Sources Index

Academic papers and research cited across all articles on this site

34unique sources

24academic paper links

This publication synthesizes findings from the following academic and institutional research:

Almgren & Chriss (2001), 'Optimal Execution of Portfolio Transactions', Journal of Risk ↗

Cited in: Optimal Execution: Minimizing Market Impact When Trading Large Orders

Ang 2014 / Harvey-Liu-Zhu 2016

Cited in: Factor Investing: A Practitioner's Primer

Ang et al. 2006 / Frazzini-Pedersen 2014

Cited in: The Low Volatility Anomaly: Less Risk, More Return

AQR / KCMI 2025-14 ↗

Cited in: The Momentum Factor: Why Winners Keep Winning

AQR Capital Management ↗

Cited in: Factor Timing: Can You Time the Factors?

Bhansali (2014) / Universa Investments / AQR ↗

Cited in: Tail Risk Hedging: Protecting Portfolios from Black Swans

BIS Working Papers ↗

Cited in: Correlation Breakdown During Crises: Why Diversification Fails When You Need It Most

Black & Litterman (1992), Financial Analysts Journal ↗

Cited in: The Black-Litterman Model: Blending Views with Market Equilibrium

Brunnermeier-Nagel-Pedersen 2009 / Koijen et al. 2018

Cited in: The Carry Trade: Profiting from Interest Rate Differentials

Carr & Wu (2009), 'Variance Risk Premiums', Review of Financial Studies ↗

Cited in: The Variance Risk Premium: Selling Volatility as a Strategy

Dimensional Fund Advisors ↗

Cited in: The Liquidity Premium: Why Illiquid Assets Pay More

Dimensional Fund Advisors / Fama-French (1993) ↗

Cited in: The Size Effect: Do Small Caps Still Outperform?

Fama & French (2015), Journal of Financial Economics ↗

Cited in: The Fama-French Five-Factor Model Explained

Fama-French 1992 / Lakonishok-Shleifer-Vishny 1994

Cited in: The Value Factor: Buying Cheap Stocks for Long-Term Alpha

Fidelity Investments Research ↗

Cited in: Sector Rotation Strategies: Timing the Business Cycle

Frazzini & Pedersen (2014), Journal of Financial Economics ↗

Cited in: Betting Against Beta: Why Boring Stocks Win

Gatev et al. (2006), Review of Financial Studies ↗

Cited in: Statistical Arbitrage: Pairs Trading in Modern Markets

Goldman Sachs Asset Management ↗

Cited in: Currency Hedging for Global Portfolios

Ilmanen (2011) / AQR / HFR Research ↗

Cited in: Alternative Risk Premia: Harvesting Returns Beyond Traditional Assets

J.P. Morgan Asset Management ↗

Cited in: Monte Carlo Simulation in Portfolio Management

Magdon-Ismail & Atiya (2004) / CFA Institute ↗

Cited in: Maximum Drawdown: The Risk Metric Investors Fear Most

Man AHL Research ↗

Cited in: Backtesting Pitfalls: Why Most Backtests Lie

Markowitz 1952 / DeMiguel-Garlappi-Uppal 2009

Cited in: The Science of Diversification: From Markowitz to Modern Portfolios

Moreira & Muir (2017), Journal of Finance ↗

Cited in: Volatility Targeting: Scaling Risk for Better Returns

Moskowitz-Ooi-Pedersen 2012 / Hurst-Ooi-Pedersen 2017

Cited in: Trend Following: The Case for Time-Series Momentum

MSCI Research ↗

Cited in: Smart Beta: Factor Investing Through Index Funds

NBER Working Papers ↗

Cited in: Behavioral Biases in Quantitative Investing

Novy-Marx 2013 / AQR QMJ 2019

Cited in: The Quality Factor: Why Profitable Firms Deliver Higher Returns

Odean (1998), Journal of Finance / Shefrin & Statman (1985) ↗

Cited in: The Disposition Effect: Why Investors Sell Winners Too Early

Pastor, Stambaugh & Taylor (2021), 'Sustainable investing in equilibrium', JFE ↗

Cited in: ESG Alpha: Real or Artifact?

Poterba-Summers 1988 / Avellaneda-Lee 2010

Cited in: Mean Reversion Strategies: When Prices Snap Back

Qian 2005 / Asness-Frazzini-Pedersen 2012

Cited in: Risk Parity: Balancing Portfolios by Risk, Not Capital

Sharpe 1966, 1994 / Lo 2002

Cited in: The Sharpe Ratio: Measuring Risk-Adjusted Returns

Two Sigma Insights ↗

Cited in: Transaction Costs and Slippage: The Hidden Drag on Quant Strategies