Quantitative methods
- The Outlook for Endowment and Pension FundsHaim A. Mozes and John Launny SteffensThe Journal of Wealth Management March 2021, jwm.2021.1.131; DOI: https://doi.org/10.3905/jwm.2021.1.131
- Optimal Currency Hedging: Horizon MattersNelson Arruda, Alain Bergeron and Mark KritzmanThe Journal of Alternative Investments March 2021, jai.2021.1.126; DOI: https://doi.org/10.3905/jai.2021.1.126
- Deep ValueCliff Asness, John Liew, Lasse Heje Pedersen and Ashwin ThaparThe Journal of Portfolio Management February 2021, 47 (4) 11-40; DOI: https://doi.org/10.3905/jpm.2021.1.215
- Fuzzy Factors and Asset AllocationAlexander Rudin and Daniel FarleyThe Journal of Portfolio Management February 2021, 47 (4) 110-122; DOI: https://doi.org/10.3905/jpm.2021.1.214
- Optimal Allocation to Time-Series and Cross-Sectional MomentumOlivier Schmid and Patrick WirthThe Journal of Portfolio Management February 2021, 47 (4) 160-179; DOI: https://doi.org/10.3905/jpm.2021.1.213
- Forecasting Long-Horizon Volatility for Strategic Asset AllocationMirko Cardinale, Narayan Y. Naik and Varun SharmaThe Journal of Portfolio Management February 2021, 47 (4) 83-98; DOI: https://doi.org/10.3905/jpm.2021.1.212
- Expected Surplus Growth Compared with Mean–Variance OptimizationJarrod Wilcox and Stephen SatchellThe Journal of Portfolio Management February 2021, 47 (4) 145-159; DOI: https://doi.org/10.3905/jpm.2021.1.209
- Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank CorrelationSteve Q. Xia and Joseph SimonianThe Journal of Portfolio Management February 2021, 47 (4) 135-144; DOI: https://doi.org/10.3905/jpm.2021.1.208
- How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” RevisitedRiccardo Rebonato and Amir El AouadiThe Journal of Fixed Income February 2021, jfi.2021.1.110; DOI: https://doi.org/10.3905/jfi.2021.1.110
- Equity Market Integration and Portfolio Decisions: A Study of NASDAQ USA and MSCI Emerging Markets Asia IndexesRitesh PatelThe Journal of Wealth Management February 2021, jwm.2021.1.129; DOI: https://doi.org/10.3905/jwm.2021.1.129
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