Table of Contents

Winter 2018; Volume 44,Issue 3

A

  1. Ahluwalia, Harshdeep

    1. Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach
      Joseph Davis, Roger Aliaga-Díaz, Harshdeep Ahluwalia and Ravi Tolani
      The Journal of Portfolio Management Winter 2018, 44 (3) 43-55; DOI: https://doi.org/10.3905/jpm.2018.44.3.043

  2. Aliaga-Díaz, Roger

    1. Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach
      Joseph Davis, Roger Aliaga-Díaz, Harshdeep Ahluwalia and Ravi Tolani
      The Journal of Portfolio Management Winter 2018, 44 (3) 43-55; DOI: https://doi.org/10.3905/jpm.2018.44.3.043

C

  1. Cornell, Bradford

    1. 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

D

  1. Dal Pra, Giulia

    1. Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis
      Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
      The Journal of Portfolio Management Winter 2018, 44 (3) 10-24; DOI: https://doi.org/10.3905/jpm.2018.2018.1.077

  2. Davis, Joseph

    1. Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach
      Joseph Davis, Roger Aliaga-Díaz, Harshdeep Ahluwalia and Ravi Tolani
      The Journal of Portfolio Management Winter 2018, 44 (3) 43-55; DOI: https://doi.org/10.3905/jpm.2018.44.3.043

  3. Domowitz, Ian

    1. Donuts: A Picture of Optimization Applied to Fundamental Portfolios
      Ian Domowitz and Ameya Moghe
      The Journal of Portfolio Management Winter 2018, 44 (3) 103-113; DOI: https://doi.org/10.3905/jpm.2018.44.3.103

F

  1. Friedman, Steven

    1. The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market
      Thomas K. Philips and Steven Friedman
      The Journal of Portfolio Management Winter 2018, 44 (3) 126-131; DOI: https://doi.org/10.3905/jpm.2018.44.3.126

G

  1. Guidolin, Massimo

    1. Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis
      Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
      The Journal of Portfolio Management Winter 2018, 44 (3) 10-24; DOI: https://doi.org/10.3905/jpm.2018.2018.1.077

I

  1. Idzorek, Thomas M.

    1. 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

J

  1. Jurczenko, Emmanuel

    1. 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

L

  1. Levy, Moshe

    1. Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns
      Moshe Levy and Richard Roll
      The Journal of Portfolio Management Winter 2018, 44 (3) 66-75; DOI: https://doi.org/10.3905/jpm.2018.44.3.066

M

  1. McQuiston, Karen

    1. The Impact of Market Conditions on Active Equity Management
      Harsh Parikh, Karen McQuiston and Sujian Zhi
      The Journal of Portfolio Management Winter 2018, 44 (3) 89-101; DOI: https://doi.org/10.3905/jpm.2017.2017.1.076

  2. Moghe, Ameya

    1. Donuts: A Picture of Optimization Applied to Fundamental Portfolios
      Ian Domowitz and Ameya Moghe
      The Journal of Portfolio Management Winter 2018, 44 (3) 103-113; DOI: https://doi.org/10.3905/jpm.2018.44.3.103

P

  1. Parikh, Harsh

    1. The Impact of Market Conditions on Active Equity Management
      Harsh Parikh, Karen McQuiston and Sujian Zhi
      The Journal of Portfolio Management Winter 2018, 44 (3) 89-101; DOI: https://doi.org/10.3905/jpm.2017.2017.1.076

  2. Pedio, Manuela

    1. Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis
      Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
      The Journal of Portfolio Management Winter 2018, 44 (3) 10-24; DOI: https://doi.org/10.3905/jpm.2018.2018.1.077

  3. Philips, Thomas K.

    1. The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market
      Thomas K. Philips and Steven Friedman
      The Journal of Portfolio Management Winter 2018, 44 (3) 126-131; DOI: https://doi.org/10.3905/jpm.2018.44.3.126

R

  1. Roll, Richard

    1. Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns
      Moshe Levy and Richard Roll
      The Journal of Portfolio Management Winter 2018, 44 (3) 66-75; DOI: https://doi.org/10.3905/jpm.2018.44.3.066

S

  1. Statman, Meir

    1. 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

T

  1. Teiletche, Jérôme

    1. 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

  2. Tolani, Ravi

    1. Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach
      Joseph Davis, Roger Aliaga-Díaz, Harshdeep Ahluwalia and Ravi Tolani
      The Journal of Portfolio Management Winter 2018, 44 (3) 43-55; DOI: https://doi.org/10.3905/jpm.2018.44.3.043

V

  1. Van Loon, Ronald J.M.

    1. Timing versus Sizing Skill in the Investment Process
      Ronald J.M. Van Loon
      The Journal of Portfolio Management Winter 2018, 44 (3) 25-32; DOI: https://doi.org/10.3905/jpm.2018.44.3.025

  2. van Vliet, Pim

    1. 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

  3. Vasile, Fabiola

    1. Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis
      Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
      The Journal of Portfolio Management Winter 2018, 44 (3) 10-24; DOI: https://doi.org/10.3905/jpm.2018.2018.1.077

X

  1. Xiong, James X.

    1. 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

Z

  1. Zhi, Sujian

    1. The Impact of Market Conditions on Active Equity Management
      Harsh Parikh, Karen McQuiston and Sujian Zhi
      The Journal of Portfolio Management Winter 2018, 44 (3) 89-101; DOI: https://doi.org/10.3905/jpm.2017.2017.1.076
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