Analysis of individual factors/risk premia
- The Revealed Inefficiencies of the China A-H PremiumFujun Li, Xiaoyang Liu and Vivek ViswanathanThe Journal of Portfolio Management May 2021, jpm.2021.1.251; DOI: https://doi.org/10.3905/jpm.2021.1.251
- Analyzing Markets with a Large Public Company: The Case of South KoreaJang Ho Kim, Taehyeon Kang, Jaeyong Yu and Frank J. FabozziThe Journal of Portfolio Management May 2021, jpm.2021.1.250; DOI: https://doi.org/10.3905/jpm.2021.1.250
- Emerging Market Stock Momentum Returns during US Economic RegimesAnna Martirosyan and Joseph SimonianThe Journal of Portfolio Management May 2021, jpm.2021.1.246; DOI: https://doi.org/10.3905/jpm.2021.1.246
- China A-Shares: Strategic Allocation to Market and Factor PremiumsWilma de Groot, Laurens Swinkels and Weili ZhouThe Journal of Portfolio Management May 2021, jpm.2021.1.245; DOI: https://doi.org/10.3905/jpm.2021.1.245
- Optimal Strategies for ESG PortfoliosFabio Alessandrini and Eric JondeauThe Journal of Portfolio Management April 2021, 47 (6) 114-138; DOI: https://doi.org/10.3905/jpm.2021.1.241
- Value and Interest Rates: Are Rates to Blame for Value’s Torments?Thomas Maloney and Tobias J. MoskowitzThe Journal of Portfolio Management April 2021, 47 (6) 65-87; DOI: https://doi.org/10.3905/jpm.2021.1.236
- Harvesting Macroeconomic Risk PremiaKyriakos Chousakos and Daniel GiamouridisThe Journal of Portfolio Management May 2020, 46 (6) 93-109; DOI: https://doi.org/10.3905/jpm.2020.1.149
- Adaptive Optimal Risk BudgetingAlexander Rudin, Vikas Mor and Daniel FarleyThe Journal of Portfolio Management May 2020, 46 (6) 147-158; DOI: https://doi.org/10.3905/jpm.2020.1.148
- Factors with StyleKeiko Kimura, Katharina Schwaiger, Deepika Sharma and Andrew AngThe Journal of Investing March 2021, 30 (3) 21-46; DOI: https://doi.org/10.3905/joi.2021.1.172
- Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment SolutionsLionel Martellini and Vincent MilhauThe Journal of Portfolio Management December 2017, 44 (2) 8-22; DOI: https://doi.org/10.3905/jpm.2018.44.2.008
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