From Equity Management: The Art and Science of Modern Quantitative Investing, Second Edition (2017)

The statements below are not recommendations of the advisory services of Jacobs Levy Equity Management or any of its employees.  Certain individuals named below are affiliated with clients of the firm, providers of goods and services to the firm, or institutions that have received philanthropy from the authors. The philanthropy includes the Jacobs Levy Equity Management Center for Quantitative Financial Research, which provides research grants to faculty, sponsors a working paper series, and hosts an annual conference and webinars, the Jacobs Levy Equity Management Dissertation Fellowships in Quantitative Finance, the Dr. Bruce I. Jacobs Scholars in Quantitative Finance, and the Dr. Bruce I. Jacobs Professorship in Quantitative Finance, each at the Wharton School of the University of Pennsylvania.  Additionally, certain individuals listed below have received research awards endowed by the authors, including the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation, which is determined by a selection committee of which one of the authors is Chair; the Research Paper Prizes provided by the Jacobs Levy Center, which are selected by the Academic Directors of the Jacobs Levy Center; and the Bernstein Fabozzi/Jacobs Levy Awards, which are awarded by Portfolio Management Research and funded by Jacobs Levy to authors of the most innovative articles appearing in the Journal of Portfolio Management as determined by subscriber vote.

From the Back Cover

“I learned a lot from this new edition by Bruce Jacobs and Ken Levy, as will any fan of systematic investing.”
Cliff Asness, Managing & Founding Principal, AQR Capital Management

“From disentangling multiple sources of returns to effectively managing portfolios, Bruce Jacobs and Ken Levy have long applied rigorous analysis and real world experience to complex investment markets.”
Ronald N. Kahn, Global Head of Scientific Equity Research, BlackRock 

“Bruce Jacobs and Ken Levy walk us through their 30-year legacy of important, insightful, and frequently cutting-edge research articles.”
Leola Ross, Director, Investment Research, Russell Investments

“It has been my honor to work with Bruce Jacobs and Ken Levy for nearly 25 years. Over this time, I have found their market research to be pioneering, insightful, and rigorous.”
Jim Failor, Chief Investment Officer, Sonoma County Employees’ Retirement Association

“Jacobs and Levy provide a rigorous approach to leading-edge strategies. This book is a highly important read for the innovative investor.”
Jane Buchan, Chief Executive Officer, PAAMCO

“Jacobs and Levy offer a wealth of knowledge and wisdom about the theory and practice of asset management.”
Andrew Lo, MIT Sloan School of Management

Additional Praise

“Investors buy and sell securities in a complex world full of interrelated variables tied to economic fundamentals, information flow, and human behavior. Parsing all of these variables in a systematic fashion is a task almost beyond comprehension. Yet Jacobs and Levy establish a framework for making sense of a marketplace filled with increasingly complex interrelationships. Equity Management is a guidebook to ‘disentangling’ these variables in a manner that can be comprehended while also being comprehensive.”
Mark Anson, Chief Investment Officer, Commonfund

“Bruce Jacobs and Ken Levy have provided us a thoughtful collection of articles covering essential aspects of active equity management, from portfolio construction to long-short investing and beyond. As one of the early players in so-called ‘smart beta,’ I’m more of a believer in this concept than the authors. That said, this book will make a valued reference for anyone involved in equity portfolio management.”
Rob Arnott, Chairman, Research Affiliates          

“‘Quant’ is hot these days. But a lot of it is rediscovering and relabeling things we already knew. So why not learn it from two guys who helped create it and are still innovating today. I learned a lot from this new edition by Bruce Jacobs and Ken Levy, as will any fan of systematic investing.”
Cliff Asness, Managing & Founding Principal, AQR Capital Management

“The second edition of Equity Management: The Art and Science of Modern Quantitative Investing showcases the amazing breadth of research done by Bruce Jacobs and Ken Levy. Bruce and Ken have put together a remarkable collection of 39 of their articles, many ahead of their time, including several on the red-hot topic of factor investing. This volume should be part of every investor’s library.”
Brian Bruce, Chief Executive Officer & Chief Investment Officer, Hillcrest Asset Management, and Editor-In-Chief, The Journal of Investing

“Jacobs and Levy provide a rigorous approach to leading-edge strategies. This book is a highly important read for the innovative investor.”
Jane Buchan, Chief Executive Officer, Pacific Alternative Asset Management Company (PAAMCO)

“Essential reading for practitioners, this book reflects 30 years of Jacobs and Levy’s unparalleled experience in quantitative research and asset management. The articles provide an excellent, cohesive explanation of their integrated approach to quantitative investing, as well as a look at the latest state-of-the-art practices for building a factor model for security selection and constructing a portfolio that gets the most out of those insights. They also describe a simulation approach to understanding market behavior that, as markets become increasingly coupled, is likely to become a key source of future innovations.”
Sebastian Ceria, Chief Executive Officer, Axioma

“Not only have Bruce Jacobs and Ken Levy run a successful asset management firm for three decades, they have been willing to share some of their insights with the investment community through their writings. This compendium of their work demonstrates how investors can combine economic and company fundamentals and qualitative factors in the investment process. Few would be bold enough to disregard their insights or argue with their success.”
Jon Christopherson, Research Fellow Emeritus, Russell Investments

“Bruce Jacobs and Ken Levy’s Equity Management breaks important new ground in the estimation of expected returns and the optimization of portfolios with short positions and leverage. They extol the virtues of an integrated approach to the optimization of long-short portfolios, investigate the optimality of different types of long-short portfolios, and introduce mean-variance-leverage optimization, which takes into account the ‘unique risks of leverage,’ such as margin call risk. I highly recommend this book for serious students of the market and investment professionals.”
Gérard Cornuéjols, IBM University Professor of Operations Research, Tepper School of Business, Carnegie Mellon University

“Jacobs and Levy have done it again, wonderfully contributing to the best of both industry and academia. This second edition of Equity Management is filled with invaluable new insights for optimizing equity portfolio returns, including impressive new material on long-short portfolios, leverage aversion, market fragility, optimal short positions, and more. Their new book should be on the shelf of every serious investor and investment manager.”
Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics, University of Pennsylvania, Professor of Finance and Statistics, The Wharton School

“This volume is a treat for professional and amateur investors. It presents some of the most influential work of two pioneering and successful money managers. The authors provide a menu dégustation from which the reader can select inspired articles on a variety of quant investment topics. When you have finished this dazzling collection, you will want to read your favorite chapters all over again.”
Elroy Dimson, Professor of Finance, University of Cambridge, Judge Business School, and Emeritus Professor, London Business School

“Equity Management artfully categorizes and places in context 30 years of influential research and writing from Bruce Jacobs and Ken Levy. Their disciplined investment approach, infused with a balance of theory and practice, resonates throughout each chapter.”
Ian Domowitz, Chief Executive Officer, ITG Solutions Network, and Managing Director, ITG

“Jacobs and Levy have composed a virtual encyclopedia of techniques and strategies to outperform the stock market. It is destined to take its place among the classics of the field.”
Frank J. Fabozzi, Professor of Finance, EDHEC Business School, Visiting Fellow at Princeton University, Department of Operations Research and Financial Engineering, and Editor, The Journal of Portfolio Management

“Despite the stock market’s highly competitive and efficient nature, there are inefficiencies that can be harvested. These inefficiencies, however, are not just lying around for the taking. It takes a great deal of effort and discipline to tease them out of the market, disentangle them from one another, separate them from all the noise, and understand their dynamic nature. It has been my honor to work with Bruce Jacobs and Ken Levy for nearly 25 years. Over this time, I have found their market research to be pioneering, insightful, and rigorous. If you want to truly understand how the market works, the nature of these inefficiencies, and how a sophisticated and disciplined investor can capitalize on them, I highly recommend their research.”
Jim Failor, Chief Investment Officer, Sonoma County Employees’ Retirement Association

“This second edition of Jacobs and Levy's Equity Management covers the development of quant investing up to and including the current state of the art. This is a compelling read for disciplined investors; it should be especially so for quant mavens!”
James L. Farrell, Jr., Chairman, The Q Group (The Institute for Quantitative Research in Finance)

“This collection of articles is rich testament to the rigor and sophistication Bruce Jacobs and Ken Levy bring to their decades-long research into the dynamics of quantitative finance. The acuity of their insights will add meaningfully to the perspectives of even the savviest investors.”
Geoffrey Garrett, Dean, The Wharton School of the University of Pennsylvania

“As pioneers of quantitative finance, Bruce Jacobs and Ken Levy employed the science of econometric methods and optimization theory to solve the real-world problems they encountered in building a successful investment management business. Their 30 years of experience, along with their knowledge of quantitative methods, puts them in a perfect position to address the art of quantitative investing. When I taught my investment management course at Stanford and later at Wharton, I asked my students to read ‘Disentangling Equity Return Regularities: New Insights and Investment Opportunities.’ Their work has stood the test of time and continues to be relevant today. A wide audience of academics, practitioners, and students will benefit from the accumulated wisdom in this collection of their articles.”
Michael Gibbons, Deputy Dean, I. W. Burnham Professor of Investment Banking, The Wharton School of the University of Pennsylvania

“While academics fought to convince themselves and others that capital market prices could be explained by a simplified paradigm driven by a few factors, Bruce Jacobs and Ken Levy forged ahead against the academic and practitioner trend by embracing the market’s complexity. Their pioneering work on the multidimensional nature of stock returns was decades ahead of its time. The current relevance of their work demonstrates its innovation, durability, and importance. In this edition, they share the deep and practical insights gained by rich experience and tireless intellectual curiosity, walking us through the equity investment process and challenging, along the way, many of the investing fads of the past few decades. Their work should be required reading for anyone learning about, engaging in, or evaluating equity management.”
Jeremiah Green, Professor of Accounting, College of Business, Pennsylvania State University

“The 39 articles in this book provide insight into many of the major topics of modern investment analysis. The use of empirical evidence, theoretical modeling, and concrete examples makes the book accessible and important. While the book covers many topics, I found two particularly compelling: the analysis identifying important factors and their dynamic behavior and the research on incorporating leverage as a third dimension of portfolio optimality. This book should be read by both academics and practitioners working in, or hoping to work in, the world of investments.”
Martin J. Gruber, Scholar in Residence and Professor Emeritus, Stern School of Business, New York University

“Bruce Jacobs and Ken Levy have consistently provided thought leadership in the area of quantitative investing for over 30 years. This collection is filled with ‘must-read’ research for anyone serious about quantitative investing.”
Campbell R. Harvey, J. Paul Sticht Professor, Fuqua School of Business, Duke University

“The equity market is intractably complex, and I cannot think of anyone who has studied it more seriously and methodically than Jacobs and Levy. This new edition of Equity Management is packed with rigorous analysis, insights, and wisdom, and is an easy read for those interested in markets and investing.”
Emmanuel D. Hatzakis, Investment Strategist, Chief Investment Office, Bank of America Merrill Lynch

“This collection of Jacobs and Levy’s articles provides insightful new perspectives on the entire value chain of equity management, from security selection through long-short portfolio construction to managing portfolios in times of financial crisis. Portfolio managers should find the authors’ model for the trade-offs between expected return, volatility risk, and leverage risk particularly interesting and appealing.”
Garud N. Iyengar, Industrial Engineering and Operations Research Department Chair and Professor, The Fu Foundation School of Engineering and Applied Science, Columbia University

“From disentangling multiple sources of returns to effectively managing portfolios, Bruce Jacobs and Ken Levy have long applied rigorous analysis and real-world experience to complex investment markets. This collection of their papers testifies to 30 years of thought leadership.”
Ronald N. Kahn, Global Head of Scientific Equity Research, BlackRock

“Bruce Jacobs and Ken Levy are that rare breed of theoreticians with a long list of peer-reviewed articles who have actually put their ideas into practice managing sizeable assets. This second edition of their 2000 book incorporates lessons learned from the past 16 years of tectonic market events and fundamental new developments in investment management. It is a superb resource for anyone who needs to stay abreast of the most advanced thinking in the investment field.”
Martin Leibowitz, Managing Director, Morgan Stanley

“Jacobs and Levy offer a wealth of knowledge and wisdom about the theory and practice of asset management; this volume should be required reading for all students and practitioners of quantitative investing.”
Andrew Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School of Management

“Jacobs and Levy have delivered a comprehensive work on quantitative investing. Their trend-setting research has helped us to distinguish between investment approaches that are truly innovative and those that are mere hype. More than anyone else, they close the gap between academics and real-life investing. Equity Management is a must-read for every fiduciary investor.”
Coos Luning, Chief Investment Officer, TKP Investments, Netherlands

“Over the past 30 years, Bruce Jacobs and Ken Levy have masterfully combined academic research with investment practice. This impressive collection of their research articles provides important insights into a broad assortment of topics ranging from security analysis to portfolio construction techniques. This book should be part of the library of academics and practitioners alike.”
A. Craig MacKinlay, Joseph P. Wargrove Professor of Finance, The Wharton School of the University of Pennsylvania

“I made the work of Jacobs and Levy required reading for my portfolio management class, and if still teaching, would continue to do so. Their work combines rigorous academic research with valuable insights into the real world of investment practice. One of their many insights is that an optimized combination of long and short positions is well suited to exploit relative security valuations Because many investors cannot act on negative information by selling short, there are more opportunities for shorts. For those who can sell short, and who know how to integrate their short positions with their long positions, that is a major advantage. Equity Management should be on the bookshelf of every serious student of the stock market today.”
Edward M. Miller, Professor of Economics and Finance, University of New Orleans

“While factor investing is today in the mainstream of portfolio management, understanding and successfully executing on multidimensional exposures is nuanced. That is the main point of this excellently written book. The authors powerfully lay out how factor opportunities are driven by patterns of investor demand which means that factor identification is necessarily a dynamic process and factor returns and risks are not stationary. This is an important book for anyone concerned with alpha generation and portfolio construction.”
André Perold, George Gund Professor of Finance and Banking, Emeritus, Harvard University

“Bruce Jacobs and Ken Levy walk us through their 30-year legacy of important, insightful, and frequently cutting-edge research articles. The accompanying commentary places this research in financial history, from the early days of quant equity management through the rise of hedge funds, from the rise of leverage through the systemic risks that have wreaked havoc across the globe. This book provides an invaluable education to young investors who want to learn about how we got here and, to those of us who’ve lived through it, an entertaining and informative account of where we’ve been.”
Leola Ross, Director, Investment Strategy Research, Russell Investments

“Normal investors commit normal cognitive errors; they confuse good stocks with good companies, and markets that have risen with markets that will rise. Jacobs and Levy, long-term students of financial markets, demonstrate how the exceptional investor can profit by taking advantage of the actions of normal investors. This is an insightful book.”
Meir Statman, Glenn Klimek Professor of Finance, Leavey School of Business, Santa Clara University

“Jacobs and Levy have influenced multiple generations of quantitatively oriented investors, as well as me personally. Their work spans the divide between classic financial theory and ever-changing technology and markets to provide a comprehensive, relevant guide for practitioners. This book should be mandatory reading for all quants and aspiring quants.”
Savita Subramanian, Head of US Equity & Quantitative Strategy, Bank of America Merrill Lynch

“For 30 years, Bruce Jacobs and Ken Levy have managed to successfully blend institutional best practices with the highest caliber of quantitative financial research. Equity Management: The Art and Science of Modern Quantitative Investing is further proof that Jacobs and Levy are pioneers in the field of quantitative investing.”
Robert Sullivan, Dean, School of Management, University of California, San Diego

“Jacobs and Levy share their three decades of academic insights and practical investment experience. Every quantitative investor will find value in these pages.”
Edward O. Thorp, Author of Beat the Dealer and A Man for All Markets

“Equity Management: The Art and Science of Modern Quantitative Investing opens a window into the thought processes of one of the most experienced and successful quantitative investment teams. I will be recommending the book to my students and, for that matter, to any students of investment management.”
Sheridan Titman, Walter W. McAllister Professor of Finance, McCombs School of Business, The University of Texas at Austin

“Equity Management is a book that every serious student of stock selection and portfolio management should read and devour. Bruce Jacobs and Ken Levy are outstanding members of the small band of first-rate academics (including several Nobel laureates) who have managed with great success to implement their academic research in the real world of Wall Street. The articles in this collection present a coherent picture of the authors’ path-breaking research into the numerous ‘anomalies’ that, taken together, can be used to build a successful stock selection and portfolio construction process. Jacobs and Levy make a very strong case, both in their research and in their practice, that a successful ‘quant’ strategy can be developed by combining many disentangled factors. Every advanced investments student in an MBA or PhD program, every CFA candidate, and every portfolio manager should read this book.”
David K. Whitcomb, Founder & Chairman Emeritus, Automated Trading Desk, and Professor Emeritus, Rutgers Business School, Rutgers University

“Jacobs and Levy’s 1988 disentangling article (Chapter 3 in this marvelous book) was the first serious research into combining numerous anomalies in a comprehensive multifactor model. It remains the definitive source to beat the market with a quantitative model, whether for long equity, market-neutral and 130-30 long-short, or hedge portfolios. This amazing collection of their 39 journal articles considers security selection, portfolio optimization, simulating security markets, the effect of options, size, value, smart beta, style, calendar anomalies, and active versus passive investment style. It is a thorough tour through superior investment strategies and a fabulous addition to the investment literature. It’s all one needs to turn the amateur investor into the best professional investor around.”
William T. Ziemba, Professor Emeritus, University of British Columbia, and London School of Economics

From Research Page

The Impact of Jacobs Levy Concepts on Investment Theory and Practice

The most gratifying aspect of our work at Jacobs Levy is the successful management of client portfolios, using the insights from our proprietary research. But it has also been gratifying to see how the concepts underlying this research have been accepted and recognized by the investment industry.

Our articles have won numerous awards—from the Financial Analysts Journal, Journal of Portfolio Management, and Journal of Investing—and been translated into Japanese and Chinese. Many have become required reading for the CFA program.

We have presented our ideas at major industry conferences and seminars, including the CFA Institute, University of California-Berkeley Program in Finance (BPF), and Institute for Quantitative Research in Finance (Q Group). Business schools at Columbia, Harvard, University of Pennsylvania, University of London, Stockholm School of Economics, Hong Kong University of Science and Technology, National University of Singapore, University of Buenos Aires, and University of Johannesburg have included our articles in courses ranging from “Security Analysis” to “Behavioral Finance,” “Portfolio Management,” “Financial Modeling,” “Hedge Funds,” and “Financial Risk Management.” Our books are available at university and research libraries across the world, including Stanford, Yale, Caltech, Cambridge (England), INSEAD (France), Erasmus University (The Netherlands), University of Tokyo, University of Melbourne (Australia), King Saud University (Saudi Arabia), Thammasat University (Thailand), and the German National Library of Economics.

The impact of our ideas on investment practice is evident in the industry’s adoption of many of our terms and concepts, including “market complexity,” “disentangling,” “multidimensional market,” “pure versus naïve returns,” “smart alpha versus smart beta,” “law of one alpha,” “integrated long-short optimization,” “trimability,” “unique risks of leverage,” “leverage aversion,” “mean-variance-leverage optimization,” “mean-variance-leverage efficient surface,” and “enhanced active equity long-short (130-30) strategy.” Our work is widely cited in consultant publications, Wall Street research reports, academic and practitioner articles, and investment books, and has also received favorable industry press coverage in the Wall Street Journal, Institutional Investor, and Pensions & Investments.

From Research Page

• Goldman Sachs: QES Academic Review, Quantitative Execution Services, January 2025.
• ODDO BHF: “European ETF Factor Exposures: Evidence from a Regression- and Holdings-Based Analysis,” by Philipp Alexander Dirkx, Journal of Index Investing, Summer 2019.         
• Deutsche Bank Research: “Learning from the Past Part 3: Quant Meltdown of August 2007,” by Ronnie Shah, George Zhao, David Elledge, Alex Chao, and Jessica Zhang, January 7, 2019.
• AllianceBernstein: “Pure Quintile Portfolios,” by Ding Liu, Journal of Portfolio Management, Special Quantitative Equity Strategies Issue 2017, March 2017.
• Bank of America Merrill Lynch: “Redefining Indexing Using Smart Beta Strategies,” by Emmanuel D. Hatzakis, September 2017.
• Deutsche Bank Securities: “Style Rotation,” Global Markets Research GTAA/Signal Processing, September 2010.
• The Credit Suisse: “The Credit Suisse 130/30 Index: A Summary and Performance Comparison,” by Jasmina Hasanhodzic, Andrew W. Lo, Pankaj N. Patel, September 2009.
• Wegelin & Co.: “Predicting Premiums for the Market, Size, Value, and Momentum Factors,” by Michael Steiner, Financial Markets and Portfolio Management, June 2009.
• Morgan Stanley: Multiple Chapters in Modern Portfolio Management: Active Long-Short 130-30 Equity Strategies, Martin Leibowitz, Simon Emrich, and Anthony Bova, Eds., John Wiley & Sons, 2009.
• Morgan Stanley: “Active Extensions in the Fund-Level Context,” by Martin L. Leibowitz, CFA Institute Conference Proceedings Quarterly, June 2008.
• Morgan Stanley: “Active 130/30 Extensions and Diversified Asset Allocations,” by Martin L. Leibowitz and Anthony Bova, A Guide to 130/30 Strategies, Institutional Investor, Summer 2008.
• BNY Mellon: “Long-Short Portfolio Analytics,” by David Asermely, Journal of Performance Measurement, Summer 2008.
• Morgan Stanley: “Active 130/30 Extensions: Alpha Hunting at the Fund Level,” by Martin L. Leibowitz and Anthony Bova, Journal of Investment Management, Third Quarter 2007.
• Morgan Stanley: “An Integrated Analysis of 120/20 Short Extension Strategies,” by Martin Leibowitz and Anthony Bova, Morgan Stanley Research, July 27, 2006.
• UBS Global Asset Management: “Unlocking the Cage,” by Renato Staub, Journal of Wealth Management, Summer 2006.
• The Royal Bank of Scotland and Deutsche Bank: “Analysis of Drawdowns and Drawups in US$ Interest-Rate Market,” by Riccardo Rebonato and Valerio Gaspari, Quantitative Finance, Vol. 6, No. 4, 2006.
• Morgan Stanley: “Using Cointegration to Hedge and Trade International Equities,” by A. Neil Burgess, in Christian Dunis, Jason Laws, and Patrick Naim, Eds., Applied Quantitative Methods for Trading and Investment, John Wiley & Sons, West Sussex, UK, 2003.
• UBS Warburg: Absolute Returns – The Risk and Opportunities of Hedge Fund Investing, by Alexander M. Ineichen, John Wiley & Sons, Hoboken, NJ, 2003.
• UBS Warburg: “Who’s Long? Market-Neutral Versus Long/Short Equity,” by Alexander M. Ineichen, Journal of Alternative Investments, Spring 2002.
• Chase Manhattan: Physics of Finance, by Kirill Ilinski, John Wiley & Sons, West Sussex, UK, 2001.
• Merrill Lynch: “Skill and Turnover: Requirements for Investment Performance,” by Jason Glazier and Kathryn Wilkens, Journal of Alternative Investments, Summer 1999.
• SBC Warburg: “A Simple Multi-Factor Model of the New Zealand Equity Market,” by Ian Nield, August 1997.
• Columbine Capital: “Comparisons and Combinations of Long and Long/Short Strategies,” by John S. Brush, Financial Analysts Journal, May/June 1997.
• Prudential-Bache: “Quantum,” by Melissa R. Brown, April 1989.
• Merrill Lynch: “Quantitative Viewpoint: Torpedo Ahead!” by Richard Bernstein and Charles L. Clough, Jr., December 20, 1988.
• Kidder Peabody: “Equity Research: Quantitative Asset Allocation,” by George H. Boyd III, September 20, 1988.
• Goldman Sachs: “Portfolio Strategy: Stock Selection,” by Robert C. Jones, August 31, 1988.

From Research Page

• Samveg Patel, NMIMS University, India: “ESG or E, S and G Investing: A Portfolio Approach,” Journal of Asset Management, June 2025.
• Miguél Guillen-Pujadas, David Alaminos, and Emili Vizuete-Luciano, University of Barcelona, and José M. Merigó, University of Technology Sydney: “Half a Century of The Journal of Portfolio Management: A Bibliometric Overview,” Journal of Portfolio Management, April 2025.
• Minhao Leong, The University of Sydney, Vitali Alexeev, University of Technology Sydney, and Simon Kwok, The University of Sydney: “Managing Cryptocurrency Risk Exposures in Equity Portfolios: Evidence from High-Frequency Data,” Journal of International Financial Markets, Institutions & Money, March 2025.
• Jitender Kumar, Vinay Sharma, Pankaj Kumar, and Garima Rani, Deenbandhu Chhotu Ram University of Science and Technology, India: “Research on Stock Market Anomalies: A Systematic Literature Review, Synthesis and Framework for Future Research,” International Journal of Monetary Economics and Finance, Vol. 18, No. 1, 2025.
• Xuekang Zhang, Anhui Polytechnic University, China, Ziwei Jiang, and Huisheng Shu, Donghua University, China: “Trajectory Fitting Estimation for Non-Homogeneous Reflected Ornstein-Uhlenbeck Process Driven by an α-Stable Process,” Stochastics, December 2024.
• Frank J. Fabozzi, Carey Business School, Johns Hopkins University, Taehyeon Kang, Kyung Hee University, Jang Ho Kim, Graduate School of Management of Technology, Korea University, Woo Chang Kim, Korea Advanced Institute of Science and Technology, and Yongjae Lee, Ulsan National Institute of Science and Technology, Korea: “An Overview of Optimization Models for Portfolio Management,” Journal of Portfolio Management, December 2024.
• Gordon Dash and Nina Kajiji, University of Rhode Island, and Bruno G. Kamdem, SUNY Farmingdale: “Asset Returns: Reimagining Generative ESG Indexes and Market Interconnectedness,” Journal of Risk and Financial Management, October 2024.
• Katarzyna Byrka-Kita and Mateusz Czerwinski, University of Szczecin, Poland: “CEO-Related Announcements, Trading Activity, and Calendar Effects,” Investment Analyst Journal, September 2024.
• Jean-David Fermanian, ENSAE-CREST, France, Benjamin Poignard, Osaka University, Japan, and Panos Xidonas, ESSCA School of Management, France: “Model-Based vs. Agnostic Methods for the Prediction of Time-Varying Covariance Matrices,” Annals of Operations Research, Volume 346, March 2025.
• Gregory Nazaire, Maria Pacurar, and Oumar Sy, Dalhousie University, Canada: “Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?” Finance Research Letters, July 2024.
• Chanaka Edirisinghe, Rensselaer Polytechnic Institute, and Jaehwan Jeong, Radford University: “Data-Driven Mean-Variance Sparse Portfolio Selection under Leverage Control,” Journal of Portfolio Management, July 2024.
• Jordan Doyle and Genevieve Hayman, CFA Institute: “Chapter 3: The Evolution of Smart Beta,” in Smart Beta, Direct Indexing, and Index-Based Investment Strategies: A Framework, CFA Institute Research & Policy Center, July 2024.     
• Stephen Boyd and Kasper Johansson, Stanford University, Ronald Kahn, BlackRock, Philipp Schiele, Stanford University, and Thomas Schmelzer, Abu Dhabi Investment Authority: “Markowitz Portfolio Construction at Seventy,” Journal of Portfolio Management, July 2024.
• Jerome Benveniste and Petter N. Kolm, New York University, and Gordon Ritter, Columbia University: “Untangling Universality and Dispelling Myths in Mean-Variance Optimization,” Journal of Portfolio Management, July 2024.
• Marcelo De Oliveira Passos and Jessica Rodrigues Goncalves, Federal University of Pelotas, Brazil, Mathas Schneid Tessmann, Brazilian Institute of Education, Daniel De Abreu Pereira Uhr, Federal University of Pelotas, Brazil, and Alex Cerqueira Pinto, University of Brazil: “The Most Prestigious Research Areas in Financial Economics From 1896 to 2006: Scientometrics Based on Complex Networks,” International Journal of Accounting and Financial Reporting, June 2024.
• Christopher Geczy, Wharton School, University of Pennsylvania, John B. Guerard, Jr., McKinley Capital Management, and Cheng-Few Lee, Rutgers Business School: “Round-Table Questions on Harry Markowitz and His Legacy in Financial Economics,” Journal of Investing, June 2024.
• Sugandha Sharma, Banasthali Vidyapith, India: “A Brief History and Recent Developments in Day-of-the-Week Effect Literature,” International Journal of Multidisciplinary Research in Science, Engineering and Technology, February 2024. 
• Sugandha Sharma, Banasthali Vidyapith, India: “Persistence of DOW Effect: Insights and Perspectives from Literature,” International Journal of Multidisciplinary Research in Science, Engineering and Technology, February 2024.
• Avanidhar Subrahmanyam, UCLA, Ke Tang, Tsinghua University, Jingyuan Wang, Beihang University, and Xuewei Yang, Nanjing University: “Leverage is a Double-Edged Sword,” Journal of Finance, February 2024.
• Daniel P. Palomar, Hong Kong University of Science and Technology: “Chapter 6: Portfolio Basics,” Portfolio Optimization: Theory and Application, Cambridge University Press, 2024.
• Anna Rutkowska-Miczka and Konrad Szydlowski, University of Warmia and Mazury, Poland, and Pawel Kliber, Poznan University of Economics and Business, Poland: “Portfolio Choice Using Additional Information from Financial Statements – Evidence from the Frankfurt Stock Exchange,” Engineering Economics, Vol. 35, No. 5, 2024.
• William N. Goetzmann, Yale University: “Harry Markowitz in Memoriam,” Financial Analysts Journal, Fourth Quarter 2023.
• Anna Rutkowska-Ziarko, University of Warmia and Mazury, Poland, and Pawel Kliber, Poznan University of Economics and Business, Poland: “Multicriteria Portfolio Choice and Downside Risk,” Journal of Risk and Financial Management, Vol. 16, No. 8, 2023.
• Chanaka Edirsinghe, Rensselaer Polytechnic Institute, Jingnan Chen, Beihang University, China, and Jaehwan Jeong, Radford University: “Optimal Leveraged Portfolio Selection under Quasi-Elastic Market Impact,” Operations Research, Vol. 71, No. 5, September-October 2023.
• Fouad Ben Abdelaziz, Neoma Business School, France, and Fatma Mrad, Manouba University, Tunisia: “Multiagent Systems for Modeling the Information Game in a Financial Market,” International Transactions in Operational Research, September, 2023.
• Enzo Mondello, CfBS Center for Business Studies AG, Switzerland: “Chapter 8: Dividend Discount Model,” Applied Fundamentals in Finance, Springer, 2023.
• Vrinda Dhingra and Shiv Kumar Gupta, Indian Institute of Technology, India, and Amita Sharma, Netaji Subhas University of Technology, India: “Norm Constrained Minimum Variance Portfolios with Short Selling,” Computational Management Science, Vol. 20, No. 1, 2023.
• Mirko Babanic and Nikola Stefanovic, Singidunum University, Serbia: “An Obtainable and Efficient Set in the Standard Mean-Variance Small Portfolio Selection Model: A Non-Markowitz Approach,” International Journal for Quality Research, Vol. 17, No. 1, 2023.
• Asheesh Pandey, Indian Institute of Foreign Trade, India: “Empirical Evidence of Calendar Anomalies for the Egyptian Stock Market,” Journal of Commerce & Accounting Research, Vol. 11, No. 4, 2022.
• Yu Kyung Lee, Seoul National University, South Korea, and Ryumi Kim, Chungbuk National University, South Korea: “The Turn-of-the-Month Effect and Trading of Types of Investors,” Pacific Basin Finance Journal, 2022.
• Satish Kumar, IBS Hyderbad, India: “Turn-of-the-Month Effect in Cryptocurrencies,” Managerial Finance, Vol. 48, No. 5, 2022.
• Angkawipa Kangsanarak, Chulalongkorn University, Thailand, Chiraphol N. Chiyachantana and David K. Ding, Singapore Management University, and Tanakorn Likitapiwat, Chulalongkorn University, Thailand: “Performance of Smart Beta ETFS in the U.S. Market: 2009-2019,” International Journal of Finance, Vol. 7, No. 2, 2022.
• Umer Ilyas and Matti Ullah Butt, National College of Business and Administration and Economics, Pakistan, and Muhammad Gulzar, University of Management and Technology, Pakistan: “An Application of Panel ARDL Model with Cointegration for Portfolio Management,” International Journal of Economics and Business Research, Vol. 23, No. 3, 2022.
• Luzi Zhong and Jianing Zhang, Wenzhou-Kean University, China: “The Holiday Seasonal Effect of Stock Price in Beverage Industry,” 4th International Conference on Research in Business, Management and Finance, February 4-6, 2022.
• Richard J. Kish, Lehigh University: “Bear Market Mutual Funds: Do They Deliver as Promised?” Review of Economics and Finance, Vol. 19, 2021.
• Barbara Alemanni, University of Genoa and SDA Bocconi School of Management, Italy, Mario Maggi, University of Pavia, Italy, and Pierpaolo Uberti, University of Genoa, Italy: “Unleveraged Portfolios and Pure Allocation Return,” Journal of Risk and Financial Management, November 2021.
• Jo-Hui Chen and Nicholas Edwards, Chung Yuan Christian University, Taiwan: “The Spillover, Risk and Leverage Effects of Smart Beta Management Exchange-Traded Fund (ETF),” Global Economy Journal, September 2021.
• Steen Koekebakker and Valeriy Zakamulin, University of Agder, Norway: “Warren Buffet versus Zvi Bodie,” Journal of Wealth Management, Fall 2021.       
• Prahlad Koratamaddi, Karan Wadhwani, and Mridul Gupta, National Institute of Technology, India, and Sriram G. Sanjeevi, Department of Computer Science and Engineering, India: “Market Sentiment-Aware Deep Reinforcement Learning Approach for Stock Portfolio Allocation,” Engineering Science and Technology, an International Journal, August 2021.
• Svitlana Vyetrenko, J.P. Morgan, David Byrd, J.P. Morgan and Georgia Institute of Technology, Nick Petosa, Georgia Institute of Technology, Mahmoud Mahfouz, J.P. Morgan and Imperial College, London, Danial Dervovic, J.P. Morgan, Manuela Veloso, J.P. Morgan, and Tucker Balch, J.P. Morgan: “Get Real: Realism Metrics for Robust Limit Order Book Market Simulations,” International Conference on AI in Finance, October 15-16, 2020.
• Timothy A. Krause, Penn State Erie – The Behrend College: “Smart Beta Strategies versus Smart Alpha Strategies,” in H. Kent Baker, Greg Filbeck, and Halil Kiymaz, Eds., Equity Markets, Valuation, and Analysis, John Wiley & Sons, Hoboken, NJ, August 2020.
• Tahereh Khodamoradi, Maziar Salahi, and Ali Reza Majafi, University of Guilan, Iran: “A Note on CCMV Portfolio Optimization Model with Short Selling and Risk-Neutral Interest Rate,” Statistics, Optimization, and Information Computing, Volume 8, June 2020.
• Oleg Rytchkov, Temple University, Philadelphia, and Xun Zhong, Fordham University: “Information Aggregation and P-Hacking,” Management Science, April 2020.
• Wajid Shakeel Ahmed and Jibran Sheikh, COMSATS University Islamabad, Pakistan, Kashif Ur-Rehman, Iqra University Islamabad, Pakistan, Khurram Shafi and Faisal Shafique Butt, COMSATS University Islamabad Wah Cantt, Pakistan, and Shafqat Ali Shad, Iowa State University and Luther College Decorah, Iowa: “New Continuum of Stochastic Static Forecasting Model for Mutual Funds at Investment Policy Level,” Chaos, Solitons and Fractals, March 2020.
• T. Khodamoradi, M. Salahi, and A.R. Najafi, University of Guilan, Iran: “Robust CCMV Model with Short Selling and Risk-Neutral Interest Rate,” Physica A, 2020.
• Thiago W. Alves, Ionuţ Florescu, George Calhoun, and Dragoş Bozdog, Stevens Institute of Technology: “SHIFT: A Highly Realistic Financial Market Simulation Platform,” 6th International Symposium in Computational Economics and Finance, Paris, October 29-31.
• George Hübner and Marie Lambert, University of Liege, Belgium: “Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees,” Journal of Portfolio Management, April 2019.
• Joseph M. Marks, Northeastern University, and Chenguang Shang, Texas State University: “Factor Crowding and Liquidity Exhaustion,” The Journal of Financial Research, Spring 2019.
• Jhuma Ray and Siddhartha Bhattacharyya, RCC Institute of Information Technology, India, and N. Bhupendro Singh, National Institute of Technology, India: “Conditional Value-at-Risk-Based Portfolio Optimization: An Ant Colony Optimization Approach,” in Ray Jhuma, Anirban Mukherjee, Sadhan Kumar Dey, and Goran Klepac, Eds., Metaheuristic Approaches to Portfolio Optimization, IGI Global, Hershey, PA, 2019.
• Mario Maggi, University of Pavia, Italy, and Pierpaolo Uberti, University of Genova, Italy: “Portfolio Leverage in Asset Allocation Problems,” in Massimo Paolucci, Anna Sciomachen, and Pierpaolo Uberti, Eds., Advances in Optimization and Decision Science for Society, Services and Enterprises, AIRO Springer Series, Springer, 2019.
• Pawel Kliber, Poznan University of Economics, Poland, and Anna Rutkowska-Ziarko, University of Warmia and Mazury, Poland: “An Analytical Method for Construction of a Fundamental Portfolio,” Research Papers of Wroclaw University of Economics, Vol. 63, No. 2, 2019.
• William T. Ziemba, University of British Columbia, “Chapter 13: What is Japan Doing to Get All that Money? Will they Lose It?” The Adventures of a Modern Renaissance Academic in Investing and Gambling, World Scientific, Singapore, 2018.
• William T. Ziemba, University of British Columbia, Sebastien Lleo, NEOMA Business School, France, and Mikhail Zhitlukhin, Steklov Mathematical Institute and Higher School of Economics, Moscow: “Discovery of the Bond-Stock Earnings Yield Differential Model,” Stock Market Crashes: Predictable and Unpredictable and What To Do About Them, World Scientific, Hackensack, NJ, 2018.
• Jasman Tuyon, Universiti Teknologi MARA, Malaysia, and Zamri Ahmad, Universiti Sains Malaysia: “Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework,” Capital Markets Review, Vol. 26, No. 2, 2018.
• Meher Shiva Tadepalli and Ravi Kumar Jain, Symbiosis International University, India: “Persistence of Calendar Anomalies: Insights and Perspectives from Literature,” American Journal of Business, 2018.
• Yongjae Lee, Seoul National University, South Korea, and Woo Chang Kim, Korea Advanced Institute of Science and Technology, South Korea: “Why Your Smart Beta Portfolio Might Not Work,” International Journal of Financial Engineering and Risk Management, Vol. 2, No. 4, 2018.
• Ying L. Becker, Suffolk University, Boston, and Marc R. Reinganum, Driehaus Capital Management: The Current State of Quantitative Equity Investing, CFA Research Institute Foundation, 2018.
• G.A. Vijayalakshmi Pai, PSG College of Technology, India: Metaheuristics for Portfolio Optimization: An Introduction Using MATLAB, Volume 11, John Wiley & Sons, Hoboken, NJ, 2018.
• Vijayan Sugumaran, Oakland University, Michigan, Arun Kumar Sangaiah, VIT University, India, and Arunkumar Thangavelu, Vellore Institute of Technology, India: Computational Intelligence Applications in Business Intelligence and Big Data Analytics, Auerbach Publications, Boca Raton, June 12, 2017.

• Heiko Jacobs, University of Mannheim, Germany, and Sebastian Müller, German Graduate School of Management and Law: “…and Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns,” SSRN.com, Working Paper, May 2017.
• Jarkko Peltomaki, Stockholm Business School, and Janne Aijo, University of Vaasa, Finland: “Where is the ‘Meat’ in Smart Beta Strategies?” Journal of Wealth Management, Winter 2017.
• Joel M. Shulman, Babson College, Massachusetts, and EntrepreneurShares: “Leadership Matters: Crafting a Smart Beta Portfolio with a Founder-CEO Twist,” Journal of Index Investing, Winter 2017.

• Adam Zaremba, Poznan University of Economics and Business, Poland, and Jacob Shemer, Analyst IMS and AlphaBeta: “Value Versus Growth: Is Buying Cheap Always a Bargain?” Country Asset Allocation, Palgrave MacMillan, New York, 2017.
• Jianling Wang, Vivek George, and Tucker Balch, Georgia Institute of Technology, and Maria Hybinette, The University of Georgia: “Stockyard: A Discrete Event-Based Stock Market Exchange Simulator,” in W.K.V. Chan, Andrea D’Ambrogio, Gregory Zacharewicz, Navonil Mustafee, G. Wainer, and Ernie Page, Eds., Proceedings of the 2017 Winter Simulation Conference, IEEE, Piscataway, NJ, 2017.

• Bonnie G. Buchanan, Albers School of Business and Economics, Seattle University: “Securitization and Risk Transfer,” Securitization and the Global Economy: History and Prospects for the Future, Palgrave MacMillan, New York, 2017.
• Marie Brière, Amundi and Paris-Dauphine University, and Ariane Szafarz, Centre Emile Bernheim, ULB-Solvay Brussels School of Economics and Management: “Factor Investing: The Rocky Road from Long-Only to Long-Short,” in Patrick Duvaut and Emmanuelle Jay, Eds., Factor Investing: From Traditional to Alternative Risk Premia, ISTE Press, London, 2017.

• Zamri Ahmad and Haslindar Ibrahim, Universiti Sains Malaysia, Minden Malaysia, and Jasman Tuyon, MARA University of Technology, Malaysia: “Institutional Investor Behavioral Biases: Syntheses of Theory and Evidence,” Management Research Review, Vol. 40, No. 5, 2017.
• Saurabh Agarwal, Indian Institute of Finance, India: “Theoretical Underpinnings and Policy Issues,” Portfolio Selection Using Multi-Objective Optimisation, Palgrave Macmillan, 2017.
• Eyal Lahav, Tal Shavit, The College of Management Academic Studies, Israel, and Uri Benzion, Western Galilee College, Israel: “Can’t Wait to Celebrate: Holiday Euphoria, Impulsive Behavior and Time Preference,” Journal of Behavioral and Experimental Economics, December 2016.
• Christopher C. Geczy, Wharton School, University of Pennsylvania, and Mikhail Samonov, Forefront Analytics and GKFO, LLC: “Two Centuries of Price-Return Momentum,” Financial Analysts Journal, September/October 2016.
• Manuel Ammann, University of St. Gallen, Switzerland, Guillaume Coqueret, Montpellier Business School, France, and Jan-Philip Schade, University of St. Gallen, Switzerland: “Characteristics-Based Portfolio Choice with Leverage Constraints,” Journal of Banking and Finance, September 2016.
• Volkan Kayacetin and Sened Lekpek, Ozyegin University, Turkey: “Turn-of-the-Month Effect: New Evidence from an Emerging Stock Market,” Finance Research Letters, February 2016.
• William T. Ziemba, University of British Columbia: “Understanding the U.S. Index Futures Stock Market Using Research,” INFORMS Tutorials in Operations Research, 2016.
• Harry M. Markowitz, Rady School of Management, University of California at San Diego: Risk-Return Analysis: The Theory and Practice of Rational Investing, Vol. 2, McGraw-Hill Education, New York, 2016.
• Rula Hani Salman Al Halaseh, Aminul Islam, and Rosni Bakar, University of Malaysia Perlis, Malaysia: “Dynamic Portfolio Selection: A Literature Revisit,” International Business Management, Vol. 10, No. 2, 2016.
• Sebastian Lleo, NEOMA Business School, France, and William T. Ziemba, University of British Columbia: “Bubbles and Crashes: The Bond-Stock Earnings Yield Model for Stock Market Crash Prediction: The Basic Idea and Early Applications,” Quantitative Finance Letters, Vol. 4, No. 1, 2016.
• Xiangyu Cui, Shanghai University, Li Duan, The Chinese University of Hong Kong, and Jiaan Yan, Academy of Mathematics and Systems Science, China: “Classical Mean-Variance Model Revisited: Pseudo Efficiency,” Journal of the Operational Research Society, October 2015.
• Dimitrios I. Vortelinos, Lincoln Business School, Italy: “The Greek Equity Market in European Equity Portfolios,” Economic Modeling, September 2015.
• Mark Farrell, Queens University, Belfast, and Ronan Gallagher, University of Edinburgh, Scotland: “The Valuation Implications of Enterprise Risk Management Maturity,” The Journal of Risk and Insurance, September 2015.
• Przemyslaw Garsztka and Krzysztof Holubowicz, Poznan University of Economics, Poland: “The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment,” Folia Oeconomica Stetinensia, June 2015.
• Scott Cederburg, University of Arizona, and Michael S. O’Doherty, University of Missouri: “Asset-Pricing Anomalies at the Firm Level,” Journal of Econometrics, May 2015.
• Alina Maydybura, Al Falah University, United Arab Emirates, Brian Andrew, University of Wollongong, Australia, and Dionigi Gerace, Capital Markets Cooperative Research Centre: “Value Investing in Some Asia-Pacific Markets,” Proceedings of Paris Economics, Finance and Business Conference, April 13-15, 2015.
• Sebastian Lleo, NEOMA Business School, France, and William T. Ziemba, University of British Columbia: “Some Historical Perspectives on the Bond-Stock Earnings Yield Model for Crash Prediction Around the World,” International Journal of Forecasting, April-June 2015.
• Mohamad Al-Ississ, The American University in Cairo, Egypt: “The Holy Day Effect,” Journal of Behavioral and Experimental Finance, March 2015.
• Matteo Rossi, University of Sannio, Italy: “The Efficient Market Hypothesis and Calendar Anomalies: A Literature Review,” International Journal of Managerial and Financial Accounting, Vol. 7, Nos. 3/4, 2015.
• K. Stephen Haggard, Jeffrey Scott Jones, and H. Douglas Witte, Missouri State University: “Black Cats or Black Swans? Outliers, Seasonality in Return Distribution Properties, and the Halloween Effect,” Managerial Finance, Vol. 41, No. 7, 2015.
• J. Gevers and C. Correia, University of Cape Town, South Africa: “An Analysis of the Price Sales Ratio as a Share Selection Tool for Shares Listed on the Johannesburg Stock Exchange,” SAAA Conference Proceedings, 2015.
• Azizah Abu Bakar, Antonios Siganos, and Evangelos Vagenas-Nanos, University of Glasgow, UK: “Does Mood Explain the Monday Effect?” Journal of Forecasting, September 2014.
• Jeremiah Green, Penn State University, John R. M. Hand, University of North Carolina at Chapel Hill, and X. Frank Zhang, Yale University: “The Remarkable Multidimensionality in the Cross-Section of Expected U.S. Stock Returns,” SSRN.com, Working Paper, July 29, 2014.
• Frank J. Fabozzi, EDHEC Business School, Sergio M. Focardi, Stony Brook University, and Caroline Jonas, Intertek Group: “Investment Management: A Science to Teach or an Art to Learn?” CFA Institute Research Foundation, May 2014.
• Greg Filbeck, Hunter M. Holzhauer, and Xin Zhao, Penn State University: “Using Social Responsibility Ratings to Outperform the Market: Evidence from Long-Only and Active-Extension Investment Strategies,” Journal of Investing, Spring 2014.
• Anna Rutkowska-Ziarko, University of Warmia and Mazruy, Poland, and Przemyslaw Garsztka, Poznan University of Economics, Poland: “Diversification of Risk of a Fundamental Portfolio Based on Semi-Variance,” Poznan University of Economics Review, January 2014.
• Lan Liu, California State University: “The Turn-of-the-Month Effect in the S&P 500 (2001-2011),” Journal of Business & Economics Research, June 2013.
• Clarence C.Y. Kwan, McMaster University, Canada: “Market Neutral Portfolio Selection: A Pedagogic Illustration,” Spreadsheets in Education, Vol. 6, No. 2, April 10, 2013.
• João Frois Caldeira and Guilherme Valle Moura, Federal University of Rio Grande do Sul, RS, Brazil: “Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy,” Revista Brasileira de Financas, March 2013.
• Peter Harris and Paul R. Kutasovic, New York Institute of Technology: “FASB 157 and the Subprime Mortgage Crisis,” International Journal of Economic Research, January-June 2013.
• Iryna Veryzhenko and Philippe Mathieu, Lille University of Science and Technology, France, and Olivier Brandouy, Sorbonne Graduate Business School, France: “Key Points for Realistic Agent-Based Financial Market Simulations,” Proceedings of the 3rd International Conference on Agents and Artificial Intelligence, Volume 2, January 2013.
• Harry M. Markowitz, Rady School of Management, University of California at San Diego: “How to Represent Mark-to-Market Possibilities with the General Portfolio Selection Model,” Journal of Portfolio Management, Summer 2013.
• Olivier Brandouy, Sorbonne Graduate Business School, France, and Philippe Mathieu and Iryna Veryzhenko, Lille University of Science and Technology, France: “On the Design of Agent-Based Artificial Stock Markets,” in Joaquim Filipe and Ana Fred, Eds., Agents and Artificial Intelligence: Third International Conference, ICAART 2011, Springer, New York, 2013.
• Harry M. Markowitz, Rady School of Management, University of California at San Diego: “Computer Assisted Portfolio Selection Theory and Practice,” paper presentation at the awarding of the 2013 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation to Harry M. Markowitz, New York, 2013.
• C.-C. Teng and V.W. Liu, National Sun Yat-sen University, Taiwan: “The Pre-Holiday Effect and Positive Emotion in the Taiwan Stock Market, 1971-2011,” Investment Analysts Journal, Vol. 42, No. 77, 2013.
• Hao Yu, Gilbert V. Nartea, Christopher Gan, Lincoln University, New Zealand, and Lee J. Yao, Loyola University: “Predictive Ability and Profitability of Simple Technical Trading Rule: Recent Evidence from Southeast Asian Stock Markets,” International Review of Economics and Finance, Vol. 25, 2013.
• Hunter M. Holzhauer, The University of Tennessee, Chattanooga: “Investing in Hedge Funds,” in H. Kent Baker and Greg Filbeck, Eds., Alternative Investments: Instruments, Performance, Benchmarks and Strategies, John Wiley & Sons, Hoboken, NJ, 2013.
• Hunter M. Holzhauer, The University of Tennessee, Chattanooga: “Chapter 23: Investing in Hedge Funds” in Alternative Investment Instruments, Performance, Benchmarks, and Strategies, John Wiley & Sons, 2013.
• Pui-Lam Leung and Hon-Yip Ng, The Chinese University of Hong Kong, and Wing-Keung Wong, Hong Kong Baptist University: “An Improved Estimation to Make Markowitz’s Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment,” European Journal of Operational Research, October 2012.
• Manuel Tarrazo, University of San Francisco, and Ricardo Ubeda, Adolfo Ibáñez University, Chile: “Minimum-Variance Versus Tangent Portfolios – A Note,” Journal of Asset Management, June 2012.
• Jacek Welc, Wroclaw University of Economics, Poland: “Company-Size Effect on the Polish Stock Market,” Global Review of Accounting and Finance, March 2012.
• G.A. Vijayalakshmi Pai, PSG College of Technology, India, and Thierry Michel, Lombard Odier Darier Hentsch Gestion: “Integrated Metaheuristic Optimization of 130-30 Investment-Strategy-Based Long-Short Portfolios,” Intelligent Systems in Accounting, Finance and Management, January/March 2012.
• Christos N. Christodoulou-Volos, Neapolis University Pafos, Cyprus: “Stock Price Anomalies in the Cyprus Stock Exchange,” The Cyprus Journal of Sciences, Vol. 10, 2012.
• Aswath Damodaran, New York University: Investment Philosophies: Successful Strategies and the Investors Who Made Them Work, 2nd Ed., John Wiley & Sons, Hoboken, NJ, 2012.
• Mark Wever, Federal University of Rio Grande do Sul, Brazil, Nel Wognum, Jacques Trienekens, and Onno Omta, Wageningen University: “Managing Transaction Risks in Interdependent Supply Chains: An Extended Transaction Cost Economics Perspective,” Journal on Chain and Network Science, Vol. 12, No. 3, 2012.
• Panos Xidonas, National Technical University of Athens, George Mavrotas, National Technical University of Athens, Theodore Krintas, Attica Wealth Management, John Psarras, National Technical University of Athens, and Constantin Zopounidis, Technical University of Crete: Multicriteria Portfolio Management, Springer, New York, 2012.
• William T. Ziemba, University of British Columbia: Calendar Anomalies and Arbitrage, World Scientific, Hackensack, NJ, 2012.
• Frank K. Reilly, University of Notre Dame, and Keith C. Brown, University of Texas at Austin:  “Chapter 16: Equity Portfolio Management Strategies,” in Investment Analysis and Portfolio Management, 10th Edition, South-Western Cengage Learning, Mason, OH, 2012.
• Jocelyn Pixley, London Metropolitan University: “Chapter 7: Overwhelmed with Numbers,” in Emotions in Finance: Booms, Busts and Uncertainty, Cambridge University Press, New York, 2012.
• Marcus Davidsson, Independent: “Long-Short Portfolio Optimization,” Journal of Risk and Diversification, No. 4, 2012.
• James Philpot, Missouri State University, and Craig A. Peterson, Western Michigan State University: “A Brief History and Recent Developments in Day-of-the-Week Effect Literature,” Managerial Finance, Vol. 37, No. 9, 2011.
• JJ Glen, University of Edinburgh, UK: “Mean-Variance Portfolio Rebalancing with Transaction Costs and Funding Changes,” Journal of the Operational Research Society, Vol. 62, 2011.
• Shiok Ye Lim and Chong Mun Ho, University of Malaysia, and Brian Dollery, University of New England, Australia: “An Empirical Analysis of Calendar Anomalies in the Malaysian Stock Market,” Applied Financial Economics, February 2010.
• Roland Füss, European Business School, Germany, Julia Hille, Credit Suisse, Philipp Rindler, European Business School, Germany, and Jörg Schmidt and Michael Schmidt, Union Investment Institutional: “From Rising Stars and Falling Angels: On the Relationship Between the Performance and Ratings of German Mutual Funds,” Journal of Wealth Management, Summer 2010.
• Necmi K. Avkiran, UQ Business School, University of Queensland, Australia, and Hiroshi Morita, Osaka University, Japan: “Predicting Japanese Bank Stock Performance with a Composite Relative Efficiency Metric: A New Investment Tool,” Pacific-Basin Finance Journal, June 2010.
• Constantine Dzhabarov, Alpha Lake Financial Analytics, and William T. Ziemba, University of British Columbia: “Do Seasonal Anomalies Still Work?” Journal of Portfolio Management, Spring 2010.
• Marida Bertocchi, University of Bergamo, and Sandra L. Schwartz, and William T. Ziemba, University of British Columbia: Optimizing the Aging, Retirement and Pensions Dilemma, John Wiley & Sons, Hoboken, NJ, 2010.
• Jocelyn Pixley, London Metropolitan University: “The Use of Risk in Understanding Financial Decisions and Institutional Uncertainty,” The Journal of Socio-Economics, Vol. 39, 2010.
• Tang Han-quig and Guo Wen-wei, South China University of Technology: “Economic Cycle, Economic Shocks and Small-Firm Effect: Evidence from China,” IEEE International Conference on E-Business and E-Government, 2010.
• Gregory Connor, London School of Economics, Lisa R. Goldberg, University of California-Berkeley, and Robert A. Korajczyk, Northwestern University: “Chapter 1: Measures of Risk and Return” in Portfolio Risk Analysis, Princeton University Press, 2010.
• Henry I. Silverman, Roosevelt University: “Do Active Mutual Funds Mimic the Index During a Bull Market?” Journal of Business & Economics Research, Vol. 8, No. 5, May 2010.
• Andrew Clare, Svetlana Sapuric, and Natasa Todorovic, Cass Business School, London: “Quantitative or Momentum Based Multi-Style Rotation? UK Experience,” Journal of Asset Management, Vol. 10, 2010.  
• Helmut Gründl and Thomas Post, Humboldt Universität zu Berlin: “Transparency through Financial Claims with ‘Fingerprints’: A Mechanism for Preventing Financial Crises,” Financial Analysts Journal, September/October 2009.
• Nicholas Huck, École Normale Supérieure, Paris: “Pairs Selection and Outranking: An Application to the S&P 100 Index,” European Journal of Operational Research, July 16, 2009.
• John R. Latham, University of Northern Colorado: “Complex System Design: Creating Sustainable Change in the Mortgage-Finance System,” Quality Management Journal, July 2009.
• Gordon J. Alexander, University of Minnesota, Alexandre M. Baptista, George Washington University, and Shu Yan, University of South Carolina: “Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales are Allowed,” Managerial and Decision Economics, July 2009.
• Kerstin Schmidt-Beck, Justus-Liebig-Universität Giessen: “Remembering Global Crises: ‘Doing and Un-doing History’ in Narrative and Discourse: the German Stock Market Decline (2000-2003),” International Journal of Management Concepts and Philosophy, Vol. 3, No. 3, 2009.
• Jin Luo, Christopher Gan, and Baiding Hu, Lincoln University, New Zealand, and Tzu-Hui Kao: “An Empirical Analysis of Chinese Stock Price Anomalies and Volatility,” Investment Management and Financial Innovations, Vol. 6, No. 1, 2009.
• Edward D. Baker III, The Cambridge Strategy, Ronald Kahn, Barclays Global Investors, Tony Kao, Promark Global Advisors, and Meir Statman, Santa Clara University, and Harry Markowitz, Rady School of Management, University of California at San Diego: “Ideas and Innovation Across Multiple Disciplines: A Discussion with Nobel Laureate Harry M. Markowitz, PhD,” The Journal of Investment Consulting, Vol. 11, No. 1, 2009.
• Yue Qi, Bin Zhou, and Zeshi Wang, Nankai University, China: “Empirically Analyzing Mean-Variance Efficiency and Diversification Contradiction by Chinese Stock Markets,” International Conference on Management and Service Science, 2009.
• John J. McConnell, Krannert School of Management, Purdue University, and Wei Xu, Mathematica Capital Management LLC: “Equity Returns at the Turn of the Month,” Financial Analysts Journal, March/April 2008.
• Andrew W. Lo, Sloan School of Management, MIT, and Pankaj N. Patel, Credit Suisse: “130/30: The New Long-Only,” Journal of Portfolio Management, Winter 2008.
• Frank J. Fabozzi, Yale School of Management, Sergio M. Focardi, Intertek Group, Petter N. Kolm, New York University, and Robert R. Johnson, CFA Institute: “Overview of Active Common Stock Portfolio Strategies,” in Frank J. Fabozzi, Ed., Handbook of Finance, Volume II: Investment Management and Financial Management, John Wiley & Sons, Hoboken, NJ, 2008.
• Ahmed Kamaly and Eskandar A. Tooma, The American University in Cairo: “Calendar Anomalies and Stock Market Volatility in Selected Arab Stock Exchanges,” Applied Financial Economics, Vol. 18, 2008.
• Eleni G. Lisgara and George S. Androulakis, University of Patras, Greece: “Estimating Time Series Future Optima Using a Steepest Descent Methodology as a Backtracker,” Proceedings of the International Multiconference on Computer Science and Information Technology, 2008.
• Panu Chaopricha, Ramkhamhaeng University, Thailand, Peng Chan and Dennis Pollard, California State University: “Firm Characteristics and Stock Return,” International DSI, July 2007.
• Matthew Watson, University of Warwick, UK: The Political Economy of International Capital Mobility, Palgrave Macmillan, New York, 2007.
• N.C.P. Edirisinghe, College of Business Administration, University of Tennessee: “Integrated Risk Control Using Stochastic Programming ALM Models for Money Management,” in S.A. Zenios and W.T. Ziemba, Eds., Handbook of Asset and Liability Management, Volume 2: Applications and Case Studies, North-Holland, Amsterdam, 2007.
• Harry M. Markowitz, Rady School of Management, University of California at San Diego, and Erik van Dijk, Compendeon b.v.: “Risk-Return Analysis,” in S.A. Zenios and W.T. Ziemba, Eds., Handbook of Asset and Liability Management: Theory and Methodology, Handbooks in Finance 2, North Holland, Amsterdam, 2007.
• Rachel E.S. Ziemba, Roubini Global Economics, and William T. Ziemba, University of British Columbia: Scenarios for Risk Management and Global Investment Strategies, John Wiley & Sons, Hoboken, NJ, 2007.
• Glen A. Larsen, Jr. and Steven L. Jones, Kelley School of Business, Indiana University: “Implications for Enhanced Portfolio Performance Based on the Information Content of Short Interest,” Journal of Financial Education, Winter 2006 and Fall 2007.
• Clarence C. Kwan, McMaster University, Canada: “A Simple Spreadsheet-Based Exposition of the Markowitz Critical Line Method for Portfolio Selection,” Spreadsheets in Education, Vol. 2, No. 3, 2007.
• Francoise Charpin, University of Paris II, and Dominique Lacaze, University of Paris X-Nanterre: “Efficient Portfolios for Alternative Investments,” Journal of Alternative Investments, Spring 2006.
• Glenn N. Pettengill and Susan M. Edwards, Grand Valley State University, and Dennis E. Schmitt, Emporia State University: “Is Momentum Investing a Viable Strategy for Individual Investors?” Financial Services Review, Vol. 15, 2006.
• Harry M. Markowitz, Rady School of Management, University of California at San Diego: “Market Efficiency: A Theoretical Distinction and So What?” Financial Analysts Journal, September/October 2005.
• William T. Ziemba, University of British Columbia: “Scenarios III: Using Economic Fundamentals to Generate Scenarios,” Wilmott Magazine, July/August 2005.
• Bernard Dumas, INSEAD, and Craig Ruff, Georgia State University: “Aronson+Johnson+Ortiz – A Case Study Report,” Harvard Business Review, May 2, 2005.
• Andreas G. Merikas, The University of the Aegean, Greece, Anna A. Merikas, Deree College, The American College of Greece, Athens, Greece, and Ioannis Sorros, ATE Leasing, Athens, Greece: “Is There an Appropriate Measure of Managerial Skill and Performance?” Managerial Finance, Vol. 31, No. 2, 2005.
• Steve Hogan, Credit Suisse First Boston, Robert Jarrow, Johnson Graduate School of Management, Cornell University, Melvyn Teo, Singapore Management University, School of Business, and Mitch Warachka, FDO Partners: “Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies,” Journal of Financial Economics, September 2004.
• Donald MacKenzie, University of Edinburgh, UK: “The Big, Bad Wolf and the Rational Market: Portfolio Insurance, the 1987 Crash and the Performativity of Economics,” Economy and Society, August 2004.
• Steven L. Jones and Glen Larsen, Kelley School of Business, Indiana University: “How Short Selling Expands the Investment Opportunity Set and Improves Upon Potential Portfolio Efficiency,” in Frank J. Fabozzi, Ed., Short Selling: Strategies, Risks, and Rewards, John Wiley & Sons, Hoboken, NJ, 2004.
• Edward M. Miller, University of New Orleans: “Restrictions on Short Selling and Exploitable Opportunities for Investors,” and “Implications of Short Selling and Divergence of Opinion for Investment Strategy,” in Frank J. Fabozzi, Ed., Short Selling: Strategies, Risks, and Rewards, John Wiley & Sons, Hoboken, NJ, 2004.
• Francois-Serge Lhabitant, EDHEC Business School (France) and University of Lausanne (Switzerland): Hedge Funds: Quantitative Insights, John Wiley & Sons, West Sussex, UK, 2004.
• Joseph L. McCauley, University of Houston: Dynamics of Markets: Econophysics and Finance, Cambridge University Press, Cambridge, UK, 2004.
• Michel Fleuriet, Wharton School, University of Pennsylvania: Finance, A Fine Art, John Wiley & Sons, West Sussex, UK, 2003.
• Aswath Damodaran, Leonard N. Stern School of Business, NYU: Investment Philosophies: Successful Strategies and the Investors Who Made Them Work, John Wiley & Sons, Hoboken, NJ, 2003.
• A. Neil Burgess, University College London: “Cointegration,” in Jimmy Shadbolt and John G. Taylor, Eds., Neural Networks and the Financial Markets, Springer, 2002.
• Frank J. Fabozzi, School of Management, Yale University, and Harry M. Markowitz, Nobel Laureate, Eds.: The Theory & Practice of Investment Management, John Wiley & Sons, Hoboken, NJ, 2002.
• Paul Usman Ali, University of Melbourne, and Martin L. Gold, University of Wollongong: “An Overview of ‘Portable Alpha’ Strategies, with Practical Guidance for Fiduciaries and Some Comments on the Prudent Investor Rule,” Company and Securities Law Journal, June 2001.
• Edward M. Miller, University of New Orleans: “Why the Low Returns to Beta and Other Forms of Risk?” Journal of Portfolio Management, Winter 2001.
• Chris R. Hensel, Frank Russell, Gordon A. Sick, University of Calgary, and William T. Ziemba, University of British Columbia: “A Long Term Examination of the Turn-of-the-Month Effect in the S&P 500,” in Donald B. Keim and William T. Ziemba, Eds., Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge, 2000.
• Sandra L. Schwartz and William T. Ziemba, University of British Columbia: “Predicting Returns on the Tokyo Stock Exchange,” in Donald B. Keim and William T. Ziemba, Eds., Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge, 2000.
• Gabriel Hawawini, INSEAD, and Donald B. Keim, Wharton School, University of Pennsylvania: “The Cross-Section of Common Stock Returns: A Review of the Evidence and Some New Findings,” in Donald B. Keim and William T. Ziemba, Eds., Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge, 2000.
• Gordon J. Alexander, University of Minnesota: “On Back-Testing ‘Zero-Investment’ Strategies,” Journal of Business, April 2000.
• Clarence C.Y. Kwan, McMaster University, Canada: “A Note on Market-Neutral Portfolio Selection,” Journal of Banking and Finance, May 1999.
• John Cotter and Robert W. Hutchinson, University of Ulster, Ireland: “The Impact of Accounting Reporting Techniques on Earnings Enhancement in the UK Retailing Sector,” The International Review of Retail, Distribution and Consumer Research, April 1999.
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• C.J. Adcock, University of Bath, Bath, and E.A. Clark, Middlesex University, UK: “Beta Lives – Some Statistical Perspectives on the Capital Asset Pricing Model,” The European Journal of Finance, Vol. 5, 1999.
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