Analysis of individual factors/risk premia
- Factors with StyleKeiko Kimura, Katharina Schwaiger, Deepika Sharma and Andrew AngThe Journal of Investing February 2021, joi.2021.1.172; 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
- Macroeconomic Dashboards for Tactical Asset AllocationDavid Clewell, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page and Charles ShriverThe Journal of Portfolio Management December 2017, 44 (2) 50-61; DOI: https://doi.org/10.3905/jpm.2018.44.2.050
- Using Fundamental Earnings Factors to Forecast Equity Market VolatilityHaim A. Mozes and John Launny SteffensThe Journal of Trading October 2018, 13 (4) 14-19; DOI: https://doi.org/10.3905/jot.2018.13.4.014
- Fact, Fiction, and the Size EffectRon Alquist, Ronen Israel and Tobias MoskowitzThe Journal of Portfolio Management October 2018, 45 (1) 34-61; DOI: https://doi.org/10.3905/jpm.2018.1.082
- Short-Horizon Beta or Long-Horizon Alpha?Avraham Kamara, Robert Korajczyk, Xiaoxia Lou and Ronnie SadkaThe Journal of Portfolio Management October 2018, 45 (1) 96-105; DOI: https://doi.org/10.3905/jpm.2018.45.1.096
- Accessing the China A-Shares Market via Minimum-Variance InvestingAlex Chen, Eddie Pong and Yang WangThe Journal of Portfolio Management October 2018, 45 (1) 106-117; DOI: https://doi.org/10.3905/jpm.2018.45.1.106
- Option Writing: Using VIX to Improve ReturnsBurton G. Malkiel, Alex Rinaudo and Atanu SahaThe Journal of Derivatives November 2018, 26 (2) 38-49; DOI: https://doi.org/10.3905/jod.2018.26.2.038
- Volatility as an Asset Class: Holding VIX in a PortfolioJason P. Berkowitz and R. Jared DeLisleThe Journal of Alternative Investments September 2018, 21 (2) 52-64; DOI: https://doi.org/10.3905/jai.2018.21.2.052
- Duration and GlobalizationZvika Afik, Gady Jacoby and Zvi WienerThe Journal of Fixed Income September 2018, 28 (2) 31-43; DOI: https://doi.org/10.3905/jfi.2018.28.2.031
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