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
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
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	10
Intangibles: The Missing Ingredient in Book Value	9
Personalized Inflation-Hedging Strategies	9
How Transitory Is Inflation?	9
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	8
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	8
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
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
Equity Convexity under Major Monetary Policy Shift	6
A CIO’s Perspective on ESG Investing	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
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
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	4
Interview with Gerald Garvey of Blackrock	4
Carbon Risk Factor Framework	4
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
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
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
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 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
Social Networks, Trading, and Liquidity	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
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
Quantifying Long-Term Market Impact	2
Volatility-Dependent Skewness Preference	2
Inflation-Induced Overearnings	2
From Portfolio Selection to Portfolio Choice: Remembering Harry Markowitz	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
Leveraging the Low-Volatility Effect	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
Volatility Timing under Low-Volatility Strategy	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1
Hedge Funds and Their Prime Brokers: Favorable IPO Allocations	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Markowitz Remembrance	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
Shrinking the Size Effect	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Interview with Ronald Hua of Qtron Investments	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market	1
An Investor’s Guide to Crypto	1
Formula Investing	1
Sector Rotation in Times of Crises	1
How Much Information Is Required to Time the Market?	1
William T. Ziemba and a Brief Look at HisJournal of Portfolio ManagementLegacy	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
Factor Zoo (.zip)	1
Four-Fold News Sentiment and Stock Returns	1
History, Shocks, and Drifts: A New Approach to Portfolio Formation	1
A Market Microstructure View of the Informational Efficiency of Security Prices	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
Event Time	1
Domesticating the Factor Zoo with Economic Theory	1
Fat and Heavy Tails in Asset Management	1
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications	1
Diversification and Asset Allocation in the Post-COVID Era	1
Inflation Hedging: A Dynamic Approach Using Online Prices	1
Agent Investing: A Constructive Approach	1
Forecast Aggregation and Predictive Value	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
The Hierarchy of Empirical Evidence in Finance	1
Building on Finance Theory to Forge the Future of Investment Practice	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
Climate Output at Risk	1

Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Overview of Investing in Private Corporate Debt	1
Further Applications of Mean–Variance Optimization	1
Alternative Risk Premium Fund Analysis	1
Risky Corporate Bonds in 2021: A Bubble, or Rational Underwriting in a Low-Rate Environment?	1
Private Investing: A Survey of Issues and Solutions	1
Bayes Rule and the Selection of Investment Managers	1
The Cross-Section of Factor Returns	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
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
The Central Paradox of Active Management: Maximizing the Information Ratio Is Counterproductive	1
Interview with Shaojun Zhang Formerly of Vanguard	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	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
Reminiscences on an Extraordinary Gentleman	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Mean-Variance Optimization for Simulation of Order Flow	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
Model-Free Market Risk Hedging Using Crowding Networks	1
Enhanced Backtesting for Practitioners	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
Carbon-Tax-Adjusted Value	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
The Return of the Call Auction	1
Strategic Asset Allocation and Inflation Resilience	1
The Global Market Portfolio	1
Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
Comparing Geopolitical Risk Measures	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1