Michael M. Pompian
The Journal of Wealth Management Fall 2019, jwm.2019.1.077; DOI: https://doi.org/10.3905/jwm.2019.1.077
The Size Effect Is Alive and Well, and Hiding behind Calendar Anomalies
David Yechiam Aharon and Mahmoud Qadan
The Journal of Portfolio Management September 2019, jpm.2019.1.088; DOI: https://doi.org/10.3905/jpm.2019.1.088
Promoting Sustainability Using Passive Funds
Benoît Mercereau, João Paulo C.C. Sertã and Constance Gavini
The Journal of Index Investing Fall 2019, jii.2019.1.071; DOI: https://doi.org/10.3905/jii.2019.1.071
The Long and Short of Trend Followers
Joakim Agerback, Tor Gudmundsen-Sinclair and Jarkko Peltomäki
The Journal of Alternative Investments Fall 2019, jai.2019.1.076; DOI: https://doi.org/10.3905/jai.2019.1.076
The Myth of Hedge Fund Fee Diversification
Fei Meng, David Saunders and Luis Seco
The Journal of Alternative Investments Fall 2019, jai.2019.1.077; DOI: https://doi.org/10.3905/jai.2019.1.077
Testing Futures Trading Strategy Assumptions
Mark C. Hutchinson and John O’Brien
The Journal of Alternative Investments Fall 2019, jai.2019.1.075; DOI: https://doi.org/10.3905/jai.2019.1.075
The Future of the Banking System under the Dominance and Development of the Cryptocurrency Industry: Empirical Evidence from Cointegration Analysis
Anwar Hasan Abdullah Othman, Syed Musa Alhabshi, Razali Haron and Azman Bin Mohd Noor
The Journal of Wealth Management Fall 2019, jwm.2019.1.075; DOI: https://doi.org/10.3905/jwm.2019.1.075
The World Has Changed: Investing in the New Economy
Jeffrey B. Madden
The Journal of Wealth Management Fall 2019, jwm.2019.1.076; DOI: https://doi.org/10.3905/jwm.2019.1.076
Smart Beta and Statistical Significance
Paskalis Glabadanidis
The Journal of Wealth Management Fall 2019, jwm.2019.1.074; DOI: https://doi.org/10.3905/jwm.2019.1.074
Profits Are Here: Spread Performance on the Indian Stock Market
Peeyush Bangur
The Journal of Wealth Management Fall 2019, jwm.2019.1.073; DOI: https://doi.org/10.3905/jwm.2019.1.073
529 College Savings Plans under the TCJA: Evaluating Age-Based Portfolios
Ross A. Riskin
The Journal of Wealth Management Fall 2019, jwm.2019.1.072; DOI: https://doi.org/10.3905/jwm.2019.1.072
Fixed Income and Passive Asset Allocation Outperformance in Brazil
Alexandre Brandão Veras Daltro and Ricardo Pereira Câmara Leal
The Journal of Wealth Management Fall 2019, jwm.2019.1.071; DOI: https://doi.org/10.3905/jwm.2019.1.071
Fundamental Factors That Improve Your Investments: A Practical Guide
Pim Lausberg, Alfred Slager and Philip Stork
The Journal of Investing joi.2019.1.092; DOI: https://doi.org/10.3905/joi.2019.1.092
Quadrinomial Trees to Value Options in Stochastic Volatility Models
Julián A. Pareja-Vasseur and Freddy H. Marín-Sánchez
The Journal of Derivatives Fall 2019, jod.2019.1.076; DOI: https://doi.org/10.3905/jod.2019.1.076
VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels
Xinglin Yang, Peng Wang and Ji Chen
The Journal of Derivatives Fall 2019, jod.2019.1.075; DOI: https://doi.org/10.3905/jod.2019.1.075