Table of Contents

Article

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  INVITED EDITORIAL COMMENT

  Bradford Cornell

  The Journal of Portfolio Management Fall 2016, 43 (1) 1-4; DOI: https://doi.org/10.3905/jpm.2016.43.1.001
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  INVITED EDITORIAL COMMENT

  Marcos López de Prado

  The Journal of Portfolio Management Fall 2016, 43 (1) 5-8; DOI: https://doi.org/10.3905/jpm.2016.43.1.005
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  ETFs, High-Frequency Trading, and Flash Crashes

  Irene Aldridge

  The Journal of Portfolio Management Fall 2016, 43 (1) 17-28; DOI: https://doi.org/10.3905/jpm.2016.43.1.017
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  What Goes into Risk-Neutral Volatility? Empirical
  Estimates of Risk and Subjective Risk Preferences

  Stephen Figlewski

  The Journal of Portfolio Management Fall 2016, 43 (1) 29-42; DOI: https://doi.org/10.3905/jpm.2016.43.1.029
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  A Practitioner’s Guide to Market Microstructure Invariance

  Albert S. Kyle, Anna A. Obizhaeva and Mark Kritzman

  The Journal of Portfolio Management Fall 2016, 43 (1) 43-53; DOI: https://doi.org/10.3905/jpm.2016.43.1.043
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  Labor Conditions and Future Capital Market Performance

  Rob Arnott, Feifei Li and Xi Liu

  The Journal of Portfolio Management Fall 2016, 43 (1) 54-71; DOI: https://doi.org/10.3905/jpm.2016.43.1.054
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  An Asset Class Characterization of the U.S. Equity Index Volatility Risk Premium

  William Fallon and James Park

  The Journal of Portfolio Management Fall 2016, 43 (1) 72-84; DOI: https://doi.org/10.3905/jpm.2016.43.1.072
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  Optimal Dynamic Portfolio Risk Management

  Valeriy Zakamulin

  The Journal of Portfolio Management Fall 2016, 43 (1) 85-99; DOI: https://doi.org/10.3905/jpm.2016.43.1.085
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  Identifying Economic Regimes: Reducing Downside
  Risks for University Endowments and Foundations

  John M. Mulvey and Han Liu

  The Journal of Portfolio Management Fall 2016, 43 (1) 100-108; DOI: https://doi.org/10.3905/jpm.2016.43.1.100
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  Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to Its Construction and Use

  Thomas Philips and Cenk Ural

  The Journal of Portfolio Management Fall 2016, 43 (1) 109-125; DOI: https://doi.org/10.3905/jpm.2016.43.1.109
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  David and Goliath: Who Wins the Quantitative Battle?

  John C. Bogle

  The Journal of Portfolio Management Fall 2016, 43 (1) 127-137; DOI: https://doi.org/10.3905/jpm.2016.43.1.127
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  An Analysis of the Expense Ratio Pricing of SMB,
  HML, and UMD Exposure in U.S. Equity Mutual Funds

  Sean Grover and Jared Kizer

  The Journal of Portfolio Management Fall 2016, 43 (1) 138-143; DOI: https://doi.org/10.3905/jpm.2016.43.1.138