The Journal of Portfolio Management

Published Ahead of Print

January 21, 2022

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Downside Risk-Parity Portfolio
Ronghua Luo, Haohan Wang and Weiyi Liu

The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.332; DOI: https://doi.org/10.3905/jpm.2022.1.332

January 16, 2022

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Portfolio Risk Mitigation without Bonds
Michael Stamos

The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.329; DOI: https://doi.org/10.3905/jpm.2022.1.329

January 12, 2022

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Dual-Horizon Strategic Asset Allocation
Alexander Rudin and Daniel Farley

The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.331; DOI: https://doi.org/10.3905/jpm.2022.1.331
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Diversification—A Free Starbucks Cup of Coffee?
Mark Anson

The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.330; DOI: https://doi.org/10.3905/jpm.2022.1.330

January 10, 2022

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When to Diversify Differently
Brian Jacobsen and Matthias Scheiber

The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.328; DOI: https://doi.org/10.3905/jpm.2022.1.328

January 08, 2022

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A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes
Chris Kelliher, Avishek Hazrachoudhury and Bill Irving

The Journal of Portfolio Management Multi-Asset Special Issue 2022, jpm.2022.1.327; DOI: https://doi.org/10.3905/jpm.2022.1.327

January 03, 2022

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There Is No Unique Rational Decision Strategy in Financial Markets
Klaus Schredelseker

The Journal of Portfolio Management February 2022, jpm.2021.1.326; DOI: https://doi.org/10.3905/jpm.2021.1.326
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The Covariance Structure between Liquid and Illiquid Assets
Marielle de Jong

The Journal of Portfolio Management February 2022, jpm.2021.1.318; DOI: https://doi.org/10.3905/jpm.2021.1.318

December 30, 2021

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Active versus Passive: Old Wine in New Wine Skins
Eric Sorensen, Nicholas Alonso, Sebastian Lancetti and Daniel Belanger

The Journal of Portfolio Management February 2022, jpm.2021.1.325; DOI: https://doi.org/10.3905/jpm.2021.1.325

December 29, 2021

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Quantifying Long-Term Market Impact
Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan Zohren

The Journal of Portfolio Management February 2022, jpm.2021.1.324; DOI: https://doi.org/10.3905/jpm.2021.1.324

December 24, 2021

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Public and Private Equity Returns: Different or Same?
Alexander Rudin and Daniel Farley

The Journal of Portfolio Management February 2022, jpm.2021.1.323; DOI: https://doi.org/10.3905/jpm.2021.1.323

December 23, 2021

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Intangibles: The Missing Ingredient in Book Value
Feifei Li

The Journal of Portfolio Management February 2022, jpm.2021.1.322; DOI: https://doi.org/10.3905/jpm.2021.1.322

December 17, 2021

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History, Shocks, and Drifts: A New Approach to Portfolio Formation
Mark Kritzman and David Turkington

The Journal of Portfolio Management February 2022, jpm.2021.1.321; DOI: https://doi.org/10.3905/jpm.2021.1.321

December 16, 2021

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Gains from Markowitz Optimization: Evidence from Reoptimization of Mutual Fund Holdings
Tony Elavia, S. P. Kothari, Xu Li and Haifeng You

The Journal of Portfolio Management February 2022, jpm.2021.1.319; DOI: https://doi.org/10.3905/jpm.2021.1.319
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Predicting Performance Using Consumer Big Data
Kenneth Froot, Namho Kang, Gideon Ozik and Ronnie Sadka

The Journal of Portfolio Management February 2022, jpm.2021.1.320; DOI: https://doi.org/10.3905/jpm.2021.1.320

December 11, 2021

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Changes in Ownership Breadth and Capital Market Anomalies
Yangru Wu and Weike Xu

The Journal of Portfolio Management February 2022, jpm.2021.1.317; DOI: https://doi.org/10.3905/jpm.2021.1.317

December 10, 2021

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The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization
Sander Gerber, Harry M. Markowitz, Philip A. Ernst, Yinsen Miao, Babak Javid and Paul Sargen

The Journal of Portfolio Management February 2022, jpm.2021.1.316; DOI: https://doi.org/10.3905/jpm.2021.1.316

December 09, 2021

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Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas
F. Amir-Ghassemi, A. Papanicolaou and M. Perlow

The Journal of Portfolio Management February 2022, jpm.2021.1.313; DOI: https://doi.org/10.3905/jpm.2021.1.313
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The Performance Life Cycle of Hedge Funds: Can Investors Achieve Lasting Performance?
Chao Gao, Timothy D. Haight, Chengdong Yin and Chengsi Zhang

The Journal of Portfolio Management April 2022, jpm.2021.1.315; DOI: https://doi.org/10.3905/jpm.2021.1.315

December 08, 2021

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The Better-of-Two Strategy for Active versus Passive Management: The Option Value of Active through Time
Steve Fox and P. Brett Hammond

The Journal of Portfolio Management February 2022, jpm.2021.1.314; DOI: https://doi.org/10.3905/jpm.2021.1.314

December 07, 2021

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Trending Fast and Slow
Eddie Cheng, Nazar Kostyuchyk, Wai Lee, Pai Liu and Chenfei Ma

The Journal of Portfolio Management February 2022, jpm.2021.1.312; DOI: https://doi.org/10.3905/jpm.2021.1.312

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The Journal of Portfolio Management

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January 21, 2022

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Published Ahead of Print

January 21, 2022

January 16, 2022

January 12, 2022

January 10, 2022

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January 03, 2022

December 30, 2021

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December 24, 2021

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