Journal of Portfolio Management

Article	Citations
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship	22
A Practitioner Perspective on Trading and the Implementation of Investment Strategies	15
Risk in Risk Aversion	14
Shared Experience in Top Management Team and Mutual Fund Performance	13
Option-Enhanced Tax-Smart Portfolio Value	13
Stocks, Bonds, Bills, and Inflation’s Components	12
When Is Reversal Strong? Evidence from Developed Markets	11
How Transitory Is Inflation?	10
Intangibles: The Missing Ingredient in Book Value	9
Personalized Inflation-Hedging Strategies	8
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	8
Expected Stock Returns When Interest Rates Are Low	7
A Causal Analysis of the Monetary Transmission Mechanism	7
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	7
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	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	6
webinar summary Multi-Asset Strategies Webinar	6
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?	6
Interview with Ian Toner of Verus	6
How Valuable Are Target Price Forecasts to Factor Investing?	6
A CIO’s Perspective on ESG Investing	6
Interview with Gerald Garvey of Blackrock	5
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	5
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	5

Better Opt Out? Revisiting the Predictive Power of Options-Implied Signals	5
Forecasting Stock Market Volatility	5
Equity Convexity under Major Monetary Policy Shift	5
Integrating Sustainability into Asset Management: Challenges and Opportunities	5
Prolegomena to Any Future Monetary Policy	5
webinar summary Fixed Income Investing	5
Minimum Downside Risk Portfolios	5
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	4
Interview with Sebastien Page of T. Rowe Price	4
An Overview of Optimization Models for Portfolio Management	4
Stock Vulnerability and Resilience	4
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses	4
Comparing Methodologies for ESG Integration into Equity Factor Construction	4
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	4
Equity Tail Protection Strategies Before, During, and After COVID-19	4
Why State-Dependent Discounting Matters for Climate-Sensitive Securities	4
Asset Allocation for Retirement Income: A Framework for Income-Oriented Investors	4
From Economics to AI: Integrating Discretionary and Quantitative Approaches in Asset Management	4
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	4
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	4
Misleading Returns: How Ignoring Cash Flows Can Result in Performance Measurement Errors	4
When DoandWhichFama–French Factors Explain Industry Returns?	4
Range-Based Volatility Timing	4
Systematic Insights into Private Equity Investing	3
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	3
Corporate Bonds and Climate Change Risk	3
Carbon Risk Factor Framework	3
Factor Information Decay: A Global Study	3
Operating Leverage and Inflation	3
Does Real Estate Development Add Value?	3
Sizing Matters: Optimal Scaling of Long and Short Exposures in Equity Portfolios	3
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	3
Large Language Models for Financial and Investment Management: Models, Opportunities, and Challenges	3
Impact of ESG Objectives on a Portfolio	3
The False Promise of Drawdown Rules: New Evidence and a Better Framework	3
Supply Chain and Correlations	3
Information Ratio = Selection × Breadth + Sizing	3
Comparing Downside Protection Strategies	3
Modernizing Volatility-Managed Strategies	3
Interview with Harshdeep Singh Ahluwalia and Roger Aliaga-Diaz of Vanguard	3
Multi-Asset Portfolios in the New Order	3
A Tour of the Factor Funhouse	3
Social Awareness in Real Estate Investment: What Should Investors Do about the “S” in ESG?	3
Portfolio Decisions within a Generalized Funding Ratio Framework	3
Interview with Mark Anson, CEO, Commonfund	2
Inflation-Induced Overearnings	2
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts	2
Global Bond Allocation Using Duration Times Spread	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

Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	2
Pricing Factors and Causal Networks for US Industry Portfolios	2
Demystifying FinBERT: How Transformer Models Turn Financial Text into Market Insights	2
Market Impact Decay and Capacity	2
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	2
Diversification Is Dead, Long Live Diversification!	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
Investing as Owners Rather Than Traders: How Pension Funds Can Transform Capitalism	2
Reinforcement Learning for Asset and Portfolio Management	2
How to Diversify Differently: Time-Varying Correlations, Determinants, and Regimes	2
Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty	2
A “Quality” Quality Factor	2
The Economic Value of Frequency-Domain Information	2
Social Networks, Trading, and Liquidity	2
Weak Feedback and Denial Are Killing Active Management: A Slow Death, Perhaps, but One That Is Avoidable	2
Optimal Strategies for Digital Assets with No Fundamental	2
The Link Between Physical and Transition Climate Risk	2
Quantifying Long-Term Market Impact	2
Thinking Outside the Benchmark: Part II	2
Introduction to Investing In Emerging Markets Special Issue	2
The Roots of Dispersion	2
Putting the Long Term to Work: Shaping the Prudent Society Investment Model	2
How Should the Long-Term Investor Harvest Variance Risk Premiums?	2
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	2
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company	2
Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns	2
A Framework for Attributing Changes in Portfolio Carbon Footprint	2
Time-Zero Direct Alpha: Investment-Level Calculations for Improved Skill Evaluation	2
Interview with Gene Podkaminer of Capital Group	2
Understanding the Stable Components of Seasonality in the Size Effect	2
Implementing AI Foundation Models in Asset Management: A Practical Guide	2
Interview with Ronald Hua of Qtron Investments	1
Private Investing: A Survey of Issues and Solutions	1
Relevance-Based Importance: A Comprehensive Measure of Variable Importance in Prediction	1
Sector Rotation in Times of Crises	1
Event Time	1
The Return of the Call Auction	1
Diversification and Asset Allocation in the Post-COVID Era	1
Institutional Investors as Architects of Change: Toward a New Theory of Firm Value Creation	1
The Cross-Section of Factor Returns	1
Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Building on Finance Theory to Forge the Future of Investment Practice	1
The Hierarchy of Empirical Evidence in Finance	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Carbon-Tax-Adjusted Value	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
Leveraging the Low-Volatility Effect	1
Editor’s Introduction to the Special Issue on Portfolio Manager Perspectives	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Measuring Market Risk in Asset Management	1
William T. Ziemba and a Brief Look at HisJournal of Portfolio ManagementLegacy	1
Fat and Heavy Tails in Asset Management	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Agent Investing: A Constructive Approach	1
Interview with Shaojun Zhang Formerly of Vanguard	1
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Unnatural Selection in Private Equity Real Estate?	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
History, Shocks, and Drifts: A New Approach to Portfolio Formation	1
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Strategic Asset Allocation with Alternative Investments: An Integrated Approach	1
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications	1
Forecast Aggregation and Predictive Value	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Further Applications of Mean–Variance Optimization	1
Shrinking the Size Effect	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1
Model-Free Market Risk Hedging Using Crowding Networks	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
Markowitz Remembrance	1
From Portfolio Selection to Portfolio Choice: Remembering Harry Markowitz	1
AI and Decision Making in Investment—Why We Will Not Return to the Cave	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
A Changing Stock–Bond Correlation: Drivers and Implications	1
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
Predicting Performance Using Consumer Big Data	1
Mean-Variance Optimization for Simulation of Order Flow	1
Rebuffed: An Empirical Review of Buffer Funds	1
The Factor Edge: Optimized Private Debt Investing	1
History Repeats Itself? The Nonstationarity Hazard	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1
Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate	1
Factor Zoo (.zip)	1
From Core to Complexity: The Investment Landscape for Real Estate Gets More Complicated	1
Enhanced Backtesting for Practitioners	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
An Investor’s Guide to Crypto	1
Formula Investing	1
Climate Output at Risk	1
Four-Fold News Sentiment and Stock Returns	1
Reminiscences on an Extraordinary Gentleman	1
Financial Networks and Portfolio Management	1
Overview of Investing in Private Corporate Debt	1
Strategic Asset Allocation and Inflation Resilience	1
Domesticating the Factor Zoo with Economic Theory	1
Stock Selection Modeling and Portfolio Selection in Emerging Markets	1
Inflation Hedging: A Dynamic Approach Using Online Prices	1
Bayes Rule and the Selection of Investment Managers	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
Alternative Risk Premium Fund Analysis	1
What to Do with All These Currencies?	1