Journal of Portfolio Management

Article	Citations
Top-Down Portfolio Implications of Climate Change	34
When Is Reversal Strong? Evidence from Developed Markets	21
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	20
Stocks, Bonds, Bills, and Inflation’s Components	20
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	19
Expected Stock Returns When Interest Rates Are Low	14
Risk in Risk Aversion	12
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	10
Shared Experience in Top Management Team and Mutual Fund Performance	10
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	10
Option-Enhanced Tax-Smart Portfolio Value	10
How Transitory Is Inflation?	9
Intangibles: The Missing Ingredient in Book Value	9
Personalized Inflation-Hedging Strategies	9
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	8
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	8
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?	7
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	7
Increasing the Transparency of Pricing Dynamics in the US Commercial Real Estate Market with Interpretable Machine Learning Algorithms	7
A Causal Analysis of the Monetary Transmission Mechanism	7
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	7
Integrating Sustainability into Asset Management: Challenges and Opportunities	7
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	7
A CIO’s Perspective on ESG Investing	6
Equity Convexity under Major Monetary Policy Shift	6

How Valuable Are Target Price Forecasts to Factor Investing?	5
Momentum Information Propagation through Global Supply Chain Networks	5
Prolegomena to Any Future Monetary Policy	5
Interview with Ian Toner of Verus	5
webinar summary Multi-Asset Strategies Webinar	5
webinar summary Fixed Income Investing	5
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	5
The Revealed Inefficiencies of the China A-H Premium	5
Forecasting Stock Market Volatility	5
Minimum Downside Risk Portfolios	5
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	4
Interview with Gerald Garvey of Blackrock	4
Carbon Risk Factor Framework	4
Large Language Models for Financial and Investment Management: Models, Opportunities, and Challenges	4
When DoandWhichFama–French Factors Explain Industry Returns?	4
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	4
Range-Based Volatility Timing	4
Geopolitical Risk in Investment Research: Allies, Adversaries, and Algorithms	4
Asset Allocation for Retirement Income: A Framework for Income-Oriented Investors	4
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	4
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	4
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	4
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses	4
Stock Vulnerability and Resilience	4
Supply Chain and Correlations	3
Euro Stoxx 50 Dividends—Reconciling Analyst Estimates and Dividend Future Prices	3
Systematic Insights into Private Equity Investing	3
The P/E Ratio, the Business Cycle, and Timing the Stock Market	3
Comparing Downside Protection Strategies	3
Factor Information Decay: A Global Study	3
Equity Tail Protection Strategies Before, During, and After COVID-19	3
Sizing Matters: Optimal Scaling of Long and Short Exposures in Equity Portfolios	3
Interview with Harshdeep Singh Ahluwalia and Roger Aliaga-Diaz of Vanguard	3
Weak Feedback and Denial Are Killing Active Management: A Slow Death, Perhaps, but One That Is Avoidable	3
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	3
Multi-Asset Portfolios in the New Order	3
Portfolio Decisions within a Generalized Funding Ratio Framework	3
Corporate Bonds and Climate Change Risk	3
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	3
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	3
Global Risk Premiums on Direct Office Real Estate Returns	3
Modernizing Volatility-Managed Strategies	3
A Tour of the Factor Funhouse	3
Social Awareness in Real Estate Investment: What Should Investors Do about the “S” in ESG?	3
Operating Leverage and Inflation	3
Three Decades of Global Institutional Investment in Commercial Real Estate	3
Information Ratio = Selection × Breadth + Sizing	3
China A-Shares: Strategic Allocation to Market and Factor Premiums	3
Price Informativeness with Equity Market Factors	3
Misleading Returns: How Ignoring Cash Flows Can Result in Performance Measurement Errors	3

Why State-Dependent Discounting Matters for Climate-Sensitive Securities	3
An Overview of Optimization Models for Portfolio Management	3
Impact of ESG Objectives on a Portfolio	3
Time-Zero Direct Alpha: Investment-Level Calculations for Improved Skill Evaluation	3
Social Networks, Trading, and Liquidity	2
Quantifying Long-Term Market Impact	2
Volatility-Dependent Skewness Preference	2
Inflation-Induced Overearnings	2
Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty	2
Pricing Factors and Causal Networks for US Industry Portfolios	2
A “Quality” Quality Factor	2
The Link Between Physical and Transition Climate Risk	2
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	2
Diversification Is Dead, Long Live Diversification!	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts	2
How Should the Long-Term Investor Harvest Variance Risk Premiums?	2
The Power of Narrative Attention: Linking Geopolitical and Economic Storylines to Currency Risk and Return Predictability	2
The Economic Value of Frequency-Domain Information	2
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	2
Market Impact Decay and Capacity	2
Understanding the Stable Components of Seasonality in the Size Effect	2
Thinking Outside the Benchmark: Part II	2
Introduction to Investing In Emerging Markets Special Issue	2
Putting the Long Term to Work: Shaping the Prudent Society Investment Model	2
How to Diversify Differently: Time-Varying Correlations, Determinants, and Regimes	2
Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns	2
Climate Change Uncertainty and Volatility of Clean Energy Portfolios: An Asset Pricing Perspective	2
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company	2
Global Bond Allocation Using Duration Times Spread	2
Inflation Hedging: A Dynamic Approach Using Online Prices	1
Agent Investing: A Constructive Approach	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Hedge Funds and Their Prime Brokers: Favorable IPO Allocations	1
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
Building on Finance Theory to Forge the Future of Investment Practice	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
Climate Output at Risk	1
Overview of Investing in Private Corporate Debt	1
Shrinking the Size Effect	1
Further Applications of Mean–Variance Optimization	1
Private Investing: A Survey of Issues and Solutions	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Bayes Rule and the Selection of Investment Managers	1
Alternative Risk Premium Fund Analysis	1
The Cross-Section of Factor Returns	1
Sector Rotation in Times of Crises	1
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)	1
Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate	1
The Future of Fixed Income Is Systematic	1
Factor Zoo (.zip)	1
Financial Networks and Portfolio Management	1
Public or Private? Determining the Optimal Ownership Structure	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
The Factor Edge: Optimized Private Debt Investing	1
Predicting Performance Using Consumer Big Data	1
Interview with Shaojun Zhang Formerly of Vanguard	1
The Central Paradox of Active Management: Maximizing the Information Ratio Is Counterproductive	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Mean-Variance Optimization for Simulation of Order Flow	1
Model-Free Market Risk Hedging Using Crowding Networks	1
Diversification and Asset Allocation in the Post-COVID Era	1
Enhanced Backtesting for Practitioners	1
Carbon-Tax-Adjusted Value	1
Forecast Aggregation and Predictive Value	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
The Return of the Call Auction	1
The Global Market Portfolio	1
The Hierarchy of Empirical Evidence in Finance	1
Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation	1
Comparing Geopolitical Risk Measures	1
Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
From Portfolio Selection to Portfolio Choice: Remembering Harry Markowitz	1
Risky Corporate Bonds in 2021: A Bubble, or Rational Underwriting in a Low-Rate Environment?	1
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	1

Investment Performance of US High-Yield Real Estate Debt: An Empirical Analysis	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1
Determinants of Portfolio ESG Performance: An Attribution Framework	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
Leveraging the Low-Volatility Effect	1
Volatility Timing under Low-Volatility Strategy	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Markowitz Remembrance	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Reminiscences on an Extraordinary Gentleman	1
Interview with Ronald Hua of Qtron Investments	1
Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
An Investor’s Guide to Crypto	1
Formula Investing	1
How Much Information Is Required to Time the Market?	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
William T. Ziemba and a Brief Look at HisJournal of Portfolio ManagementLegacy	1
Four-Fold News Sentiment and Stock Returns	1
Strategic Asset Allocation and Inflation Resilience	1
History, Shocks, and Drifts: A New Approach to Portfolio Formation	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
A Market Microstructure View of the Informational Efficiency of Security Prices	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
A Framework for Attributing Changes in Portfolio Carbon Footprint	1
Stock Selection Modeling and Portfolio Selection in Emerging Markets	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Do the Fama–French Factors Proxy Geopolitical Risks?	1
Measuring Market Risk in Asset Management	1
Domesticating the Factor Zoo with Economic Theory	1
Event Time	1
Fat and Heavy Tails in Asset Management	1
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications	1
Institutional Investors in the Single-Family Rental Market	0
Benchmarks Differ. Then They Get Revised	0
Benefits of Open Architecture and Multi-Management in Real Estate Markets—Evidence from French Nonlisted Investment Trusts	0
Emerging Markets Debt Securities: A Literature Review	0
Endogenous Dynamics of Intraday Liquidity	0
Estimation of Large Financial Covariances: A Cross-Validation Approach	0
Co-Occurrence: A New Perspective on Portfolio Diversification	0
Editor’s Introduction for 2023 Special Issue on Quantitative Tools for Asset Management	0
Dynamic Asset Allocation Using Machine Learning: Seeing the Forest for the Trees	0
Quantifying Narratives and Their Impact on Financial Markets	0
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	0
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing	0
Fund Concentration: A Magnifier of Manager Skill	0
Tail Risk Hedging Performance: Measuring What Counts	0
Long-Term Stock Market Risks and Returns: Insights from the Perspective of a Global EUR Investor	0
How Many Is Too Few? Revisiting the Number of Names in Equity Portfolios	0
Fact, Fiction, and Factor Investing	0
A Tale of Two Tails: Mortality, Size, Volatility, and EPU	0
Portfolio Selection: Efficient Diversification of Investments, 1959	0
Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations	0
Dissecting the Value Premium: A Novel Market-to-Book Decomposition	0
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	0
Style Investing, Mutual Fund Flows, and Return Comovement	0
When to Diversify Differently	0
Predicting Stock Index Changes	0
Why Should Asset Management Be Interested in New Economic Thinking?	0
Tax-Smart Portfolio Valuation and Performance Measurement	0
Recent Trends and Perspectives on the Korean Asset Management Industry	0
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	0
Managing Compound Risks in a Polycrisis World: Conference Overview	0
Stress Testing in a World of Compound Risks and Polycrises	0
Multi-Asset Style Factors Have Their Shining Moments	0
Trending Fast and Slow	0
The Modern Endowment Story: A Ubiquitous US Equity Factor	0
Unpacking Private Equity Performance	0
On Risk Parity Performance	0
Long-Term Investing and the Frequency of Investment Decisions	0
Applications of Portfolio Theory to Accelerating Biomedical Innovation	0
The Markowitzatron: From Modern Portfolio Theory to Modern Petroleum Theory	0
Monte Carlo Simulation in Financial Modeling	0
International Diversification—Still Not Crazy after All These Years	0
Analyzing Markets with a Large Public Company: The Case of South Korea	0
Rethinking Emerging Markets: A Fresh Perspective	0
Eggs in a Basket: Harry Markowitz’s Contribution and How I Achieved Erdős 3	0
Navigating Insolvency Risks in Emerging Markets	0
Low–Risk Alpha without Low Beta	0
Termination Risk and Sustainability	0
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	0
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	0
Selecting Investment Analytic Framework for Both Top-Down and Bottom-Up Investors: Using Global Equity as the Example	0
The European ETF Market: Growth, Trends, and Impact on Underlying Instruments	0
Dual-Horizon Strategic Asset Allocation	0
A Framework for the Analysis of Unfolding Financial Crises	0
Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics	0
Finding Value Using Momentum	0
Interview with Sébastien Page of T. Rowe Price	0
A Century of Macro Factor Investing—Diversified Multi-Asset Multi-Factor Strategies through the Cycles	0