Analysis of individual factors/risk premia
- Tail Risk ManagementVineer BhansaliThe Journal of Portfolio Management July 2008, 34 (4) 68-75; DOI: https://doi.org/10.3905/jpm.2008.709982
- Toward the Design of Better Equity BenchmarksLionel MartelliniThe Journal of Portfolio Management July 2008, 34 (4) 34-41; DOI: https://doi.org/10.3905/jpm.2008.709978
- Minimum-Variance Portfolios in the U.S. Equity MarketRoger G Clarke, Harindra de Silva and Steven ThorleyThe Journal of Portfolio Management October 2006, 33 (1) 10-24; DOI: https://doi.org/10.3905/jpm.2006.661366
- Are Optimizers Error Maximizers?Mark KritzmanThe Journal of Portfolio Management July 2006, 32 (4) 66-69; DOI: https://doi.org/10.3905/jpm.2006.644197
- Needles, Haystacks, and Hidden FactorsGuy MillerThe Journal of Portfolio Management January 2006, 32 (2) 25-32; DOI: https://doi.org/10.3905/jpm.2006.611800
- A Novel Approach to Risk Parity: Diversification across Risk Factors and Market RegimesChris Kelliher, Avishek Hazrachoudhury and Bill IrvingThe Journal of Portfolio Management January 2022, jpm.2022.1.327; DOI: https://doi.org/10.3905/jpm.2022.1.327
- Mass Customization of Asset AllocationTarek Issaoui, Romain Perchet, Olivier Retière, François Soupé, Chenyang Yin and Raul Leote de CarvalhoThe Journal of Investing January 2022, joi.2021.1.217; DOI: https://doi.org/10.3905/joi.2021.1.217
- “Honey, I Shrunk the ESG Alpha”: Risk-Adjusting ESG Portfolio ReturnsGiovanni Bruno, Mikheil Esakia and Felix GoltzThe Journal of Investing January 2022, joi.2021.1.215; DOI: https://doi.org/10.3905/joi.2021.1.215
- Factor Investing in Sovereign Bond Markets: Deep Sample EvidenceGuido Baltussen, Martin Martens and Olaf PenningaThe Journal of Portfolio Management December 2021, 48 (2) 209-225; DOI: https://doi.org/10.3905/jpm.2021.1.311
- Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani LinnainmaaThe Journal of Portfolio Management December 2021, 48 (2) 144-163; DOI: https://doi.org/10.3905/jpm.2021.1.310
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