Analysis of individual factors/risk premia
- Beyond Carry and Momentum in Government BondsJérôme Gava, William Lefebvre and Julien TurcThe Journal of Fixed Income March 2020, 29 (4) 48-74; DOI: https://doi.org/10.3905/jfi.2020.1.085
- Sources of Return Dispersion in Alternative Risk PremiaDavid E. KuenziThe Journal of Alternative Investments March 2020, 22 (4) 26-39; DOI: https://doi.org/10.3905/jai.2020.1.089
- An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility ModelsJunmei Ma, Sihuan Huang and Wei XuThe Journal of Derivatives February 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092
- What Does Today’s Smile Imply About Future Volatilities?Riccardo RebonatoThe Journal of Derivatives February 2020, 27 (3) 26-44; DOI: https://doi.org/10.3905/jod.2019.1.091
- Machine Learning in Asset Management: Part 2: Portfolio Construction—Weight OptimizationDerek SnowThe Journal of Financial Data Science March 2020, jfds.2020.1.029; DOI: https://doi.org/10.3905/jfds.2020.1.029
- Harvesting Macroeconomic Risk PremiaKyriakos Chousakos and Daniel GiamouridisThe Journal of Portfolio Management March 2020, jpm.2020.1.149; DOI: https://doi.org/10.3905/jpm.2020.1.149
- Adaptive Optimal Risk BudgetingAlexander Rudin, Vikas Mor and Daniel FarleyThe Journal of Portfolio Management March 2020, jpm.2020.1.148; DOI: https://doi.org/10.3905/jpm.2020.1.148
- Portfolio Optimization with Active, Passive, and Factors: Removing the Ad Hoc StepRoger Aliaga-Diaz, Giulio Renzi-Ricci, Ankul Daga and Harshdeep AhluwaliaThe Journal of Portfolio Management February 2020, 46 (4) 39-51; DOI: https://doi.org/10.3905/jpm.2020.1.127
- Machine Learning in Asset Management—Part 1: Portfolio Construction—Trading StrategiesDerek SnowThe Journal of Financial Data Science January 2020, 2 (1) 10-23; DOI: https://doi.org/10.3905/jfds.2019.1.021
- Factors and Advisor PortfoliosBrian Lawler, Brett Mossman, Patrick Nolan and Andrew AngThe Journal of Wealth Management January 2020, 22 (4) 37-61; DOI: https://doi.org/10.3905/jwm.2019.1.095
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