This section features new and noteworthy publications on topics related to quantitative finance by Jacobs Levy Center advisory board members, corporate members, and others involved with the Center. Explore recent working papers by Wharton and Penn faculty and students here.
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
Bruce I. Jacobs and Kenneth N. Levy (Working Paper, updated February 19, 2021)
The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from The Journal of Portfolio Management, Volume Four
Edited by Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy (November 2019, Pageant Media)
Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes
Bruce I. Jacobs (McGraw Hill, 2018)
The existence and persistence of financial anomalies: What have you done for me lately?
John Guerard and Harry Markowitz, Financial Planning Review (December 2018)
Earnings forecasting in a global stock selection model and efficient portfolio construction and management
John Guerard, Harry Markowitz, and GanLinXu, International Journal of Forecasting (April–June 2015)