Table of Contents

Winter 2018; Volume 44,Issue 3

INVITED EDITORIAL COMMENT: Taking Stationarity Seriously

  • INVITED EDITORIAL COMMENT
    Bradford Cornell
    The Journal of Portfolio Management Winter 2018, 44 (3) 1-4; DOI: https://doi.org/10.3905/jpm.2018.44.3.001

Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis

Timing versus Sizing Skill in the Investment Process

Low Volatility Needs Little Trading

  • Low Volatility Needs Little Trading
    Pim van Vliet
    The Journal of Portfolio Management Winter 2018, 44 (3) 33-42; DOI: https://doi.org/10.3905/jpm.2018.44.3.033

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach

Active Risk-Based Investing

  • Active Risk-Based Investing
    Emmanuel Jurczenko and Jérôme Teiletche
    The Journal of Portfolio Management Winter 2018, 44 (3) 56-65; DOI: https://doi.org/10.3905/jpm.2018.44.3.056

Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns

Behavioral Efficient Markets

  • Behavioral Efficient Markets
    Meir Statman
    The Journal of Portfolio Management Winter 2018, 44 (3) 76-87; DOI: https://doi.org/10.3905/jpm.2018.44.3.076

The Impact of Market Conditions on Active Equity Management

Donuts: A Picture of Optimization Applied to Fundamental Portfolios

A Case for Tail-Risk-Based Sharpe Ratios

  • A Case for Tail-Risk-Based Sharpe Ratios
    James X. Xiong and Thomas M. Idzorek
    The Journal of Portfolio Management Winter 2018, 44 (3) 114-125; DOI: https://doi.org/10.3905/jpm.2018.44.3.114

The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market

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