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Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun and Ric Thomas Multi-Asset Strategies Special Issue 2019
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Tactical and Tax Aware GTAA Michael Aked, Robert Arnott, Paul Bouchey, Tianchuan Li and Omid Shakernia Multi-Asset Strategies Special Issue 2019
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Great Expectations: A Tactical Asset Allocation Framework for Diversified Real Asset Portfolios Multi-Asset Strategies Special Issue 2019
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Multi-Asset Volatility Premiums or Anomalies? Brian Jacobsen, Eddie Cheng and Wai Lee Multi-Asset Strategies Special Issue 2019
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Do Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Stan Beckers Multi-Asset Strategies Special Issue 2019
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Carry-Based Expected Returns for Strategic Asset Allocation Michael Schnetzer Multi-Asset Strategies Special Issue 2019
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Scaling and Adaptive Asset Allocation Jarrod Wilcox Multi-Asset Strategies Special Issue 2019
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Tail Risk in the Cross Section of Alternative Risk Premium Strategies Nick Baltas and Bernd Scherer Multi-Asset Strategies Special Issue 2019
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Preparing a Multi-Asset Class Portfolio for Shocks to Economic Growth Eugene Podkaminer, Wylie Tollette and Laurence Siegel Multi-Asset Strategies Special Issue 2019
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Factor Momentum Everywhere Tarun Gupta and Bryan Kelly Quantitative Strategies Special Issue 2019
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Clash of the Titans: Factor Portfolios versus Alternative Weighting Schemes Jennifer Bender, Thomas Blackburn and Xiaole Sun Quantitative Strategies Special Issue 2019
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Defensive Factor Timing Kristin Fergis, Katelyn Gallagher, Philip Hodges and Ked Hogan Quantitative Strategies Special Issue 2019
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The Characteristics of Factor Investing David Blitz and Milan Vidojevic Quantitative Strategies Special Issue 2019
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On the Theory and Practice of Multifactor Portfolios Ashley Lester Quantitative Strategies Special Issue 2019
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Implementation Matters: Relaxing Constraints Can Improve the Potential Returns of Factor Strategies Jack Davies, Dave Gibbon, Sara Shores and Josephine Smith Quantitative Strategies Special Issue 2019
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Trade-Off in Multifactor Smart Beta Investing: Factor Premium and Implementation Cost Feifei Li and Joseph (Yoseop) Shim Quantitative Strategies Special Issue 2019
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Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij and Georgi Kyosev Quantitative Strategies Special Issue 2019
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Extending Fama–French Factors to Corporate Bond Markets Demir Bektić, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck and Timo Spielmann Quantitative Strategies Special Issue 2019
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Factors in Time: Fine-Tuning Hedge Fund Replication Joseph Simonian and Chenwei Wu Quantitative Strategies Special Issue 2019
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A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits John M. Mulvey, Lionel Martellini, Han Hao and Nongchao Li Quantitative Strategies Special Issue 2019
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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing Rob Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani Linnainmaa April 2019
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Stocks, Bonds, and Causality Jamil Baz, Steve Sapra and German Ramirez April 2019
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What Do Humans Perceive in Asset Returns? Jasmina Hasanhodzic, Andrew W. Lo and Emanuele Viola April 2019
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A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete Hand April 2019
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Integrating ESG in Portfolio Construction Roy Henriksson, Joshua Livnat, Patrick Pfeifer and Margaret Stumpp April 2019
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Portfolio Scoring by Expected Risk Premium Steven P. Greiner and Stoyan V. Stoyanov April 2019
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Uncertainty, Momentum, and Profitability Claire Y.C. Liang, Zhenyang (David) Tang and Xiaowei Xu April 2019
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Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees Georges Hübner and Marie Lambert April 2019
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P/E Ratios, Risk Premiums, and the g* Adjustment Martin L. Leibowitz, Stanley Kogelman and Anthony Bova April 2019
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When Short Sellers and Corporate Insiders Agree on Stock Pricing Chune Young Chung, Hong Kee Sul and Kainan Wang April 2019
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Return Predictability: Evidence from the US–China Supply Chain Rui Chen, Zhennan Gao and Xueyong Zhang April 2019
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The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert July 2019
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Risk and Reward in the Orphan Drug Industry Andrew W. Lo and Richard T. Thakor July 2019
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Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman and David Turkington July 2019
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The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière and Jean-Philippe Bouchaud July 2019
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Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy and Laura Nishikawa July 2019
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And the Winner Is… A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub Szczygielski July 2019
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Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian and Bryan Belton July 2019
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Valuation Bias and Limits to Nudges Hersh Shefrin July 2019
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Accelerating Learning in Active Management: The Alpha-Brier Process Joseph A. Cerniglia and Philip E. Tetlock July 2019
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“Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis? Lionel Martellini, Vincent Milhau and John Mulvey July 2019
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The Alpha, Beta, and Sigma of ESG: Better Beta, Additional Alpha? Brian Jacobsen, Wai Lee and Chao Ma September 2019
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Integrating Factors in Market Indexes and Active Portfolios Dimitris Melas, Zoltán Nagy, Navneet Kumar and Peter Zangari September 2019
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The Capacity of Factor Strategies David Blitz and Thom Marchesini September 2019
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Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz and Ben Luyten September 2019
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The Size Effect Is Alive and Well, and Hiding behind Calendar Anomalies David Yechiam Aharon and Mahmoud Qadan September 2019
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Bond-Market Risk Factors and Manager Performance Peter Mladina and Steven Germani September 2019
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International Equity Investing: Is Flexibility the New Diversification? Sunder R. Ramkumar, Michelle J. Black and Vincent C. Fu September 2019
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Portfolio Selection: A Game-Theoretic Approach Joseph Simonian September 2019
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Is There a Quid Pro Quo between Hedge Funds and Sell-Side Equity Analysts? April Klein, Anthony Saunders and Yu Ting Forester Wong September 2019
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On the Existence of Stock Price Bubbles—The Smoking Gun—Discounts and Premiums on Closed-End Funds and ETFs Robert Jarrow September 2019
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The Price/Earnings Ratio, Growth, and Interest Rates: The Smartest BET Preston W. Estep September 2019
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Private Equity Real Estate Funds: Returns, Risk Exposures, and Persistence Thomas R. Arnold, David C. Ling and Andy Naranjo Real Estate Special Issue 2019
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AI and Machine Learning in Real Estate Investment Jennifer Conway Viriato Real Estate Special Issue 2019
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Multifamily Development: Can You Always Lease It Up? Mark Fitzgerald, Chenchao Zang and Will McIntosh Real Estate Special Issue 2019
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Risk-Adjusted Attribution Analysis of Real Estate Portfolios Jeffrey D. Fisher and Joseph D’Alessandro Real Estate Special Issue 2019
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Another Look at Private Real Estate Returns by Strategy Mitchell A. Bollinger and Joseph L. Pagliari Real Estate Special Issue 2019
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Environmental Performance of Commercial Real Estate: New Insights into Energy Efficiency Improvements Piet Eichholtz, Rogier Holtermans and Nils Kok Real Estate Special Issue 2019
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Risk Reduction and Tracking Error in Small Commercial Real Estate Portfolios Bryan Reid Real Estate Special Issue 2019
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Real Estate in Mixed-Asset Portfolios for Various Investment Horizons Jean-Christophe Delfim and Martin Hoesli Real Estate Special Issue 2019
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Do Taxes Matter to Foreign Real Estate Investors? Evidence from FIRPTA Reform Margot Howard and Katherine A. Pancak Real Estate Special Issue 2019
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The Golden Age of Quant Eric H. Sorensen November 2019
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Managing the Downside of Active and Passive Strategies - Part 1: Convexity and Fragilities Raphael Douady November 2019
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Volatility-Managed Portfolio: Does It Really Work? Fang Liu, Xiaoxiao Tang, and Guofu Zhou November 2019
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Policy Portfolios and Portfolio Characteristics Joseph Simonian November 2019
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Fitting Private Equity into the Total Portfolio Framework Alexander Rudin, Jason Mao, Nan R. Zhang, and Anne-Marie Fink November 2019
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Dynamic Strategy Migration and the Evolution of Risk Premia David E. Kuenzi November 2019
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Relative Strength over Investment Horizons and Stock Returns Zhaobo Zhu, Xinrui Duan, and Jun Tu November 2019
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On Black's Leverage Effect in Firms with No Leverage Jasmina Hasanhodzic and Andrew W. Lo November 2019
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Why Do Enterprise Multiples Predict Expected Stock Returns? Steven S. Crawford, Wesley R. Gray, and Jack Vogel November 2019
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Trading against the Grain: When Insiders Buy High and Sell Low Ruihai Li, Xuewu (Wesley) Wang, Zhipeng Yan, and Qunzi Zhang November 2019
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