Factor-based models
- Robust Reverse Engineering of Cross-Sectional
Returns and Improved Portfolio Allocation
Performance Using the CAPMXiaohui Ni, Yannick Malevergne, Didier Sornette and Peter WoehrmannThe Journal of Portfolio Management July 2011, 37 (4) 76-85; DOI: https://doi.org/10.3905/jpm.2011.37.4.076 - Momentum in Japan: The Exception that Proves
the RuleClifford AsnessThe Journal of Portfolio Management July 2011, 37 (4) 67-75; DOI: https://doi.org/10.3905/jpm.2011.37.4.067 - Are All Currency Managers Equal?Momtchil Pojarliev and Richard M. LevichThe Journal of Portfolio Management July 2011, 37 (4) 42-53; DOI: https://doi.org/10.3905/jpm.2011.37.4.042
- The Evolution of Equity Mandates in Institutional
PortfoliosMark AnsonThe Journal of Portfolio Management July 2011, 37 (4) 127-137; DOI: https://doi.org/10.3905/jpm.2011.37.4.127 - The Determinants of the Importance of Asset
AllocationBrian Jacobsen and Thomas BiwerThe Journal of Portfolio Management April 2011, 37 (3) 37-43; DOI: https://doi.org/10.3905/jpm.2011.37.3.037 - Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho FormulaJose Menchero and Ben DavisThe Journal of Portfolio Management January 2011, 37 (2) 97-106; DOI: https://doi.org/10.3905/jpm.2011.37.2.097
- The Description of PortfoliosRichard GrinoldThe Journal of Portfolio Management January 2011, 37 (2) 15-30; DOI: https://doi.org/10.3905/jpm.2011.37.2.015
- Fat-Tailed Models for Risk EstimationStoyan V. Stoyanov, Svetlozar T. Rachev, Boryana Racheva-Yotova and Frank J. FabozziThe Journal of Portfolio Management January 2011, 37 (2) 107-117; DOI: https://doi.org/10.3905/jpm.2011.37.2.107
- Market-Based Default Rate ForecastingKaren Sterling and Martin FridsonThe Journal of Portfolio Management July 2010, 36 (4) 99-106; DOI: https://doi.org/10.3905/jpm.2010.36.4.099
- Educational Endowments in CrisesWilliam N. Goetzmann, John Griswold and Yung-Fang (Ayung) TsengThe Journal of Portfolio Management July 2010, 36 (4) 112-123; DOI: https://doi.org/10.3905/jpm.2010.36.4.112
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