Journal of Portfolio Management

Article	Citations
Inflation-Induced Overearnings	31
Back to the Roots: Three Reflections on Financial Analysis	30
The Cost of Investment Hubris	21
Portfolio Concentration and Stock-Specific Risk	19
Incremental Volatility and Related Portfolio Analytics	19
How Transitory Is Inflation?	15
Interview with Jean-Charles Bertrand of HSBC Asset Management	14
Interview with Vince Childers and Jeffrey Palma of Cohen & Steers	14
ESG Investing: Moderate-Income Rental Housing as a Viable Real Estate Asset Class	13
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities	11
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds	11
Intangibles: The Missing Ingredient in Book Value	10
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management	10
Customized Risk Analysis through Dynamic Factor Definitions	9
Reversing the Trend of Short-Term Reversal	9
ESG, Fundamentals, and Stock Returns	9
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	8
Interview with Jason Hsu of Rayliant Global Advisors	8
The Global Market Portfolio	8
Value versus Values: What Is the Sign of the Climate Risk Premium?	8
The Unreasonable Attractiveness of More ESG Data	8
An Infrastructure Investment Primer: From Valuation to Allocation and Manager Selection	7
Toward Regime-Aware Risk Forecasts	7
Regret and Optimal Portfolio Allocations	7
webinar summary Private Equity: Risks and Opportunities	7

Introduction to Investing In Emerging Markets Special Issue	7
Errors and Challenges Associated with Investing in EMU Government Bonds	6
How Much Information Is Required to Time the Market?	6
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	6
Expected Stock Returns When Interest Rates Are Low	5
A New Predictability Pattern in the US Stock Market Returns	5
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	5
The Death of Active Management Has Been Greatly Exaggerated	5
Shared Experience in Top Management Team and Mutual Fund Performance	5
Emerging Market Bonds: Expected Returns and Currency Impact	5
Crowding and Liquidity Shocks	4
Quantifying Long-Term Market Impact	4
Inflation Risk Premium	4
Reconciling Stock Selection and Factor Allocation	4
A Framework for Attributing Changes in Portfolio Carbon Footprint	4
The Importance of Goals-Based (and Values-Based) Liability Indices: Applied to Impact and Green Investing	4
Trends and Cycles of Style Factors in the 20th and 21st Centuries	4
Changes in Ownership Breadth and Capital Market Anomalies	4
Option-Enhanced Tax-Smart Portfolio Value	4
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	4
Editor’s Introduction to the 2023 Special Issue on Performance Analysis	4
Compound Tail Risk	4
The New Risk and Return of Venture Capital	4
Overview of Investing in Private Corporate Debt	4
Risk in Risk Aversion	4
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	4
An Intuitive Guide to Relevance-Based Prediction	4
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	4
Private Investing: A Survey of Issues and Solutions	4
Failure of the Endowment Model	3
Four-Fold News Sentiment and Stock Returns	3
Time-Varying Factor Allocation	3
Social Networks, Trading, and Liquidity	3
Group Investing	3
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing	3
Estimating Expected Returns: Then and Now	3
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	3
Personalized Inflation-Hedging Strategies	3
A Market Microstructure View of the Informational Efficiency of Security Prices	3
The Canadian Pension Model: Past, Present, and Future	3
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis	3
Comparing Geopolitical Risk Measures	3
American Exceptionalism: The Long-Term Evidence	3
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision	3
Foreign Revenue: A New World of Risk Exposures	3
Investor Global Sentiment and Stock Returns Connectedness in Developed Markets	3
The Psychology of Leadership in Investment Management: Five Research-Backed Principles to Perfect Your Leadership of Individuals and Teams	3
Do Scope 3 Carbon Emissions Impact Firms’ Cost of Debt?	3
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective	3
Model-Free Market Risk Hedging Using Crowding Networks	3

Investor Sentiment and Asset Returns: Actions Speak Louder than Words	3
Top-Down Portfolio Implications of Climate Change	3
Bridging the Gap between Strategic Allocation and Investment Risk	3
Improving the Accuracy of Tail Risk Forecasts	3
Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market	3
Carbon-Tax-Adjusted Value	3
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations	3
The Value of Smoothing	3
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	3
Monte Carlo Simulation for Portfolio Analysis	2
Risk Parity: The Democratization of Risk in Asset Allocation	2
Tokenization—The Future of Real Estate Investment?	2
Building on Finance Theory to Forge the Future of Investment Practice	2
Data Mining Corrections and Mutual Fund Performance	2
The Case for Integrating ESG into Fixed-Income Portfolios	2
Thinking Outside the Benchmark: Part II	2
Robustness in Portfolio Optimization	2
Leveraging the Low-Volatility Effect	2
Using Econometrics vs. Machine Learning: What, When, and How	2
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	2
Editor’s Introduction to the 50th Anniversary Issue	2
Stocks, Bonds, Bills, and Inflation’s Components	2
Resurrecting Earnings-to-Price with Robust Control for Outliers	2
Editors’ Introduction: The Birth of Portfolio Theory	2
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	2
Editor’s Introduction for the 2024 Special Issue on Quantitative Tools	2
Efficient Decumulation Investing and Applications to a New Generation of Fully Amortizing Retirement Solutions	2
Portfolio Tilts Using Views on Macroeconomic Regimes	2
Diversification Is Dead, Long Live Diversification!	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
From Portfolio Selection to Portfolio Choice: Remembering Harry Markowitz	2
When Is Reversal Strong? Evidence from Developed Markets	2
When Valuation Fails	2
Financial Anomalies in Portfolio Construction and Management	2
Volatility Timing under Low-Volatility Strategy	1
Real Economy Portfolio: The Market Risk Premium as a Source of Alpha	1
Increasing the Transparency of Pricing Dynamics in the US Commercial Real Estate Market with Interpretable Machine Learning Algorithms	1
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	1
Factor Allocation as Reverse Attribution	1
Tail Risk Hedging: The Search for Cheap Options	1
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	1
webinar summary Multi-Asset Strategies Webinar	1
Who Gains from Place-Based Tax Incentives? Exploring Apartment Sales Prices in Qualified Opportunity Zones	1
The Future of Fixed Income Is Systematic	1
Forecasting Stock Market Volatility	1
Firm-Level Cybersecurity Risk and Idiosyncratic Volatility	1
The Revealed Inefficiencies of the China A-H Premium	1
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	1
Stock Selection Modeling and Portfolio Selection in Emerging Markets	1
Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas	1
Personalized Target-Date Funds	1
The Quant Crisis of 2018–2020: Cornered by Big Growth	1
Momentum Information Propagation through Global Supply Chain Networks	1
Measuring Market Risk in Asset Management	1
Assessing Climate Change Impact on Sovereign Bonds	1
Transaction Cost–Optimized Equity Factors around the World	1
How Valuable Are Target Price Forecasts to Factor Investing?	1
Option Total Return and Active Option Portfolio Management	1
An Overview of Machine Learning for Portfolio Optimization	1
Determinants of Portfolio ESG Performance: An Attribution Framework	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1
Rehabilitating Mean–Variance Portfolio Selection: Theory and Evidence	1
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds	1
A Holistic Approach to Creating High Income Portfolios That Are Risk–Return Efficient and Tax Aware	1
Prolegomena to Any Future Monetary Policy	1
Navigating Insolvency Risks in Emerging Markets	1
A Time-Series Analysis and Forecast of CAPE	1
Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management	1
Markowitz Remembrance	1
Macro Factor Model: Application to Liquid Private Portfolios	1
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	1
Toward Tax-Efficient Low-Volatility Investing	1
Why Should Asset Management Be Interested in New Economic Thinking?	1
Quantifying Narratives and Their Impact on Financial Markets	1
Interview with Ian Toner of Verus	1
Public or Private? Determining the Optimal Ownership Structure	1
From Style to Sectional Factors: A New Framework for Systematic Investing	1
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	1
Domesticating the Factor Zoo with Economic Theory	1
Scenario-Driven Adaptation to Emergent Risks	1

Cut Your Losses and Let Your Profits Run	1
Editor’s Introduction for 2023 Special Issue on Quantitative Tools for Asset Management	1
Estimation of Large Financial Covariances: A Cross-Validation Approach	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1
Minimum Downside Risk Portfolios	1
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	1
Corporate Bonds and the Credit Premium: A Distinct Asset Class with a Long History	1
More Powerful Tests for Anomalies in the China A-Share Market	1
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	1
Fairy Tails: Lessons from 150 Years of Drawdowns	1
Measuring and Managing the Opportunity Cost of Downside Risk Protection	1
Fixed Income Factors: Theory and Practice	1
Improving Equity Fund Alpha Estimates with a Second Size Factor	1
Systematic ESG Risk and Passive ESG Investing	1
Investment Performance of US High-Yield Real Estate Debt: An Empirical Analysis	1
Fat and Heavy Tails in Asset Management	1
Portfolio Risk Mitigation without Bonds	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Using a Life Cycle Model to Design a Target Date Glidepath	1
A CIO’s Perspective on ESG Investing	1
Macro Risk of Low-Volatility Portfolios	1
The Effects of Spending Rules and Asset Allocation on Nonprofit Endowments	1
Range-Based Volatility Timing	1
Unpacking Private Equity Performance	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Do the Fama–French Factors Proxy Geopolitical Risks?	1
Editors’ Introduction to the 2023 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	1
Recent Trends and Perspectives on the Korean Asset Management Industry	1
The State of Play for Popular Investment Models: A Practical Assessment	1
Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies	1
webinar summary Fixed Income Investing	1
The Central Paradox of Active Management: Maximizing the Information Ratio Is Counterproductive	1
Interview with Mark Anson of Commonfund	1
Editor’s Introduction for the 2023 Special Issue on Investing in Non-US Financial Markets	1
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?	1
Financial Networks and Portfolio Management	1
Portfolio Construction When Regimes Are Ambiguous	1
Equity Convexity under Major Monetary Policy Shift	1
Putting Credit Factor Investing into Practice	1
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?	1
The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?	1
Things I Expected Would Have Changed by Now (But Have Not)	0
Optimal Strategies for ESG Portfolios	0
Overnight Return Momentum: Evidence from European Markets	0
Factor Investing Webinar	0
Sharpe Parity Redux	0
Selecting Investment Analytic Framework for Both Top-Down and Bottom-Up Investors: Using Global Equity as the Example	0
On Risk Parity Performance	0
The Modern Endowment Story: A Ubiquitous US Equity Factor	0
A Century of Macro Factor Investing—Diversified Multi-Asset Multi-Factor Strategies through the Cycles	0
Interview with Clifford S. Asness of AQR Capital Management, LLC	0
Operating Leverage and Inflation	0
Finding Value Using Momentum	0
Euro Stoxx 50 Dividends—Reconciling Analyst Estimates and Dividend Future Prices	0
Alternative Approaches to Asset Allocation	0
Climate Change, Corporate Valuation, and the Proposed Securities and Exchange Commission Disclosure Regulations	0
Peer Group Identification in Factor Portfolios: A Data-Driven Approach	0
Supply Chain and Correlations	0
Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations	0
Fifty Years of Innovation, Mythmaking, and Mythbusting: Personal Reflections	0
Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection	0
Interview with David Blanchett of PGIM	0
The Quantitative Approach for Sustainable Investing	0
From Risk Parity to Outcome Risk Parity: A Review and Extension of the Risk Parity Portfolio with Return Predictability	0
Factor Investing: The Best Is Yet to Come	0
Do Alternative Risk Premia Diversify? New Evidence for the Post-Pandemic Era	0
A Tour of the Factor Funhouse	0
Investigating the Influence of News Sources and Language Models on Climate Beta Estimates	0
Diversification—A Free Starbucks Cup of Coffee?	0
Brinson-Style Attribution over Continuous Factors	0
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	0
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	0
Enhanced Backtesting for Practitioners	0
The Exchange Traded Fund Landscape: Past, Present, and Future	0
Style Factors for Private Real Estate—Beyond Property Type and Location	0
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	0
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	0
The Economic Value of Frequency-Domain Information	0
Applications of Portfolio Theory to Accelerating Biomedical Innovation	0
A Primer on Liquidity from an Asset Management and Asset Allocation Perspective	0
Cross-Asset Climate Betas	0
The COVID-19 Impact On Emerging Markets	0
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	0
Equity Fragility	0
Gains from Markowitz Optimization: Evidence from Reoptimization of Mutual Fund Holdings	0
A Rational Multi-Asset Portfolio Rebalancing Decision-Making Framework	0
Editor’s Introduction for 2023 Special Issue on Factor Investing	0
Multi-Asset Portfolios in the New Order	0
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	0
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	0
Three Decades of Global Institutional Investment in Commercial Real Estate	0
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	0