Analysis of individual factors/risk premia
- Carry and Time-Series Momentum: A Match Made in HeavenMarat Molyboga, Junkai Qian and Chaohua HeThe Journal of Alternative Investments August 2020, jai.2020.1.106; DOI: https://doi.org/10.3905/jai.2020.1.106
- A Network Approach to Analyzing Hedge Fund ConnectivityGueorgui S. Konstantinov and Joseph SimonianThe Journal of Financial Data Science June 2020, jfds.2020.1.036; DOI: https://doi.org/10.3905/jfds.2020.1.036
- The Case for Factor Investing in China A SharesDaniel Fang and Diana Olteanu-VeermanThe Journal of Index Investing July 2020, jii.2020.1.093; DOI: https://doi.org/10.3905/jii.2020.1.093
- Carry Strategies and the US Dollar Risk of US and Global BondsGueorgui S. Konstantinov and Frank J. FabozziThe Journal of Fixed Income July 2020, jfi.2020.1.100; DOI: https://doi.org/10.3905/jfi.2020.1.100
- Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?Noël Amenc, Felix Goltz and Ben LuytenThe Journal of Portfolio Management June 2020, 46 (7) 83-99; DOI: https://doi.org/10.3905/jpm.2020.1.161
- Time Horizon, Risk, and Implications for Equity SelectionSunder R. RamkumarThe Journal of Portfolio Management June 2020, 46 (7) 118-130; DOI: https://doi.org/10.3905/jpm.2020.1.159
- Predicting Future Yields and Risk Premia: The Blue-Dot Affine ModelRiccardo Rebonato and Riccardo RonzaniThe Journal of Fixed Income June 2020, jfi.2020.1.099; DOI: https://doi.org/10.3905/jfi.2020.1.099
- 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
- Machine Learning in Asset Management—Part 2: Portfolio Construction—Weight OptimizationDerek SnowThe Journal of Financial Data Science April 2020, 2 (2) 17-24; DOI: https://doi.org/10.3905/jfds.2020.1.029
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