Journal of Portfolio Management

Article	Citations
When Is Reversal Strong? Evidence from Developed Markets	23
Stocks, Bonds, Bills, and Inflation’s Components	20
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	15
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	14
Expected Stock Returns When Interest Rates Are Low	13
Risk in Risk Aversion	12
Shared Experience in Top Management Team and Mutual Fund Performance	12
Option-Enhanced Tax-Smart Portfolio Value	12
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management	11
Intangibles: The Missing Ingredient in Book Value	11
How Transitory Is Inflation?	10
Personalized Inflation-Hedging Strategies	10
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	9
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	8
A Causal Analysis of the Monetary Transmission Mechanism	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
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	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
Interview with Ian Toner of Verus	6
How Valuable Are Target Price Forecasts to Factor Investing?	6
Equity Convexity under Major Monetary Policy Shift	6
A CIO’s Perspective on ESG Investing	6
webinar summary Multi-Asset Strategies Webinar	6

webinar summary Fixed Income Investing	5
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	5
Range-Based Volatility Timing	5
Forecasting Stock Market Volatility	5
From Economics to AI: Integrating Discretionary and Quantitative Approaches in Asset Management	5
Minimum Downside Risk Portfolios	5
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	5
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	5
Interview with Gerald Garvey of Blackrock	5
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	5
Prolegomena to Any Future Monetary Policy	5
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	5
Integrating Sustainability into Asset Management: Challenges and Opportunities	5
When DoandWhichFama–French Factors Explain Industry Returns?	4
Stock Vulnerability and Resilience	4
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	4
Modernizing Volatility-Managed Strategies	4
Geopolitical Risk in Investment Research: Allies, Adversaries, and Algorithms	4
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses	4
Carbon Risk Factor Framework	4
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	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
Information Ratio = Selection × Breadth + Sizing	3
Supply Chain and Correlations	3
Weak Feedback and Denial Are Killing Active Management: A Slow Death, Perhaps, but One That Is Avoidable	3
Social Awareness in Real Estate Investment: What Should Investors Do about the “S” in ESG?	3
Comparing Downside Protection Strategies	3
Large Language Models for Financial and Investment Management: Models, Opportunities, and Challenges	3
Why State-Dependent Discounting Matters for Climate-Sensitive Securities	3
Factor Information Decay: A Global Study	3
Portfolio Decisions within a Generalized Funding Ratio Framework	3
Impact of ESG Objectives on a Portfolio	3
Operating Leverage and Inflation	3
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	3
Interview with Harshdeep Singh Ahluwalia and Roger Aliaga-Diaz of Vanguard	3
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	3
Interview with Sebastien Page of T. Rowe Price	3
An Overview of Optimization Models for Portfolio Management	3
Misleading Returns: How Ignoring Cash Flows Can Result in Performance Measurement Errors	3
Corporate Bonds and Climate Change Risk	3
Systematic Insights into Private Equity Investing	3
Multi-Asset Portfolios in the New Order	3
A Tour of the Factor Funhouse	3
Time-Zero Direct Alpha: Investment-Level Calculations for Improved Skill Evaluation	3
Price Informativeness with Equity Market Factors	3
Asset Allocation for Retirement Income: A Framework for Income-Oriented Investors	3
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	2
Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns	2
Putting the Long Term to Work: Shaping the Prudent Society Investment Model	2

A “Quality” Quality Factor	2
Interview with Mark Anson, CEO, Commonfund	2
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	2
Volatility-Dependent Skewness Preference	2
Inflation-Induced Overearnings	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
Understanding the Stable Components of Seasonality in the Size Effect	2
How to Diversify Differently: Time-Varying Correlations, Determinants, and Regimes	2
The Link Between Physical and Transition Climate Risk	2
The Economic Value of Frequency-Domain Information	2
Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty	2
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company	2
Interview with Gene Podkaminer of Capital Group	2
Quantifying Long-Term Market Impact	2
Diversification Is Dead, Long Live Diversification!	2
Introduction to Investing In Emerging Markets Special Issue	2
Global Bond Allocation Using Duration Times Spread	2
Market Impact Decay and Capacity	2
Climate Change Uncertainty and Volatility of Clean Energy Portfolios: An Asset Pricing Perspective	2
The Power of Narrative Attention: Linking Geopolitical and Economic Storylines to Currency Risk and Return Predictability	2
Pricing Factors and Causal Networks for US Industry Portfolios	2
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts	2
Social Networks, Trading, and Liquidity	2
The Roots of Dispersion	2
A Framework for Attributing Changes in Portfolio Carbon Footprint	2
Thinking Outside the Benchmark: Part II	2
Investing as Owners Rather Than Traders: How Pension Funds Can Transform Capitalism	2
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	2
How Should the Long-Term Investor Harvest Variance Risk Premiums?	2
Measuring Market Risk in Asset Management	1
Forecast Aggregation and Predictive Value	1
Stock Selection Modeling and Portfolio Selection in Emerging Markets	1
Climate Output at Risk	1
Strategic Asset Allocation and Inflation Resilience	1
Comparing Geopolitical Risk Measures	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1
Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Relevance-Based Importance: A Comprehensive Measure of Variable Importance in Prediction	1
Predicting Performance Using Consumer Big Data	1
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
Carbon-Tax-Adjusted Value	1
What to Do with All These Currencies?	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
William T. Ziemba and a Brief Look at HisJournal of Portfolio ManagementLegacy	1
Enhanced Backtesting for Practitioners	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
History, Shocks, and Drifts: A New Approach to Portfolio Formation	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	1
Shrinking the Size Effect	1
Model-Free Market Risk Hedging Using Crowding Networks	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
The Return of the Call Auction	1
Formula Investing	1
Four-Fold News Sentiment and Stock Returns	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
Overview of Investing in Private Corporate Debt	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
The Hierarchy of Empirical Evidence in Finance	1
Public or Private? Determining the Optimal Ownership Structure	1
Domesticating the Factor Zoo with Economic Theory	1
Institutional Investors as Architects of Change: Toward a New Theory of Firm Value Creation	1
Bayes Rule and the Selection of Investment Managers	1
Fat and Heavy Tails in Asset Management	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
Inflation Hedging: A Dynamic Approach Using Online Prices	1
History Repeats Itself? The Nonstationarity Hazard	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	1
The Factor Edge: Optimized Private Debt Investing	1
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)	1
Strategic Asset Allocation with Alternative Investments: An Integrated Approach	1
Event Time	1
Factor Zoo (.zip)	1
An Investor’s Guide to Crypto	1
Rebuffed: An Empirical Review of Buffer Funds	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1

Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1
Financial Networks and Portfolio Management	1
Reminiscences on an Extraordinary Gentleman	1
From Portfolio Selection to Portfolio Choice: Remembering Harry Markowitz	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Diversification and Asset Allocation in the Post-COVID Era	1
The Future of Fixed Income Is Systematic	1
Markowitz Remembrance	1
Sector Rotation in Times of Crises	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Volatility Timing under Low-Volatility Strategy	1
Building on Finance Theory to Forge the Future of Investment Practice	1
Interview with Shaojun Zhang Formerly of Vanguard	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1
Agent Investing: A Constructive Approach	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate	1
Interview with Ronald Hua of Qtron Investments	1
Risky Corporate Bonds in 2021: A Bubble, or Rational Underwriting in a Low-Rate Environment?	1
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications	1
Mean-Variance Optimization for Simulation of Order Flow	1
Editor’s Introduction to the Special Issue on Portfolio Manager Perspectives	1
The Cross-Section of Factor Returns	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
How Much Information Is Required to Time the Market?	1
Further Applications of Mean–Variance Optimization	1
Alternative Risk Premium Fund Analysis	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Private Investing: A Survey of Issues and Solutions	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Leveraging the Low-Volatility Effect	1