Quantitative Methods

The 10 Reasons Most Machine Learning Funds Fail
Marcos López de Prado
The Journal of Portfolio Management Special Issue Dedicated to Stephen A. Ross 2018, 44 (6) 120-133; DOI: https://doi.org/10.3905/jpm.2018.44.6.120

A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later
Meb Faber
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 156-167; DOI: https://doi.org/10.3905/jpm.2018.44.2.156

Footprints on a Blockchain: Trading and Information Leakage in Distributed Ledgers
Rune Tevasvold Aune, Adam Krellenstein, Maureen O’Hara and Ouziel Slama
The Journal of Trading Fall 2018, 13 (4) 49-57; DOI: https://doi.org/10.3905/jot.2018.13.4.049

Artificial Intelligence and Value Investing
Korok Ray
The Journal of Investing Spring 2018, 27 (1) 21-30; DOI: https://doi.org/10.3905/joi.2018.27.1.021

An Alternative Option to Portfolio Rebalancing
Roni Israelov and Harsha Tummala
The Journal of Derivatives Spring 2018, 25 (3) 7-32; DOI: https://doi.org/10.3905/jod.2018.25.3.007

Bond Portfolio Optimization in the Presence of Duration Constraints
Romain Deguest, Frank Fabozzi, Lionel Martellini and Vincent Milhau
The Journal of Fixed Income Summer 2018, 28 (1) 6-26; DOI: https://doi.org/10.3905/jfi.2018.1.061

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance
Campbell R. Harvey, Sandy Rattray, Andrew Sinclair and Otto Van Hemert
The Journal of Portfolio Management Summer 2017, 43 (4) 55-69; DOI: https://doi.org/10.3905/jpm.2017.43.4.055

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter
Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh
The Journal of Portfolio Management Summer 2018, 44 (7) 85-95; DOI: https://doi.org/10.3905/jpm.2018.44.7.085

Pricing Variance, Gamma, and Corridor Swaps Using Multinomial Trees
Honglei Zhao, Zhe Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu
The Journal of Derivatives Winter 2017, 25 (2) 7-21; DOI: https://doi.org/10.3905/jod.2017.25.2.007

Option Pricing via QUAD: From Black–Scholes–Merton to Heston with Jumps
Haozhe Su, Ding Chen and David P. Newton
The Journal of Derivatives Spring 2017, 24 (3) 9-27; DOI: https://doi.org/10.3905/jod.2017.24.3.009

Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility
Jacinto Marabel Romo
The Journal of Derivatives Summer 2014, 21 (4) 82-102; DOI: https://doi.org/10.3905/jod.2014.21.4.082

Calibrating and Pricing with a Stochastic-Local Volatility Model
Yu Tian, Zili Zhu, Geoffrey Lee, Fima Klebaner and Kais Hamza
The Journal of Derivatives Spring 2015, 22 (3) 21-39; DOI: https://doi.org/10.3905/jod.2015.22.3.021