Journal of Portfolio Management

Article	Citations
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting	38
Optimal Strategies for ESG Portfolios	29
Tokenization—The Future of Real Estate Investment?	29
Is (Systematic) Value Investing Dead?	22
The Best Strategies for Inflationary Times	21
Mean–Variance Optimization for Asset Allocation	19
The Unreasonable Attractiveness of More ESG Data	19
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management	17
Resurrecting the Value Premium	16
Financial Anomalies in Portfolio Construction and Management	15
Climate Risk and Real Estate Prices: What Do We Know?	14
Currency Conversion of Fama–French Factors: How and Why	14
Risk Parity: The Democratization of Risk in Asset Allocation	14
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	13
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	11
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	10
Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis	10
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	9
The Quantitative Approach for Sustainable Investing	9
Systematic ESG Risk and Passive ESG Investing	9
Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection	9
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	8
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management	8
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	8
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing	8

An Overview of Machine Learning for Asset Management	8
Settling the Size Matter	8
Asset Allocation and Private Market Investing	7
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds	7
Private Equity Performance and the Effects of Cash-Flow Timing	7
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets	7
Three Decades of Global Institutional Investment in Commercial Real Estate	7
The Myth of Diversification Reconsidered	7
Deep Value	6
The Quant Crisis of 2018–2020: Cornered by Big Growth	6
The Norway Model in Perspective	6
The Stock-Bond Correlation	6
Carbon Risk Factor Framework	5
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective	5
The Role of Factors in Asset Allocation	5
Firm-Level Cybersecurity Risk and Idiosyncratic Volatility	5
Quantifying Long-Term Market Impact	5
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction	5
Failure of the Endowment Model	5
Sharpe Parity Redux	4
Novel Risks: A Research and Policy Overview	4
Volatility Targeting: It’s Complicated!	4
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?	4
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	4
Portfolio Tilts Using Views on Macroeconomic Regimes	4
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations	4
The Canadian Pension Fund Model: A Quantitative Portrait	4
Strategic Asset Allocation for Endowment Funds	4
Valuing a Lost Opportunity: An Alternative Perspective on the Illiquidity Discount	4
From ELIZA to ChatGPT: The Evolution of Natural Language Processing and Financial Applications	4
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?	4
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis	4
An Investor’s Guide to Crypto	4
Cross-Asset Skew	4
Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk	4
The European ETF Market: Growth, Trends, and Impact on Underlying Instruments	4
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	4
A Changing Stock–Bond Correlation: Drivers and Implications	4
A Market Microstructure View of the Informational Efficiency of Security Prices	4
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	3
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns	3
Active Factor Completion Strategies	3
Macro Factor Investing with Style	3
Factor Zoo (.zip)	3
The Quant Cycle	3
Putting Credit Factor Investing into Practice	3
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	3
Turning Tail Risks into Tailwinds	3
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing	3
Trends and Cycles of Style Factors in the 20th and 21st Centuries	3

Volatility-Dependent Skewness Preference	3
Don’t Give Up the Ship: The Future of the Endowment Model	3
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	3
Corporate Bonds and Climate Change Risk	3
Managing Portfolio Volatility	3
Fact, Fiction, and Factor Investing	3
Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts	3
Recent Trends and Perspectives on the Korean Asset Management Industry	3
Macro Factor Model: Application to Liquid Private Portfolios	3
Robustness in Portfolio Optimization	3
American Exceptionalism: The Long-Term Evidence	3
Carbon-Tax-Adjusted Value	3
Emerging Markets Debt Securities: A Literature Review	3
The Future of Factor Investing	3
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	3
Portfolio Upside and Downside Risk—Both Matter!	3
Drawdown Measures: Are They All the Same?	3
Should Equity Factors Be Betting on Industries?	3
Navigating Insolvency Risks in Emerging Markets	3
Assessing Climate Change Impact on Sovereign Bonds	3
The Canadian Pension Model: Past, Present, and Future	3
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision	3
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	3
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds	2
Social Networks, Trading, and Liquidity	2
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	2
Dynamic Asset Allocation Using Machine Learning: Seeing the Forest for the Trees	2
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation	2
Editors’ Introduction to the Special Issue on Investment Models	2
How Can Machine Learning Advance Quantitative Asset Management?	2
Calculating Outperformance in Dollars: Introducing the Excess Value Method	2
New Perspective on Investment Models	2
Is Incorporating ESG Considerations Costly?	2
Who Gains from Place-Based Tax Incentives? Exploring Apartment Sales Prices in Qualified Opportunity Zones	2
The Central Paradox of Active Management: Maximizing the Information Ratio Is Counterproductive	2
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	2
Robust Statistics for Portfolio Construction and Analysis	2
Editor’s Introduction for 2021 Special Issue on Factor Investing	2
Public and Private Equity Returns: Different or Same?	2
Long-Term Investing and the Frequency of Investment Decisions	2
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	2
Portfolio Protection? It’s a Long (Term) Story…	2
Climate Change and Asset Allocation: A Distinction That Makes a Difference	2
Momentum Information Propagation through Global Supply Chain Networks	2
Bridging the Gap between Strategic Allocation and Investment Risk	2
Forecasting Long-Horizon Volatility for Strategic Asset Allocation	2
International Diversification—Still Not Crazy after All These Years	2
Endogenous Dynamics of Intraday Liquidity	2
Optimal Allocation to Time-Series and Cross-Sectional Momentum	2
Momentum and Downside Risk in Emerging Markets	2
Information Ratio = Selection × Breadth + Sizing	2
Factor Construction Zoo: Are Factor Exposures Created Equal?	2
Value and Interest Rates: Are Rates to Blame for Value’s Torments?	2
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	1
Investing in US Core Fixed Income with Macro and Style Factors	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
Climate Solutions Investments	1
Expected Stock Returns When Interest Rates Are Low	1
Waiting for the Next Factor Wave: Daily Rebalancing around Market Cycle Transitions	1
Global Risk Premiums on Direct Office Real Estate Returns	1
Tax-Smart Portfolio Valuation and Performance Measurement	1
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	1
Modernizing Volatility-Managed Strategies	1
Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait	1
ESG, Fundamentals, and Stock Returns	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations	1
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	1
Operating Leverage and Inflation	1
Quantifying Narratives and Their Impact on Financial Markets	1
Expected Surplus Growth Compared with Mean–Variance Optimization	1
Implementing Value and Momentum Strategies in Credit Portfolios	1
Fund Concentration: A Magnifier of Manager Skill	1
How Valuable Are Target Price Forecasts to Factor Investing?	1
Monte Carlo Simulation in Financial Modeling	1
A Holistic Approach to Creating High Income Portfolios That Are Risk–Return Efficient and Tax Aware	1
Investigating the Influence of News Sources and Language Models on Climate Beta Estimates	1
Top-Down Portfolio Implications of Climate Change	1
Mean-Variance Optimization for Simulation of Order Flow	1
Factor Investing Using Capital Market Assumptions	1

Personalized Inflation-Hedging Strategies	1
Strategic Asset Allocation and Inflation Resilience	1
Tail Risk Hedging Performance: Measuring What Counts	1
Understanding the Stable Components of Seasonality in the Size Effect	1
Changes in Ownership Breadth and Capital Market Anomalies	1
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	1
Do Factor Models Explain Breaks in the Distribution of Equity Returns?	1
The Performance Life Cycle of Hedge Funds: Can Investors Achieve Lasting Performance?	1
An Infrastructure Investment Primer: From Valuation to Allocation and Manager Selection	1
The P/E Ratio, the Business Cycle, and Timing the Stock Market	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Active versus Passive: Old Wine in New Wine Skins	1
The Effectiveness of Ex Ante Real Earnings Yields in Forecasting Stock Market Returns	1
Predicting Stock Index Changes	1
Intangibles: The Missing Ingredient in Book Value	1
Investing in Interesting Times	1
Unpacking Private Equity Performance	1
Style Factors for Private Real Estate—Beyond Property Type and Location	1
Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas	1
A Tour of the Factor Funhouse	1
Using a Life Cycle Model to Design a Target Date Glidepath	1
Finding Value Using Momentum	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1
Net-Zero Investing for Multi-Asset Portfolios Seeking to Satisfy Paris-Aligned Benchmark Requirements with Climate Alpha Signals	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	1
Transaction Cost–Optimized Equity Factors around the World	1
A Century of Macro Factor Investing—Diversified Multi-Asset Multi-Factor Strategies through the Cycles	1
The Hierarchy of Empirical Evidence in Finance	1
Time-Varying Factor Allocation	1
A Tale of Two Tails: Mortality, Size, Volatility, and EPU	1
The Covariance Structure between Liquid and Illiquid Assets	1
The Value of Smoothing	1
Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?	1
Alternative Risk Premium Fund Analysis	1
On Factor Purity in Investment Portfolios	1
A New Predictability Pattern in the US Stock Market Returns	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
Fuzzy Factors and Asset Allocation	1
Analyzing Markets with a Large Public Company: The Case of South Korea	1
Impact of ESG Objectives on a Portfolio	1
Where Are the Factors in Factor Investing?	1
Developing Practical Investment Resilience	1
The Global Market Portfolio	1
Investing in International Equities: Lessons from a Decade of Strong US Equity Markets	1
Gains from Markowitz Optimization: Evidence from Reoptimization of Mutual Fund Holdings	1
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities	1
Modeling Models: Factor and Risk Decompositions of Model Portfolio Strategies	1
Portfolio Construction When Regimes Are Ambiguous	1
Euro Stoxx 50 Dividends—Reconciling Analyst Estimates and Dividend Future Prices	1
The Effects of Spending Rules and Asset Allocation on Nonprofit Endowments	1
Factor Investing: The Best Is Yet to Come	1
Fat and Heavy Tails in Asset Management	1
The Return of the Call Auction	1
Measuring and Managing the Opportunity Cost of Downside Risk Protection	1
Downside Risk-Parity Portfolio	1
Forecasting Stock Market Volatility	1
Diversification—A Free Starbucks Cup of Coffee?	1
Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Portfolio Factory	1
Comparing Geopolitical Risk Measures	1
The Better-of-Two Strategy for Active versus Passive Management: The Option Value of Active through Time	1
Trending Fast and Slow	1
Markowitz Portfolio Construction at Seventy	1
Option-Enhanced Tax-Smart Portfolio Value	0
Overview of Investing in Private Corporate Debt	0
Emerging Market Bonds: Expected Returns and Currency Impact	0
How Much Information Is Required to Time the Market?	0
Regret and Optimal Portfolio Allocations	0
Toward Regime-Aware Risk Forecasts	0
Value versus Values: What Is the Sign of the Climate Risk Premium?	0
ESG Investing: Moderate-Income Rental Housing as a Viable Real Estate Asset Class	0
Portfolio Concentration and Stock-Specific Risk	0
Back to the Roots: Three Reflections on Financial Analysis	0
Inflation Risk Premium	0
Crowding and Liquidity Shocks	0
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	0
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	0
Introduction to Investing In Emerging Markets Special Issue	0
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	0
Reversing the Trend of Short-Term Reversal	0
Monte Carlo Simulation for Portfolio Analysis	0
Incremental Volatility and Related Portfolio Analytics	0
Inflation-Induced Overearnings	0
The New Risk and Return of Venture Capital	0
Risk in Risk Aversion	0
The Death of Active Management Has Been Greatly Exaggerated	0
Shared Experience in Top Management Team and Mutual Fund Performance	0
Errors and Challenges Associated with Investing in EMU Government Bonds	0
webinar summary Private Equity: Risks and Opportunities	0
Interview with Jason Hsu of Rayliant Global Advisors	0
Customized Risk Analysis through Dynamic Factor Definitions	0
How Transitory Is Inflation?	0
The Cost of Investment Hubris	0