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The Journal of Portfolio Management
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The Journal of Portfolio Management

The Journal of Portfolio Management

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Table of Contents

Winter 2018; Volume 44,Issue 3

INVITED EDITORIAL COMMENT: Taking Stationarity Seriously

  • You have access
    INVITED EDITORIAL COMMENT
    Bradford Cornell
    The Journal of Portfolio Management Winter 2018, 44 (3) 1-4; DOI: https://doi.org/10.3905/jpm.2018.44.3.001

Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis

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    Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis
    Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
    The Journal of Portfolio Management Winter 2018, 44 (3) 10-24; DOI: https://doi.org/10.3905/jpm.2018.2018.1.077

Timing versus Sizing Skill in the Investment Process

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    Timing versus Sizing Skill in the Investment Process
    Ronald J.M. Van Loon
    The Journal of Portfolio Management Winter 2018, 44 (3) 25-32; DOI: https://doi.org/10.3905/jpm.2018.44.3.025

Low Volatility Needs Little Trading

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    Low Volatility Needs Little Trading
    Pim van Vliet
    The Journal of Portfolio Management Winter 2018, 44 (3) 33-42; DOI: https://doi.org/10.3905/jpm.2018.44.3.033

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach

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    Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach
    Joseph Davis, Roger Aliaga-Díaz, Harshdeep Ahluwalia and Ravi Tolani
    The Journal of Portfolio Management Winter 2018, 44 (3) 43-55; DOI: https://doi.org/10.3905/jpm.2018.44.3.043

Active Risk-Based Investing

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    Active Risk-Based Investing
    Emmanuel Jurczenko and Jérôme Teiletche
    The Journal of Portfolio Management Winter 2018, 44 (3) 56-65; DOI: https://doi.org/10.3905/jpm.2018.44.3.056

Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns

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    Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns
    Moshe Levy and Richard Roll
    The Journal of Portfolio Management Winter 2018, 44 (3) 66-75; DOI: https://doi.org/10.3905/jpm.2018.44.3.066

Behavioral Efficient Markets

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    Behavioral Efficient Markets
    Meir Statman
    The Journal of Portfolio Management Winter 2018, 44 (3) 76-87; DOI: https://doi.org/10.3905/jpm.2018.44.3.076

The Impact of Market Conditions on Active Equity Management

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    The Impact of Market Conditions on Active Equity Management
    Harsh Parikh, Karen McQuiston and Sujian Zhi
    The Journal of Portfolio Management Winter 2018, 44 (3) 89-101; DOI: https://doi.org/10.3905/jpm.2017.2017.1.076

Donuts: A Picture of Optimization Applied to Fundamental Portfolios

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    Donuts: A Picture of Optimization Applied to Fundamental Portfolios
    Ian Domowitz and Ameya Moghe
    The Journal of Portfolio Management Winter 2018, 44 (3) 103-113; DOI: https://doi.org/10.3905/jpm.2018.44.3.103

A Case for Tail-Risk-Based Sharpe Ratios

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    A Case for Tail-Risk-Based Sharpe Ratios
    James X. Xiong and Thomas M. Idzorek
    The Journal of Portfolio Management Winter 2018, 44 (3) 114-125; DOI: https://doi.org/10.3905/jpm.2018.44.3.114

The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market

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    The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market
    Thomas K. Philips and Steven Friedman
    The Journal of Portfolio Management Winter 2018, 44 (3) 126-131; DOI: https://doi.org/10.3905/jpm.2018.44.3.126
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The Journal of Portfolio Management: 44 (3)
The Journal of Portfolio Management
Vol. 44, Issue 3
Winter 2018
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