Volatility measures
- The Devil Is in the Details: The Risks Often Ignored in Low-Volatility InvestingNicholas Alonso and Oleg NusinzonThe Journal of Portfolio Management June 2020, 46 (7) 58-70; DOI: https://doi.org/10.3905/jpm.2020.1.163
- Downside Volatility-Managed PortfoliosXiao Qiao, Sibo Yan and Binbin DengThe Journal of Portfolio Management June 2020, 46 (7) 13-29; DOI: https://doi.org/10.3905/jpm.2020.1.162
- Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?Noël Amenc, Felix Goltz and Ben LuytenThe Journal of Portfolio Management June 2020, 46 (7) 83-99; DOI: https://doi.org/10.3905/jpm.2020.1.161
- Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures MarketsGeorge O. Aragon, Rajnish Mehra and Sunil WahalThe Journal of Portfolio Management June 2020, 46 (7) 144-159; DOI: https://doi.org/10.3905/jpm.2020.1.158
- Behavioral Finance and the Coronavirus Bear MarketMichael M. PompianThe Journal of Wealth Management July 2020, 23 (2) 70-74; DOI: https://doi.org/10.3905/jwm.2020.23.2.070
- Measuring Sequence of Returns RiskAndrew Clare, Simon Glover, James Seaton, Peter N. Smith and Stephen ThomasThe Journal of Retirement July 2020, 8 (1) 65-79; DOI: https://doi.org/10.3905/jor.2020.1.066
- Factor Investing in Currency Markets: Does It Make Sense?Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali XuThe Journal of Portfolio Management December 2019, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
- The Volatility Effect RevisitedDavid Blitz, Pim van Vliet and Guido BaltussenThe Journal of Portfolio Management December 2019, 46 (2) 45-63; DOI: https://doi.org/10.3905/jpm.2019.1.114
- Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed TimescalesGiovanni Calice, Jing Chen and Julian WilliamsThe Journal of Derivatives February 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094
- An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility ModelsJunmei Ma, Sihuan Huang and Wei XuThe Journal of Derivatives February 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092
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