The Journal of Portfolio Management

Latest Articles

You have access
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
You have access
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
You have access
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
You have access
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
You have access
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
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
You have access
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
You have access
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
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
You have access
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

Main menu

User menu

Search

The Journal of Portfolio Management

Latest Articles

Pages

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

Latest Articles

Pages

Stay Connected