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	15
Option-Enhanced Tax-Smart Portfolio Value	14
Shared Experience in Top Management Team and Mutual Fund Performance	13
Stocks, Bonds, Bills, and Inflation’s Components	13
When Is Reversal Strong? Evidence from Developed Markets	11
How Transitory Is Inflation?	10
Personalized Inflation-Hedging Strategies	9
Intangibles: The Missing Ingredient in Book Value	9
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	9
Expected Stock Returns When Interest Rates Are Low	8
A Causal Analysis of the Monetary Transmission Mechanism	8
When Factors Collide: Mapping Causal Spillovers across Global Asset Networks	7
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	7
How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta	7
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach	7
A CIO’s Perspective on ESG Investing	6
webinar summary Multi-Asset Strategies Webinar	6
webinar summary Fixed Income Investing	6
Increasing the Transparency of Pricing Dynamics in the US Commercial Real Estate Market with Interpretable Machine Learning Algorithms	6
Interview with Ian Toner of Verus	6
Equity Convexity under Major Monetary Policy Shift	6
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?	6
Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World	6

Prolegomena to Any Future Monetary Policy	5
Interview with Gerald Garvey of Blackrock	5
Range-Based Volatility Timing	5
Forecasting Stock Market Volatility	5
Minimum Downside Risk Portfolios	5
Better Opt Out? Revisiting the Predictive Power of Options-Implied Signals	5
From Economics to AI: Integrating Discretionary and Quantitative Approaches in Asset Management	5
Flattering or Really Understanding? Research on Stock Recommendations by Sell-Side Analysts in China	5
Integrating Sustainability into Asset Management: Challenges and Opportunities	5
Comparing Methodologies for ESG Integration into Equity Factor Construction	5
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach	5
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management	4
Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application	4
An Overview of Optimization Models for Portfolio Management	4
Carbon Risk Factor Framework	4
Modernizing Volatility-Managed Strategies	4
Interview with Sebastien Page of T. Rowe Price	4
When DoandWhichFama–French Factors Explain Industry Returns?	4
Asset Allocation for Retirement Income: A Framework for Income-Oriented Investors	4
Large Language Models for Financial and Investment Management: Models, Opportunities, and Challenges	4
Why State-Dependent Discounting Matters for Climate-Sensitive Securities	4
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses	4
Equity Tail Protection Strategies Before, During, and After COVID-19	4
Stock Vulnerability and Resilience	4
Untangling Universality and Dispelling Myths in Mean–Variance Optimization	4
Misleading Returns: How Ignoring Cash Flows Can Result in Performance Measurement Errors	4
Is Momentum a Risk Factor? Evidence from Option-Implied Expected Returns	3
Comparing Downside Protection Strategies	3
Impact of ESG Objectives on a Portfolio	3
Does Real Estate Development Add Value?	3
Portfolio Decisions within a Generalized Funding Ratio Framework	3
Corporate Bonds and Climate Change Risk	3
Sizing Matters: Optimal Scaling of Long and Short Exposures in Equity Portfolios	3
Smarter Beta Investing: More Focus, Less Sustainability Bias, Same Performance	3
The False Promise of Drawdown Rules: New Evidence and a Better Framework	3
Supply Chain and Correlations	3
Interview with Harshdeep Singh Ahluwalia and Roger Aliaga-Diaz of Vanguard	3
How Have ETFs Changed Market Macro Efficiency and Risk Structure?	3
Systematic Insights into Private Equity Investing	3
Information Ratio = Selection × Breadth + Sizing	3
Multi-Asset Portfolios in the New Order	3
Factor Information Decay: A Global Study	3
(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation	2
Interview with Mark Anson, CEO, Commonfund	2
Thinking Outside the Benchmark: Part II	2
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	2
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts	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
A “Quality” Quality Factor	2

Social Awareness in Real Estate Investment: What Should Investors Do about the “S” in ESG?	2
Pricing Factors and Causal Networks for US Industry Portfolios	2
Putting the Long Term to Work: Shaping the Prudent Society Investment Model	2
The Roots of Dispersion	2
Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch	2
Investing as Owners Rather Than Traders: How Pension Funds Can Transform Capitalism	2
Understanding the Stable Components of Seasonality in the Size Effect	2
Inflation-Induced Overearnings	2
How Should the Long-Term Investor Harvest Variance Risk Premiums?	2
Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty	2
The Economic Value of Frequency-Domain Information	2
Weak Feedback and Denial Are Killing Active Management: A Slow Death, Perhaps, but One That Is Avoidable	2
A Tour of the Factor Funhouse	2
How to Diversify Differently: Time-Varying Correlations, Determinants, and Regimes	2
Global Bond Allocation Using Duration Times Spread	2
Diversification Is Dead, Long Live Diversification!	2
Introduction to Investing In Emerging Markets Special Issue	2
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company	2
Market Impact Decay and Capacity	2
Reinforcement Learning for Asset and Portfolio Management	2
The Link Between Physical and Transition Climate Risk	2
Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns	2
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation	2
Operating Leverage and Inflation	2
Time-Zero Direct Alpha: Investment-Level Calculations for Improved Skill Evaluation	2
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	1
Factor Zoo (.zip)	1
Interview with Ronald Hua of Qtron Investments	1
Sector Rotation in Times of Crises	1
Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation	1
What to Do with All These Currencies?	1
Strategic Asset Allocation and Inflation Resilience	1
Further Applications of Mean–Variance Optimization	1
The Contribution of a Constituent Time Period-Asset Pair: Longitudinal Decompositions	1
History, Shocks, and Drifts: A New Approach to Portfolio Formation	1
Relevance-Based Importance: A Comprehensive Measure of Variable Importance in Prediction	1
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts	1
Enhanced Backtesting for Practitioners	1
Diversification and Asset Allocation in the Post-COVID Era	1
History Repeats Itself? The Nonstationarity Hazard	1
Social Networks, Trading, and Liquidity	1
Building on Finance Theory to Forge the Future of Investment Practice	1
The Impact of Intangible Capital on Factor Performance Efficacy	1
Implementing AI Foundation Models in Asset Management: A Practical Guide	1
Carbon-Tax-Adjusted Value	1
Predicting Performance Using Consumer Big Data	1
AI and Decision-Making in Investment—Why We Will Not Return to the Cave	1
Institutional Investors as Architects of Change: Toward a New Theory of Firm Value Creation	1
Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis	1
Domesticating the Factor Zoo with Economic Theory	1
Event Time	1
Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference	1
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective	1
Corporate Bond Trading: Finding the Customers’ Yachts	1
Fat and Heavy Tails in Asset Management	1
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing	1
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets	1
Comparing Geopolitical Risk Measures	1
The Factor Edge: Optimized Private Debt Investing	1
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?	1
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies	1
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	1
Editor’s Introduction to the Special Issue on Portfolio Manager Perspectives	1
Interview with Eric H. Sorensen of PanAgora Asset Management	1
Quantifying Long-Term Market Impact	1
From Core to Complexity: The Investment Landscape for Real Estate Gets More Complicated	1
The Return of the Call Auction	1
Interview with Gene Podkaminer of Capital Group	1
William T. Ziemba and a Brief Look at HisJournal of Portfolio ManagementLegacy	1
Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?	1
Optimal Strategies for Digital Assets with No Fundamental	1
Four-Fold News Sentiment and Stock Returns	1
Alternative Risk Premium Fund Analysis	1
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks	1
Model-Free Market Risk Hedging Using Crowding Networks	1
Climate Output at Risk	1
Financial Networks and Portfolio Management	1
Compensated and Uncompensated Risks in Global Factor Investing	1
Using Large Language Models to Estimate Novel Risk: Impact on Volatility	1
Process Alpha: How to Construct and Manage Optimized Venture Portfolios	1

Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate	1
Mean-Variance Optimization for Simulation of Order Flow	1
Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own	1
Harry Markowitz’s Two Intellectual Children: Mean–Variance and Behavioral Portfolio Theories	1
Tax-Aware Portfolio Construction: A Multi-Asset Approach	1
Agent Investing: A Constructive Approach	1
Portfolio Selection Redux, or, How the Paradox of Portfolio Efficiency Can Be Used to Improve Portfolio Performance	1
Strategic Asset Allocation with Alternative Investments: An Integrated Approach	1
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)	1
The Hierarchy of Empirical Evidence in Finance	1
Bayes Rule and the Selection of Investment Managers	1
Unnatural Selection in Private Equity Real Estate?	1
Reminiscences on an Extraordinary Gentleman	1
The Cross-Section of Factor Returns	1
A Changing Stock–Bond Correlation: Drivers and Implications	1
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications	1
Shrinking the Size Effect	1
Rebuffed: An Empirical Review of Buffer Funds	1
A Framework for Attributing Changes in Portfolio Carbon Footprint	1
An Investor’s Guide to Crypto	1
Inflation Hedging: A Dynamic Approach Using Online Prices	1
Demystifying FinBERT: How Transformer Models Turn Financial Text into Market Insights	1
Private Investing: A Survey of Issues and Solutions	1
Forecast Aggregation and Predictive Value	1
Emerging Technologies and the Transformation of Exchange Trading Platforms	1
Overview of Investing in Private Corporate Debt	1
Formula Investing	1
Markowitz Remembrance	1
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	1
Interview with Shaojun Zhang Formerly of Vanguard	1
Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes	1
Things I Expected Would Have Changed by Now (But Have Not)	1
Measuring Market Risk in Asset Management	1