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The Journal of Portfolio Management

The Journal of Portfolio Management

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Table of Contents

Quantitative Special Issue 2020; Volume 46,Issue 2

Introduction: Quantitative Strategies: Factor Investing

  • You have access
    Introduction: Quantitative Strategies: Factor Investing
    Frank J. Fabozzi
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 1-4; DOI: https://doi.org/10.3905/jpm.2019.46.2.001

A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios

  • You have access
    A Closer Look at the Factor-to-Specific Risk Ratio in Factor Portfolios
    Jennifer Bender and Xiaole Sun
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 11-23; DOI: https://doi.org/10.3905/jpm.2019.1.117

Value by Design?

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    Value by Design?
    Stephan Kessler, Bernd Scherer and Jan Philipp Harries
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 25-43; DOI: https://doi.org/10.3905/jpm.2019.1.122

The Volatility Effect Revisited

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    The Volatility Effect Revisited
    David Blitz, Pim van Vliet and Guido Baltussen
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 45-63; DOI: https://doi.org/10.3905/jpm.2019.1.114

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says on the Tin

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    The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says on the Tin
    Jason MacQueen
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 64-78; DOI: https://doi.org/10.3905/jpm.2019.1.121

Consistent and Efficient Dynamic Portfolio Replication with Many Factors

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    Consistent and Efficient Dynamic Portfolio Replication with Many Factors
    Lars Stentoft and Sha Wang
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 79-91; DOI: https://doi.org/10.3905/jpm.2019.1.118

The Market Risk of Corporate Bonds

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    The Market Risk of Corporate Bonds
    Marielle De Jong and Frank J. Fabozzi
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 92-105; DOI: https://doi.org/10.3905/jpm.2019.1.120

Sources of Excess Return and Implications for Active Fixed-Income Portfolio Construction

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    Sources of Excess Return and Implications for Active Fixed-Income Portfolio Construction
    Stephen Laipply, Ananth Madhavan, Aleksander Sobczyk and Matthew Tucker
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 106-120; DOI: https://doi.org/10.3905/jpm.2019.1.119

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

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    Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management
    Jean-Michel Maeso, Lionel Martellini and Riccardo Rebonato
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 121-140; DOI: https://doi.org/10.3905/jpm.2019.1.115

Factor Investing in Currency Markets: Does It Make Sense?

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    Factor Investing in Currency Markets: Does It Make Sense?
    Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali Xu
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116

Detecting Factor Risk in Private Asset Returns

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    Detecting Factor Risk in Private Asset Returns
    Peter Mladina and David Moore
    The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 156-167; DOI: https://doi.org/10.3905/jpm.2019.1.113
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The Journal of Portfolio Management: 46 (2)
The Journal of Portfolio Management
Vol. 46, Issue 2
Quantitative Special Issue 2020
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