Analysis of individual factors/risk premia
- Industry Return Predictability: A Machine Learning ApproachDavid E. Rapach, Jack K. Strauss, Jun Tu and Guofu ZhouThe Journal of Financial Data Science July 2019, 1 (3) 9-28; DOI: https://doi.org/10.3905/jfds.2019.1.3.009
- From Risk Factors to Networks: A Case Study on Interconnectedness Using Currency FundsGueorgui Konstantinov and Jonas RebmannThe Journal of Financial Data Science July 2019, 1 (3) 108-123; DOI: https://doi.org/10.3905/jfds.2019.1.3.108
- The Size Premium in Equity Markets: Where Is the Risk?Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière and Jean-Philippe BouchaudThe Journal of Portfolio Management June 2019, 45 (5) 58-68; DOI: https://doi.org/10.3905/jpm.2019.1.086
- ESG: Alpha or Duty?Rajnish KumarThe Journal of Index Investing March 2019, 9 (4) 58-66; DOI: https://doi.org/10.3905/jii.2019.1.066
- A Multi-Factor Strategy for Index Alpha EnhancementRoy Henriksson, Joshua Livnat, Patrick Pfeifer and Margaret StumppThe Journal of Index Investing March 2019, 9 (4) 67-79; DOI: https://doi.org/10.3905/jii.2019.9.4.067
- Uncertainty, Momentum, and ProfitabilityClaire Y.C. Liang, Zhenyang (David) Tang and Xiaowei XuThe Journal of Portfolio Management March 2019, 45 (4) 91-104; DOI: https://doi.org/10.3905/jpm.2019.1.085
- Portfolio Scoring by Expected Risk PremiumSteven P. Greiner and Stoyan V. StoyanovThe Journal of Portfolio Management March 2019, 45 (4) 83-90; DOI: https://doi.org/10.3905/jpm.2019.45.4.083
- Integrating ESG in Portfolio ConstructionRoy Henriksson, Joshua Livnat, Patrick Pfeifer and Margaret StumppThe Journal of Portfolio Management March 2019, 45 (4) 67-81; DOI: https://doi.org/10.3905/jpm.2019.45.4.067
- A Guide to ESG Portfolio ConstructionMichael Branch, Lisa R. Goldberg and Pete HandThe Journal of Portfolio Management March 2019, 45 (4) 61-66; DOI: https://doi.org/10.3905/jpm.2019.45.4.061
- Alice’s Adventures in Factorland: Three Blunders That Plague Factor InvestingRob Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani LinnainmaaThe Journal of Portfolio Management March 2019, 45 (4) 18-36; DOI: https://doi.org/10.3905/jpm.2019.45.4.018
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