Portfolio Lab
Sign inCreate account

Literature: authors starting with J

20 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters

J.P. Morgan EMBI Methodology (2024) · J.P. Morgan Emerging Markets Bond Index Global Diversified – Custom Defaults

J.P. Morgan. J.P. Morgan Global Index Research, May 31, 2024; accessed October 25, 2026. Source

Variant of the EMBI Global Diversified: US dollar sovereign bonds, bid prices from an external pricing service, a minimum size of $500 million and monthly rebalancing.

Cited in: Index providers and valuation points: why the same index is calculated differently

J.P. Morgan Asset Management (2024) · ETF trading strategies: What you need to know to trade ETFs successfully

J.P. Morgan Asset Management. J.P. Morgan Asset Management, July 2024, material for professional investors; accessed October 25, 2026. Source

Distinguishes between ETF trades at the future NAV plus or minus a number of basis points, risk trades at an immediate fixed price, and execution via a broker or an algorithm.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC

J.P. Morgan Asset Management (2025) · Was the yield curve inversion wrong in predicting a US recession? (On the Minds of Investors)

J.P. Morgan Asset Management. J.P. Morgan Asset Management, undated (2025); accessed October 27, 2026. Source

The US yield curve between three months and ten years inverted in October 2022 and stayed inverted until December 2024 (the longest inversion in recent history), with no recession following.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Macro dashboard and regime analysis: methodology

Jagannathan and Ma (2003) · Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

Jagannathan, Ravi; Ma, Tongshu. The Journal of Finance 58 (4), pp. 1651–1683. doi:10.1111/1540-6261.00580

Explains why weight limits (such as no short sales) act like shrinkage of the covariance matrix and reduce risk.

Cited in: Efficient frontier: Markowitz portfolio optimization · Beyond Markowitz: estimation error, noise and true diversification · Covariance estimation: why optimizers need shrinkage · Michaud resampled optimization: more stable portfolio weights through simulation · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Weight limits

Jansen and van Dijk (2002) · Optimal Benchmark Tracking with Small Portfolios

Jansen, Roel; van Dijk, Ronald. The Journal of Portfolio Management 28 (2), pp. 33–39. doi:10.3905/jpm.2002.319830

Optimization methods for tracking an index with relatively few stocks and a small tracking error.

Cited in: Index replication: full replication, optimized sampling and swaps

Jegadeesh (1990) · Evidence of Predictable Behavior of Security Returns

Jegadeesh, Narasimhan. The Journal of Finance 45 (3), pp. 881–898. doi:10.1111/j.1540-6261.1990.tb05110.x

Monthly returns of individual stocks are negatively autocorrelated: the previous month's losers beat its winners (short-term reversal).

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts · Pairs trading and statistical arbitrage: idea, methods, research · Long/short and statistical arbitrage: methodology · Glossary: Reversal effect

Jegadeesh et al. (2015) · Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

Jegadeesh, Narasimhan; Kräussl, Roman; Pollet, Joshua M.. Review of Financial Studies 28 (12), pp. 3269–3302. doi:10.1093/rfs/hhv046

From the market prices of listed private equity firms: a beta close to one, a positive loading on small companies and more systematic risk than an index of reported fund values.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies

Jenkinson et al. (2016) · Picking Winners? Investment Consultants' Recommendations of Fund Managers

Jenkinson, Tim; Jones, Howard; Martinez, Jose Vicente. The Journal of Finance 71 (5), pp. 2333–2370. doi:10.1111/jofi.12289

Investment consultants' recommendations of US equity products from 1999 to 2011 are based mainly on soft factors and drive flows, but add no demonstrable value.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Investment consultant

Jensen (1968) · The Performance of Mutual Funds in the Period 1945–1964

Jensen, Michael C.. The Journal of Finance 23 (2), pp. 389–416. doi:10.1111/j.1540-6261.1968.tb00815.x

Measures the performance of mutual funds by the alpha of a regression against the market; most funds do not beat the market.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Stock picking: why individual stocks are so hard to get right · Metrics methodology: how Portfolio Lab measures return and risk

Jensen et al. (2023) · Is There a Replication Crisis in Finance?

Jensen, Theis Ingerslev; Kelly, Bryan; Pedersen, Lasse Heje. The Journal of Finance 78 (5), pp. 2465–2518. doi:10.1111/jofi.13249

Bayesian model of replication with 153 factors in 93 countries: most factors can be rebuilt (82.4% for the CAPM alpha), cluster into 13 themes and work out of sample.

Cited in: Glossary: Replication crisis

Jiang et al. (2012) · Hedge Funds and Chapter 11

Jiang, Wei; Li, Kai; Wang, Wei. The Journal of Finance 67 (2), pp. 513–560. doi:10.1111/j.1540-6261.2012.01724.x

Hedge funds choose positions in the capital structure strategically in Chapter 11; as unsecured creditors they strengthen those creditors' bargaining power, and as secured creditors they increase the chance that the firm continues as a going concern.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises · Glossary: Loan-to-own

Jin et al. (2021) · Swing Pricing and Fragility in Open-End Mutual Funds

Jin, Dunhong; Kacperczyk, Marcin; Kahraman, Bige; Suntheim, Felix. The Review of Financial Studies 35 (1), pp. 1–50. doi:10.1093/rfs/hhab022

Swing pricing in UK bond funds removes the first-mover advantage and reduces outflows in periods of stress.

Cited in: Index providers and valuation points: why the same index is calculated differently · Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds · Glossary: Swing pricing

Johansen, Sornette and Ledoit (1999) · Predicting financial crashes using discrete scale invariance

Johansen, Anders; Sornette, Didier; Ledoit, Olivier. The Journal of Risk 1 (4), pp. 5–32. doi:10.21314/JOR.1999.014

Log-periodic signatures before eight crashes from 1929 to 1998 in stock and currency markets.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Discrete scale invariance

Johansen, Ledoit and Sornette (2000) · Crashes as critical points

Johansen, Anders; Ledoit, Olivier; Sornette, Didier. International Journal of Theoretical and Applied Finance 3 (2), pp. 219–255. doi:10.1142/S0219024900000115

The JLS model: a rational bubble with crash risk arising from imitation among noise traders, a hazard rate and log-periodic patterns before crashes.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Bubble indicator (LPPLS): methodology · Glossary: LPPLS model · Glossary: Critical time (tc) · Glossary: Hazard rate

Johnson (2010) · Algorithmic Trading & DMA: An Introduction to Direct Access Trading Strategies

Johnson, Barry. 4Myeloma Press.

An introduction to direct market access and execution algorithms: order types, VWAP, TWAP, percentage of volume, implementation shortfall, liquidity seeking and transaction cost analysis.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: TWAP

Jordà et al. (2019) · The Rate of Return on Everything, 1870–2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; Schularick, Moritz; Taylor, Alan M.. The Quarterly Journal of Economics 134 (3), pp. 1225–1298. doi:10.1093/qje/qjz012

Total returns on equities, housing, bonds and bills in 16 advanced economies since 1870: housing and equities delivered similar real returns of about 7% a year, with housing far less volatile.

Cited in: Real estate as an investment: rental property, REITs, open-end funds and private real estate

Jorion (1986) · Bayes-Stein Estimation for Portfolio Analysis

Jorion, Philippe. The Journal of Financial and Quantitative Analysis 21 (3). doi:10.2307/2331042

In simulations, an empirical Bayes-Stein estimator of expected returns clearly beats the simple sample mean for portfolio selection.

Cited in: Michaud resampled optimization: more stable portfolio weights through simulation · Glossary: Bayes-Stein estimator

Jorion (1994) · Mean/Variance Analysis of Currency Overlays

Jorion, Philippe. Financial Analysts Journal 50 (3), pp. 48–56. doi:10.2469/faj.v50.n3.48

A separately managed currency overlay is inherently suboptimal because it ignores the relationship between assets and exchange rates; historically, the efficiency loss was about 40 basis points for equity portfolios.

Cited in: Overlay management with futures: beta, duration and currency overlays, contract numbers and liquidity needs

Journal article details checked via Crossref. The articles paraphrase the key findings; verbatim quotes are short and checked against the original.