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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

Fall 2018; Volume 45,Issue 1

INVITED EDITORIAL COMMENT: Order from Chaos: How Data Science Is Revolutionizing Investment Practice

  • You have access
    INVITED EDITORIAL COMMENT: Order from Chaos: How Data Science Is Revolutionizing Investment Practice
    Joseph Simonian, Marcos López de Prado and Frank J. Fabozzi
    The Journal of Portfolio Management Fall 2018, 45 (1) 1-4; DOI: https://doi.org/10.3905/jpm.2018.45.1.001

INVITED EDITORIAL COMMENT: What We Still Have to Learn from the Credit Collapse (and Other Market Crises)

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    INVITED EDITORIAL COMMENT: What We Still Have to Learn from the Credit Collapse (and Other Market Crises)
    Bruce I. Jacobs
    The Journal of Portfolio Management Fall 2018, 45 (1) 5-8; DOI: https://doi.org/10.3905/jpm.2018.45.1.005

The Impact of Volatility Targeting

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    The Impact of Volatility Targeting
    Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van Hemert
    The Journal of Portfolio Management Fall 2018, 45 (1) 14-33; DOI: https://doi.org/10.3905/jpm.2018.45.1.014

Fact, Fiction, and the Size Effect

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    Fact, Fiction, and the Size Effect
    Ron Alquist, Ronen Israel and Tobias Moskowitz
    The Journal of Portfolio Management Fall 2018, 45 (1) 34-61; DOI: https://doi.org/10.3905/jpm.2018.1.082

Nonlinear Trading Rules for Portfolio Management

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    Nonlinear Trading Rules for Portfolio Management
    Richard Grinold
    The Journal of Portfolio Management Fall 2018, 45 (1) 62-70; DOI: https://doi.org/10.3905/jpm.2018.45.1.062

The Folly of Hiring Winners and Firing Losers

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    The Folly of Hiring Winners and Firing Losers
    Rob Arnott, Vitali Kalesnik and Lillian Wu
    The Journal of Portfolio Management Fall 2018, 45 (1) 71-84; DOI: https://doi.org/10.3905/jpm.2018.45.1.071

The Covariance Matrix between Real Assets

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    The Covariance Matrix between Real Assets
    Marielle de Jong
    The Journal of Portfolio Management Fall 2018, 45 (1) 85-95; DOI: https://doi.org/10.3905/jpm.2018.45.1.085

Short-Horizon Beta or Long-Horizon Alpha?

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    Short-Horizon Beta or Long-Horizon Alpha?
    Avraham Kamara, Robert Korajczyk, Xiaoxia Lou and Ronnie Sadka
    The Journal of Portfolio Management Fall 2018, 45 (1) 96-105; DOI: https://doi.org/10.3905/jpm.2018.45.1.096

Accessing the China A-Shares Market via Minimum-Variance Investing

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    Accessing the China A-Shares Market via Minimum-Variance Investing
    Alex Chen, Eddie Pong and Yang Wang
    The Journal of Portfolio Management Fall 2018, 45 (1) 106-117; DOI: https://doi.org/10.3905/jpm.2018.45.1.106

Tax Optimization of Municipal Bond Portfolios: Investment Selection and Tax Rate Arbitrage

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    Tax Optimization of Municipal Bond Portfolios: Investment Selection and Tax Rate Arbitrage
    Andrew Kalotay
    The Journal of Portfolio Management Fall 2018, 45 (1) 118-124; DOI: https://doi.org/10.3905/jpm.2018.45.1.118

Improving Investment Operations through Data Science: A Case Study of Innovation in Valuation

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    Improving Investment Operations through Data Science: A Case Study of Innovation in Valuation
    Arthur Guimarães, Ashby Monk and Sidney Porter
    The Journal of Portfolio Management Fall 2018, 45 (1) 125-140; DOI: https://doi.org/10.3905/jpm.2018.1.083

Being Honest in Backtest Reporting: A Template for Disclosing Multiple Tests

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    Being Honest in Backtest Reporting: A Template for Disclosing Multiple Tests
    Frank J. Fabozzi and Marcos López de Prado
    The Journal of Portfolio Management Fall 2018, 45 (1) 141-147; DOI: https://doi.org/10.3905/jpm.2018.45.1.141
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The Journal of Portfolio Management: 45 (1)
The Journal of Portfolio Management
Vol. 45, Issue 1
Fall 2018
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