Factor-based models
- Analyzing the Performance of Multifactor Investment Strategies under a Multiple Testing FrameworkKendro Vincent, Yu-Chin Hsu and Hsiou-Wei LinThe Journal of Portfolio Management March 2018, 44 (4) 113-126; DOI: https://doi.org/10.3905/jpm.2018.44.4.113
- Academic, Practitioner, and Investor Perspectives on Factor InvestingJoseph Cerniglia and Frank J. FabozziThe Journal of Portfolio Management March 2018, 44 (4) 10-16; DOI: https://doi.org/10.3905/jpm.2018.44.4.010
- Black–Litterman with a Factor Structure Applied to Multi-Asset PortfoliosIlya FigelmanThe Journal of Portfolio Management December 2017, 44 (2) 136-155; DOI: https://doi.org/10.3905/jpm.2018.44.2.136
- Facts about FactorsPaula Cocoma, Megan Czasonis, Mark Kritzman and David TurkingtonThe Journal of Portfolio Management March 2017, 43 (5) 55-65; DOI: https://doi.org/10.3905/jpm.2017.43.5.055
- INVITED EDITORIAL COMMENTStephen A. RossThe Journal of Portfolio Management March 2017, 43 (5) 1-5; DOI: https://doi.org/10.3905/jpm.2017.43.5.001
- An Analysis of the Expense Ratio Pricing of SMB,
HML, and UMD Exposure in U.S. Equity Mutual FundsSean Grover and Jared KizerThe Journal of Portfolio Management October 2016, 43 (1) 138-143; DOI: https://doi.org/10.3905/jpm.2016.43.1.138 - The Value of Low VolatilityDavid BlitzThe Journal of Portfolio Management April 2016, 42 (3) 94-100; DOI: https://doi.org/10.3905/jpm.2016.42.3.094
- Evaluating the Accuracy of Beta ForecastsJose G. Menchero, Zoltan Nagy and Ashutosh SinghThe Journal of Portfolio Management April 2016, 42 (3) 84-93; DOI: https://doi.org/10.3905/jpm.2016.42.3.084
- Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio ProxyDavid Ardia and Kris BoudtThe Journal of Portfolio Management July 2015, 41 (4) 68-81; DOI: https://doi.org/10.3905/jpm.2015.41.4.068
- INVITED EDITORIALDavid BlitzThe Journal of Portfolio Management July 2015, 41 (4) 4-7; DOI: https://doi.org/10.3905/jpm.2015.41.4.004
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