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Statistical methods

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  • The Outlook for Endowment and Pension Funds
    Haim A. Mozes and John Launny Steffens
    The Journal of Wealth Management March 2021, jwm.2021.1.131; DOI: https://doi.org/10.3905/jwm.2021.1.131
  • Optimal Currency Hedging: Horizon Matters
    Nelson Arruda, Alain Bergeron and Mark Kritzman
    The Journal of Alternative Investments March 2021, jai.2021.1.126; DOI: https://doi.org/10.3905/jai.2021.1.126
  • Optimal Allocation to Time-Series and Cross-Sectional Momentum
    Olivier Schmid and Patrick Wirth
    The 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 Allocation
    Mirko Cardinale, Narayan Y. Naik and Varun Sharma
    The 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 Optimization
    Jarrod Wilcox and Stephen Satchell
    The 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 Correlation
    Steve Q. Xia and Joseph Simonian
    The Journal of Portfolio Management February 2021, 47 (4) 135-144; DOI: https://doi.org/10.3905/jpm.2021.1.208
  • Active vs. Smart Beta ETFs: Two Sides of Active Management
    Rajnish Kumar
    The Journal of Index Investing February 2021, jii.2021.1.101; DOI: https://doi.org/10.3905/jii.2021.1.101
  • How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited
    Riccardo Rebonato and Amir El Aouadi
    The 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 Indexes
    Ritesh Patel
    The Journal of Wealth Management February 2021, jwm.2021.1.129; DOI: https://doi.org/10.3905/jwm.2021.1.129
  • Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management
    Petter N. Kolm, Gordon Ritter and Joseph Simonian
    The Journal of Portfolio Management February 2021, jpm.2021.1.222; DOI: https://doi.org/10.3905/jpm.2021.1.222

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