Statistical methods
- Breadth, Skill, and TimeRichard C. Grinold and Ronald N. KahnThe Journal of Portfolio Management October 2011, 38 (1) 18-28; DOI: https://doi.org/10.3905/jpm.2011.38.1.018
- When to Diversify DifferentlyBrian Jacobsen and Matthias ScheiberThe Journal of Portfolio Management January 2022, jpm.2022.1.328; DOI: https://doi.org/10.3905/jpm.2022.1.328
- How Does the Fortune’s Formula Kelly Capital
Growth Model Perform?Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. ZiembaThe Journal of Portfolio Management July 2011, 37 (4) 96-111; DOI: https://doi.org/10.3905/jpm.2011.37.4.096 - 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 - Predicting Market Components Out of Sample:
Asset Allocation ImplicationsAiguo Kong, David E. Rapach, Jack K. Strauss and Guofu ZhouThe Journal of Portfolio Management July 2011, 37 (4) 29-41; DOI: https://doi.org/10.3905/jpm.2011.37.4.029 - Principal Components as a Measure of Systemic RiskMark Kritzman, Yuanzhen Li, Sébastien Page and Roberto RigobonThe Journal of Portfolio Management July 2011, 37 (4) 112-126; DOI: https://doi.org/10.3905/jpm.2011.37.4.112
- Mortgage Flows and Commercial Property Price CyclesJim Clayton and Liang PengThe Journal of Portfolio Management September 2011, 37 (5) 183-191; DOI: https://doi.org/10.3905/jpm.2011.37.5.183
- An Empirical Evaluation of Normative Commercial Real Estate Swap PricingChristian Rehring and Bertram I. SteiningerThe Journal of Portfolio Management September 2011, 37 (5) 154-169; DOI: https://doi.org/10.3905/jpm.2011.37.5.154
- 130/30: By How Much Will the Information Ratio
Improve?Ramon Tol and Christiaan WanningenThe Journal of Portfolio Management April 2011, 37 (3) 62-69; DOI: https://doi.org/10.3905/jpm.2011.37.3.062 - Investor Sentiment, Stock Characteristics, and
ReturnsMeir StatmanThe Journal of Portfolio Management April 2011, 37 (3) 54-61; DOI: https://doi.org/10.3905/jpm.2011.37.3.054
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