Research

Andrew Ang

From Academic Insight to Investor Edge

Research

Andrew Ang

From Academic Insight to Investor Edge

research

Agentic AI Investing Papers

  • 2026

Ang, Andrew, Nazym Azimbayev, and Andrey Kim. 2026. “The Self-Driving Portfolio: Agentic Architecture for Institutional Asset Management.” Working Paper.

  • 2025

Azimbayev, Nazym, Andrey Kim, Zhassulan Ospanov, and Andrew Ang. 2025. “Investing in AI for Investing: Lessons from Autonomous Driving for Investment Firms.” Altbridge Working Paper.

Alpha Strategies Papers

  • 2026

Renshaw, Tony, Yurong Gu, Matt Candar, and Andrew Ang. 2026. Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time. Working Paper.

  • 2025

Azimbayev, Nazym, Andrey Kim, Zhassulan Ospanov, and Andrew Ang. 2025. “Investing in AI for Investing: Lessons from Autonomous Driving for Investment Firms.” Altbridge Working Paper.

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2024

Ang, Andrew, Gerald T. Garvey, and K. Schwaiger. 2024. “A Systematic Approach to Sustainable and ESG Investing.” Working Paper.

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “Attribution of Portfolios with Climate-Related Signals.” in Investment Innovations Toward Achieving Net Zero, CFA Institute, pp. 116-132.

  • 2024

Zhang, Chi, Xinyang Li, Andrea Tamoni, and Misha van Beek. 2024. “ESG Risk and Returns Implied by Demand-Based Asset Pricing Models.” Journal of Asset Management 25: 203-221.  

  • 2022

Schwaiger, Katharina, Jim Snow, Viktoria-Sophie Wendt, and Andrew Ang. 2022. “Active Paris Aligned Equity Investing.” In Jurczenko, Emmanuel, ed. Climate Investing: New Strategies and Implementation Challenges. ISTE Wiley, pp. 123-140.

  • 2021

Kazdin, Joshua, Katharina Schwaiger, Viktoria-Sophie Wendt, and Andrew Ang. 2021. “Climate Alpha with Predictors also Improving Firm Efficiency.” Journal of Impact and ESG Investing 2 (2): 35-56.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models.” Journal of Portfolio Management 46 (5): 90-103.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Toward ESG Alpha: Analyzing ESG Exposures Through a Factor Lens,” Financial Analysts Journal 77 (1): 69-88.

  • 2018

Ang, Andrew, Ked Hogan, and Justin Peterson. 2018. “Is it Time to Tilt? Exploring a Fundamental Question in Factor Investing.” Investments & Wealth Monitor, January/February, 40-45.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Estimating Time-Varying Factor Exposures.” Financial Analysts Journal 73 (4): 41-54.

  • 2017

Hodges, Philip, Ked Hogan, Justin Peterson, and Andrew Ang. 2017. “Factor Timing with Cross-Sectional and Time-Series Predictors.” Journal of Portfolio Management 44 (1): 30-43.

  • 2014

An, Byeong-Je , Andrew Ang, Turan Bali, and Nusret Cakici. 2014. “The Joint Cross Section of Stock and Option Returns.” Journal of Finance 69 (5): 2279-2337.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2013

Ang, Andrew, Assaf Shtauber and Paul C. Tetlock. 2013. “Asset Pricing in the Dark: The Cross Section of OTC Stocks,” Review of Financial Studies 26 (12): 2985-3028.

  • 2012

Ang, Andrew, Marie Brière, and Ombretta Signori. 2012. “Inflation and Individual Equities,” Financial Analysts Journal 68 (4): 36-55.

  • 2012

Ang, Andrew, and Dennis Kristensen. 2012. “Testing Conditional Factor Models.” Journal of Financial Economics 106 (1): 132-156.

  • 2009

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.” Journal of Financial Economics 91 (1): 1-23.

  • 2006

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Risk.” Review of Financial Studies 19 (4): 1191-1239. 

  • 2002

Ang, Andrew, and Joseph S. Chen. 2002. “Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63 (3): 443-494.

  • 2001

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Correlation and Expected Stock Returns.” Manuscript.

Asset Allocation

  • 2026

Ang, Andrew, Nazym Azimbayev, and Andrey Kim. 2026. “The Self-Driving Portfolio: Agentic Architecture for Institutional Asset Management.” Working Paper.

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2025

Dufour, Taylor, He Ren, Andrew Ang, Filip Mena-Berlin, Mateo Gomez, and Katharina Schwaiger. 2025. “Paris Aligned Commodities.” In Evolving Practices in Public Investment Management: Proceedings of the Ninth Public Investors Conference, Bank of International Settlements, pp. 27-42.

  • 2025

Azimbayev, Nazym, Andrey Kim, Zhassulan Ospanov, and Andrew Ang. 2025. “Investing in AI for Investing: Lessons from Autonomous Driving for Investment Firms.” Altbridge Working Paper.

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2025

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Journal of Investing. DOI: 10.3905/joi.2025.1.365

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “ESG Return Positioning Attribution via Shapley Values.” Working Paper.

  • 2024

Ang, Andrew, Henry Shen, Jeff Shen, and Rui Zhao. 2024. “Optimal Portfolio Choice with Absorbing State Markov Chains: Application to Markets that May Potentially Decouple.” Journal of Investment Management 22 (2): 4-24.

  • 2024

Paul, Alyson, Bart Sikora, Mehul Rawal, Susan Wasserman, and Andrew Ang. 2024. “Modeling Models: Factor and Risk Decompositions of Model Advisor Portfolios.” Journal of Portfolio Management 50 (3): 174-190.

  • 2023

Ang, Andrew, Tom Morris, and Raffaele Savi. 2023. “Asset Allocation with Crypto: Application of Preferences for Positive Skewness.” Journal of Alternative Investments, 25 (4): 7-28.

  • 2023

Diamond, Steven, Stephen Boyd, David Greenberg, Mykel J. Kochenderfer, and Andrew Ang. 2023. “Optimal Claiming of Social Security Benefits.” Journal of Retirement 10 (3): 33-46.

  • 2022

Ang, Andrew, Calvin Yu, Sarah Siwinski, and He Ren. 2022. “Public Pension Portfolios in a World of Low Rates and Low Risk Premiums.” Journal of Investment Consulting 21 (1): 30-44.

  • 2022

Hodges, Philip, He Ren, Katharina Schwaiger, and Andrew Ang. 2022. “Net Zero Investing for Multi-Asset Portfolios Satisfying Paris Aligned Benchmark Requirements with Climate Alpha Signals.” Journal of Portfolio Management 48 (4): 33-58.

  • 2021

Ang, Andrew, Linxi Chen, Michael Gates, and Paul D. Henderson. 2021. “Index + Factors + Alpha.” Financial Analysts Journal 77 (4): 45-64.

  • 2021

Ang, Andrew, Fabrizio Coiai, Paul Henderson, and Anita Rana. 2021.“Optimal Currency Allocation to Add Alpha and Reduce Risk.” Manuscript.

  • 2021

Ang, Andrew, Ananth Madhavan, and Jason Ribando. 2021. “How Many Active Funds Should You Hold?” Manuscript.

  • 2021

Gladstone, Scott, Ananth Madhavan, Anita Rana, and Andrew Ang. 2021. “Macro Factor Model: Application to Liquid Private Portfolios.” Journal of Portfolio Management 47 (5): 72-90.

  • 2020

Ang, Andrew. 2020. “Including Factor Investing in Portfolio Design.” Journal of Investment Consulting, 20, 1, 4-11.

  • 2020

Ang, Andrew, David Chua, Katelyn Gallagher, and Stephen Hull. 2020. “BlackRock: Reserves Management with Factors and Reference Portfolios.” In Bjorheim, Jacob, ed. Asset Management at Central Banks and Monetary Authorities: New Practices in Managing International Foreign Exchange Reserves. Springer, pp. 459-484.

  • 2020

Lawler, Brian, Brett M. Mossman, Patrick Nolan, and Andrew Ang. 2020. “Factors and Advisors Portfolios.”Journal of Wealth Management 22 (4): 37-61. B78

  • 2019

Basu, Debarshi, Michael Gates, Vishal Karir, and Andrew Ang. 2019. “Model Portfolios.” Journal of Wealth Management 21 (4): 46-63.

  • 2018

Ang, Andrew, Andrés Ayala and William N. Goetzmann. 2018. “Investment Beliefs of Endowments.” European Financial Management 24 (1): 3-33. Funded by Netspar.

  • 2018

Ang, Andrew, Jia Liu, and He Ren. 2018. “Factor Investing.” In Peng, Wu, Wallace Yu, and Li Yue, eds. Discover the Frontier of Asset Management: Risk Parity Quantitative Investment. CITIC Press Group, pp. 209-256.

  • 2018

Ang, Andrew, and Sara Shores. 2018. “Quantifying Intuition: The Evolution of Factor-Based Investing.” In Factor Investing Focus: Leveraging Insights to Improve Performance, European Pensions, pp. 30-32.

  • 2018

Ang, Andrew, Sara Shores, and Bob Bass with Di Sanborn, Kristin Fergis, and Katelyn Gallagher, 2018. “Strategic Factor Allocation: Applying Factors in Portfolio Design.” Risk & Rewards, Society of Actuaries 72: 1-13.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2017

William N. Goetzmann, Olav Sorenson, and Andrew Ang. 2017. “Norway’s Pension Fund Global.” Sage Business Cases. https://doi.org/10.4135/9781526406828

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

  • 2015

An, Byeong-Je, Andrew Ang, and Pierre Collin-Dufresne. 2015. “How Often Should You Take Tactical Asset Allocation Decisions?” Manuscript.

  • 2015

Ang, Andrew, and Bruce Usher. 2015. “Stanford Dumps Coal.” Columbia CaseWorks 150307.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2014

Ang, Andrew, Amit Goyal, and Antti Ilmanen. 2014. “Asset Allocation and Bad Habits.” Rotman International Journal of Pension Management 7 (2): 16-26.

  • 2013

Ang, Andrew, Bingxu Chen, and Suresh M. Sundaresan. 2013. “Liability Driven Investment with Downside Risk.” Journal of Portfolio Management 40 (1): 71-87.

  • 2012

Ang, Andrew. 2012. “The Four Benchmarks of Sovereign Wealth Funds.” In Bolton, Patrick, Frederic Samama, and Joseph E. Stiglitz, eds. Sovereign Wealth Funds and Long-Term Investing, Columbia University Press, pp. 94-105. Reprinted in Ang, Andrew, 2011. Business & Management Journal, 1, 4.

  • 2012

Ang, Andrew, and Allan Timmermann. 2012. “Regime Changes and Financial Markets.” Annual Review of Financial Economics 4: 313-337. 

  • 2012

Ang, Andrew, 2012. “Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board.” Columbia CaseWorks 120302.

  • 2012

Abrams, Jeremy, and Andrew Ang. 2012. “California Dreamin’: The Mess at CalPERS.” Columbia CaseWorks 120306.

  • 2011

Ang, Andrew. 2011. “Illiquid Assets.” CFA Institute Conference Proceedings Quarterly, 28, 4, 12-22.

  • 2011

Ang, Andrew, and Knut N. Kjaer. 2011. “Investing for the Long Run.” In Franzen, Tomas, ed. A Decade of Challenges – A Collection of Essays on Pensions and Investments, Andra AP-fonden, Second Swedish National Pension Fund – AP2, pp. 94-111.

  • 2011

Ang, Andrew. 2011. “Stay the Course? Portfolio Advice in the Face of Large Losses.” Columbia CaseWorks ID#110309.

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2010

Ang, Andrew. 2010. “Liquidating Harvard.” Columbia CaseWorks 100312.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2005

Ang, Andrew, Geert Bekaert, and Jun Liu. 2005. “Why Stocks May Disappoint.” Journal of Financial Economics 76 (3): 471-508.

  • 2004

Ang, Andrew, and Geert Bekaert. 2004. “How do Regimes Affect Asset Allocation?” Financial Analysts Journal 60 (2): 86-99. Funded by INQUIRE Europe.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “International Asset Allocation with Regime Shifts.” Review of Financial Studies 15 (4): 1137-1187.

Case Studies

  • 2017

William N. Goetzmann, Olav Sorenson, and Andrew Ang. 2017. “Norway’s Pension Fund Global.” Sage Business Cases. https://doi.org/10.4135/9781526406828

  • 2015

Ang, Andrew, and Bruce Usher. 2015. “Stanford Dumps Coal.” Columbia CaseWorks 150307.

  • 2013

Ang, Andrew. 2013. “Saving Public Pensions: Rhode Island Pension Reform.” Columbia CaseWorks 120313.

  • 2012

Ang, Andrew. 2012. “GM Asset Management and Martingale’s Low Volatility Strategy.” Columbia CaseWorks 120302.

  • 2012

Ang, Andrew, 2012. “Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board.” Columbia CaseWorks 120302.

  • 2012

Abrams, Jeremy, and Andrew Ang. 2012. “California Dreamin’: The Mess at CalPERS.” Columbia CaseWorks 120306.

  • 2011

Ang, Andrew. 2011. “Who Watches the Watchman? New York State Common Retirement Fund.” Columbia CaseWorks 110307.

  • 2011

Ang, Andrew, Lynne Sagalyn, and Rona Smith. 2011. “Is Real Estate Real?” Columbia CaseWorks 111704.

  • 2011

Ang, Andrew. 2011. “Stay the Course? Portfolio Advice in the Face of Large Losses.” Columbia CaseWorks ID#110309.

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2010

Ang, Andrew. 2010. “Liquidating Harvard.” Columbia CaseWorks 100312.

  • 2008

Ang, Andrew. 2008. “The Norwegian Government Pension Fund: The Divesiture of Wal-Mart Stores Inc.” Columbia CaseWorks 080301.

  • 2008

Ang, Andrew. 2008. “The Quant Meldown: August 2007.” Columbia CaseWorks 080317.

Crypto

  • 2023

Ang, Andrew, Tom Morris, and Raffaele Savi. 2023. “Asset Allocation with Crypto: Application of Preferences for Positive Skewness.” Journal of Alternative Investments, 25 (4): 7-28.

Equities

  • 2026

Ang, Andrew. 2026. “Uncle Sam’s Cut: A Century of the Federal Tax Drag on US Equity Returns.” Working Paper.

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2025

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Journal of Investing. DOI: 10.3905/joi.2025.1.365

  • 2024

Ang, Andrew, Gerald T. Garvey, and K. Schwaiger. 2024. “A Systematic Approach to Sustainable and ESG Investing.” Working Paper.

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “ESG Return Positioning Attribution via Shapley Values.” Working Paper.

  • 2024

Ang, Andrew, Melissa Brown, Bob Hum, Anthony Renshaw, Katharina Schwaiger, Hamish Seegopaul, Arun Singhal, and Lukas Smart. 2024. “How Do Low Tracking Error, Multifactor ETFs Fit Into the Factor Investment Landscape?” Journal of Beta Investment Strategies 15 (1): 28-38.

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “Attribution of Portfolios with Climate-Related Signals.” in Investment Innovations Toward Achieving Net Zero, CFA Institute, pp. 116-132.

  • 2024

Paul, Alyson, Bart Sikora, Mehul Rawal, Susan Wasserman, and Andrew Ang. 2024. “Modeling Models: Factor and Risk Decompositions of Model Advisor Portfolios.” Journal of Portfolio Management 50 (3): 174-190.

  • 2024

Zhang, Chi, Xinyang Li, Andrea Tamoni, and Misha van Beek. 2024. “ESG Risk and Returns Implied by Demand-Based Asset Pricing Models.” Journal of Asset Management 25: 203-221.

  • 2023

Ang, Andrew. 2023. “Trends and Cycles of Style Factors in the 20th and 21st Centuries.” Journal of Portfolio Management 49 (2): 33-56.

  • 2023

Ang, Andrew, Jennifer Bender, Harindra de Silva, and Pim van Vliet. 2023. “Factor Investing Webinar.” Journal of Portfolio Management, DOI: 10.3905/jpm.2023.1.491.

  • 2022

Schwaiger, Katharina, Jim Snow, Viktoria-Sophie Wendt, and Andrew Ang. 2022. “Active Paris Aligned Equity Investing.” In Jurczenko, Emmanuel, ed. Climate Investing: New Strategies and Implementation Challenges. ISTE Wiley, pp. 123-140.

  • 2021

Kazdin, Joshua, Katharina Schwaiger, Viktoria-Sophie Wendt, and Andrew Ang. 2021. “Climate Alpha with Predictors also Improving Firm Efficiency.” Journal of Impact and ESG Investing 2 (2): 35-56.

  • 2021

Kimura, Keiko, Katharina Schwaiger, Deepika Sharma, and Andrew Ang. 2021. “Factors with Style.” Journal of Investing 30 (3): 21-46.

  • 2021

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2021. “What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities.” Journal of Investment Management 18 (4): 1-26.

  • 2021

Moehle, Nicholas , Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

  • 2020

Chan, Ying, Ked Hogan, Katharina Schwaiger, and Andrew Ang. 2020. “ESG in Factors.” Journal of Impact and ESG Investing 1 (1): 26-45.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models.” Journal of Portfolio Management 46 (5): 90-103.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Toward ESG Alpha: Analyzing ESG Exposures Through a Factor Lens,” Financial Analysts Journal 77 (1): 69-88.

  • 2019

Basu, Debarshi, Michael Gates, Vishal Karir, and Andrew Ang. 2019. “Model Portfolios.” Journal of Wealth Management 21 (4): 46-63.

  • 2018

Ang, Andrew, Ked Hogan, and Justin Peterson. 2018. “Is it Time to Tilt? Exploring a Fundamental Question in Factor Investing.” Investments & Wealth Monitor, January/February, 40-45.

  • 2018

Ang, Andrew, and Sara Shores. 2018. “Quantifying Intuition: The Evolution of Factor-Based Investing.” In Factor Investing Focus: Leveraging Insights to Improve Performance, European Pensions, pp. 30-32.

  • 2018

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes.” Journal of Portfolio Management, 44 (4): 46-59. Reprinted Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. Journal of Index Investing 9 (2): 66-79.

  • 2017

Ang, Andrew, Ked Hogan and Sara Shores. 2017. “Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors.” Journal of Asset Management, 19 (3): 145-155.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Estimating Time-Varying Factor Exposures.” Financial Analysts Journal 73 (4): 41-54.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Crowding, Capacity, and Valuation of Minimum Volatility Strategies.” Journal of Index Investing 7 (4): 41-50.

  • 2017

Hodges, Philip, Ked Hogan, Justin Peterson, and Andrew Ang. 2017. “Factor Timing with Cross-Sectional and Time-Series Predictors.” Journal of Portfolio Management 44 (1): 30-43.

  • 2017

Ratcliffe, Ronald, Paolo Miranda, and Andrew Ang. 2017. “Capacity of Smart Beta Strategies from a Transaction Cost Perspective.” Journal of Index Investing 8 (3): 39-50.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2013

Ang, Andrew, Neil Nabar, and Samuel Wald. 2013. “Searching for a Common Factor in Public and Private Real Estate Returns.” Journal of Portfolio Management 39 (5): 120-133.

  • 2013

Ang, Andrew, Assaf Shtauber and Paul C. Tetlock. 2013. “Asset Pricing in the Dark: The Cross Section of OTC Stocks,” Review of Financial Studies 26 (12): 2985-3028.

  • 2012

Ang, Andrew. 2012. “Predicting Dividends in Log-Linear Present Value Models.” Pacific-Basin Finance Journal 20 (1): 151-171.

  • 2012

Ang, Andrew, Marie Brière, and Ombretta Signori. 2012. “Inflation and Individual Equities,” Financial Analysts Journal 68 (4): 36-55.

  • 2012

Ang, Andrew, and Dennis Kristensen. 2012. “Testing Conditional Factor Models.” Journal of Financial Economics 106 (1): 132-156.

  • 2012

Ang, Andrew, and Allan Timmermann. 2012. “Regime Changes and Financial Markets.” Annual Review of Financial Economics 4: 313-337.

  • 2012

Ang, Andrew, and Maxim Ulrich. 2012. “Nominal Bonds, Real Bonds, and Equity.” Manuscript.

  • 2012

Ang, Andrew. 2012. “GM Asset Management and Martingale’s Low Volatility Strategy.” Columbia CaseWorks 120302.

  • 2011

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer. 2011. “The Efficient Market Theory and Evidence: Implications for Active Investment Management.” Foundations and Trends in Finance 5 (3): 157-242.

  • 2011

Ang, Andrew, and Xiaoyan Zhang. 2011. “Price-Earnings Ratios: Growth and Discount Rates.” In Hammond, P. Brett Jr., Martin L. Leibowitz, and Laurence B. Siegel, eds. Rethinking the Equity Risk Premium, Research Foundation of the CFA Institute, pp. 130-142.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2009

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.” Journal of Financial Economics 91 (1): 1-23.

  • 2008

Ang, Andrew. 2008. “The Quant Meldown: August 2007.” Columbia CaseWorks 080317.

  • 2007

Ang, Andrew, and Geert Bekaert. 2007. “Stock Return Predictability: Is it There?” Review of Financial Studies 20 (3): 651-707.

  • 2007

Ang, Andrew, Li Gu, and Yael V. Hochberg. 2007. “Is IPO Underperformance a Peso Problem?” Journal of Financial and Quantitative Analysis 42 (3): 565-594.

  • 2007

Ang, Andrew, and Jun Liu. 2007. “Risk, Return and Dividends.” Journal of Financial Economics 85 (1): 1-38.

  • 2006

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Risk.” Review of Financial Studies 19 (4): 1191-1239.

  • 2006

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns,” Journal of Finance, 51 (1): 259-299.

  • 2005

Ang, Andrew, and Angela Maddaloni. 2005. “Do Demographic Changes Affect Risk Premiums? Evidence from International Data.” Journal of Business 78 (1): 341-380.

  • 2004

Ang, Andrew, and Jun Liu. 2004. “How to Discount Cashflows with Time-Varying Expected Returns.” Journal of Finance 59 (6): 2745-2783.

  • 2002

Ang, Andrew, and Joseph S. Chen. 2002. “Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63 (3): 443-494.

  • 2001

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Correlation and Expected Stock Returns.” Manuscript.

  • 2001

Ang, Andrew, and Jun Liu. 2001. “A General Affine Earnings Valuation Model.” Review of Accounting Studies 6: 397-425.

Factor Strategies

  • 2026

Renshaw, Tony, Yurong Gu, Matt Candar, and Andrew Ang. 2026. Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time. Working Paper.

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2024

Ang, Andrew, Gerald T. Garvey, and K. Schwaiger. 2024. “A Systematic Approach to Sustainable and ESG Investing.” Working Paper.

  • 2024

Ang, Andrew, Melissa Brown, Bob Hum, Anthony Renshaw, Katharina Schwaiger, Hamish Seegopaul, Arun Singhal, and Lukas Smart. 2024. “How Do Low Tracking Error, Multifactor ETFs Fit Into the Factor Investment Landscape?” Journal of Beta Investment Strategies 15 (1): 28-38.

  • 2023

Ang, Andrew. 2023. “Trends and Cycles of Style Factors in the 20th and 21st Centuries.” Journal of Portfolio Management 49 (2): 33-56.

  • 2023

Ang, Andrew, Jennifer Bender, Harindra de Silva, and Pim van Vliet. 2023. “Factor Investing Webinar.” Journal of Portfolio Management, DOI: 10.3905/jpm.2023.1.491.

  • 2022

Pauksta, Eugene, Karishma Kaul, Tom Parker, Scott Radell. and Andrew Ang. 2022. “Investing in US Core Fixed Income with Macro and Style Factors.” Journal of Portfolio Management 48 (2): 45-65.

  • 2022

Schwaiger, Katharina, Jim Snow, Viktoria-Sophie Wendt, and Andrew Ang. 2022. “Active Paris Aligned Equity Investing.” In Jurczenko, Emmanuel, ed. Climate Investing: New Strategies and Implementation Challenges. ISTE Wiley, pp. 123-140.

  • 2021

Kimura, Keiko, Katharina Schwaiger, Deepika Sharma, and Andrew Ang. 2021. “Factors with Style.” Journal of Investing 30 (3): 21-46.

  • 2021

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2021. “What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities.” Journal of Investment Management 18 (4): 1-26.

  • 2020

Chan, Ying, Ked Hogan, Katharina Schwaiger, and Andrew Ang. 2020. “ESG in Factors.” Journal of Impact and ESG Investing 1 (1): 26-45.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models.” Journal of Portfolio Management 46 (5): 90-103.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Toward ESG Alpha: Analyzing ESG Exposures Through a Factor Lens,” Financial Analysts Journal 77 (1): 69-88.

  • 2020

Vaidyanathan, Vijay, Himanshu Monty Joshi, Daniel Mantilla Garcia, Andrew Ang, and Helmut Hissen. 2020. United States Patent US 10,706,473. USPTO. Issued July 7, 2020.

  • 2019

Basu, Debarshi, Michael Gates, Vishal Karir, and Andrew Ang. 2019. “Model Portfolios.” Journal of Wealth Management 21 (4): 46-63.

  • 2018

Ang, Andrew, Ked Hogan, and Justin Peterson. 2018. “Is it Time to Tilt? Exploring a Fundamental Question in Factor Investing.” Investments & Wealth Monitor, January/February, 40-45.

  • 2018

Ang, Andrew, Jia Liu, and He Ren. 2018. “Factor Investing.” In Peng, Wu, Wallace Yu, and Li Yue, eds. Discover the Frontier of Asset Management: Risk Parity Quantitative Investment. CITIC Press Group, pp. 209-256.

  • 2018

Ang, Andrew, and Sara Shores. 2018. “Quantifying Intuition: The Evolution of Factor-Based Investing.” In Factor Investing Focus: Leveraging Insights to Improve Performance, European Pensions, pp. 30-32.

  • 2018

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes.” Journal of Portfolio Management, 44 (4): 46-59. Reprinted Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. Journal of Index Investing 9 (2): 66-79.

  • 2017

Ang, Andrew, Ked Hogan and Sara Shores. 2017. “Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors.” Journal of Asset Management, 19 (3): 145-155.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Estimating Time-Varying Factor Exposures.” Financial Analysts Journal 73 (4): 41-54.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Crowding, Capacity, and Valuation of Minimum Volatility Strategies.” Journal of Index Investing 7 (4): 41-50.

  • 2017

Hodges, Philip, Ked Hogan, Justin Peterson, and Andrew Ang. 2017. “Factor Timing with Cross-Sectional and Time-Series Predictors.” Journal of Portfolio Management 44 (1): 30-43.

  • 2017

Ratcliffe, Ronald, Paolo Miranda, and Andrew Ang. 2017. “Capacity of Smart Beta Strategies from a Transaction Cost Perspective.” Journal of Index Investing 8 (3): 39-50.

  • 2016

Ang, Andrew. 2016. “Factor Investing: More than Simply Investing in Factors.” In Lussier, Jacques, ed. Portfolio Structuring and the Value of Forecasting, Research Foundation Review, CFA Research Foundation Institute.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2013

Ang, Andrew, Assaf Shtauber and Paul C. Tetlock. 2013. “Asset Pricing in the Dark: The Cross Section of OTC Stocks,” Review of Financial Studies 26 (12): 2985-3028.

  • 2012

Ang, Andrew, Marie Brière, and Ombretta Signori. 2012. “Inflation and Individual Equities,” Financial Analysts Journal 68 (4): 36-55.

  • 2012

Ang, Andrew, and Dennis Kristensen. 2012. “Testing Conditional Factor Models.” Journal of Financial Economics 106 (1): 132-156.

  • 2012

Ang, Andrew. 2012. “GM Asset Management and Martingale’s Low Volatility Strategy.” Columbia CaseWorks 120302.

  • 2012

Ang, Andrew, 2012. “Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board.” Columbia CaseWorks 120302.

  • 2011

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer. 2011. “The Efficient Market Theory and Evidence: Implications for Active Investment Management.” Foundations and Trends in Finance 5 (3): 157-242.

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2009

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.” Journal of Financial Economics 91 (1): 1-23.

  • 2008

Ang, Andrew. 2008. “The Quant Meldown: August 2007.” Columbia CaseWorks 080317.

  • 2007

Ang, Andrew, and Joseph S. Chen. 2007. “CAPM Over the Long Run: 1926-2001.” Journal of Empirical Finance 14 (1): 1-40.

  • 2006

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Risk.” Review of Financial Studies 19 (4): 1191-1239.

  • 2006

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns,” Journal of Finance, 51 (1): 259-299.

  • 2005

Ang, Andrew, and Angela Maddaloni. 2005. “Do Demographic Changes Affect Risk Premiums? Evidence from International Data.” Journal of Business 78 (1): 341-380.

Fixed Income

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2023

Ang, Andrew, Jennie Bai, and Hao Zhou. 2023. “The Great Wall of Debt: The Cross Section of Chinese Local Government Credit Spreads.” Journal of Finance and Data Science 9, 100098.

  • 2023

Schwaiger, Katharina, Riyadh Ali, and Andrew Ang. 2023. “Net Zero Sovereign Bond Portfolios.” In Evolving Practices in Public Investment Management: Proceedings of the Eighth Public Investors Conference, Bank of International Settlements, pp. 167-184.

  • 2022

Kaul, Karishma, Katharina Schwaiger, Muling Si, and Andrew Ang. 2022. “Sustainable Alpha in Sovereign and Corporate Bonds.” Journal of Investment Management 20 (2): 30-50.

  • 2022

Pauksta, Eugene, Karishma Kaul, Tom Parker, Scott Radell. and Andrew Ang. 2022. “Investing in US Core Fixed Income with Macro and Style Factors.” Journal of Portfolio Management 48 (2): 45-65.

  • 2017

Ang, Andrew, Richard C. Green, Francis A. Longstaff, and Yuhang Xing. 2017. “Advance Refundings of Municipal Bonds.” Journal of Finance 72 (4): 1645-1682.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew. 2014. “Risk and Information in the Municipal Bond Market.” NBER Reporter, 3, 9-11.

  • 2014

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2014. “The Muni Bond Spread: Credit, Illiquidity, and Tax.” Manuscript.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2013

Ang, Andrew, and Richard C. Green. 2013. “Lowering Borrowing Costs for States and Municipalities Through CommonMuni.” Municipal Finance Journal 34 (3): 43-94. Also published as Discussion Paper 2011-01, The Hamilton Project, Brookings Institution. Funded by The Hamilton Project.

  • 2013

Ang, Andrew, and Francis A. Longstaff. 2013. “Systemic Sovereign Default Risk: Lessons from the U.S. and Europe.” Journal of Monetary Economics, 60 (5): 493-510.

  • 2012

Ang, Andrew, and Allan Timmermann. 2012. “Regime Changes and Financial Markets.” Annual Review of Financial Economics 4: 313-337.

  • 2012

Ang, Andrew, and Maxim Ulrich. 2012. “Nominal Bonds, Real Bonds, and Equity.” Manuscript.

  • 2011

Ang, Andrew, Jean Boivin, Sen Dong, and Rudy Loo-Kung. 2011. “Monetary Policy Shifts and the Term Structure.” Review of Economic Studies 78 (2): 429-457.

  • 2011

Ang, Andrew, and Joseph S. Chen. 2011. “Yield Curve Predictors of Foreign Exchange Returns.” Manuscript

  • 2011

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer. 2011. “The Efficient Market Theory and Evidence: Implications for Active Investment Management.” Foundations and Trends in Finance 5 (3): 157-242.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income 20 (1): 67-73.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Taxes on Tax-Exempt Bonds.” Journal of Finance 65 (2): 565-601.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2008

Ang, Andrew, Geert Bekaert, and Min Wei. 2008. “The Term Structure of Real Rates and Expected Inflation.” Journal of Finance 63 (2): 797-849.

  • 2007

Ang, Andrew, Geert Bekaert, and Min Wei. 2007. “Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?” Journal of Monetary Economics 54 (4): 1163-1212.

  • 2007

Ang, Andrew, Sen Dong and Monika Piazzesi. 2007. “No-Arbitrage Taylor Rules.” Manuscript.

  • 2006

Ang, Andrew, Monika Piazzesi, and Min Wei. 2006, “What Does the Yield Curve Tell us about GDP Growth?” Journal of Econometrics 131 (1-2): 359-403.

  • 2003

Ang, Andrew, and Monika Piazzesi. 2003. “A No-Arbitrage Vector-Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50 (4): 745-787.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Regime Switches in Interest Rates.” Journal of Business and Economic Statistics 20 (2): 163-182.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Short Rate Nonlinearities and Regime Switches.” Journal of Economic Dynamics and Control 26 (7-8): 1243-1274.

  • 1997

Ang, Andrew, and Michael Sherris. 1997. “Interest Rate Risk Management.” North American Actuarial Journal 1 (2): 1-26.

  • 1995

Ang, Andrew. 1995. “Prepayment Penalties – Why MBS Investors Demand a Premium.” JASSA (Journal of the Securities Institute of Australia) 4: 26-29.

Foreign Exchange

  • 2021

Ang, Andrew, Fabrizio Coiai, Paul Henderson, and Anita Rana. 2021.“Optimal Currency Allocation to Add Alpha and Reduce Risk.” Manuscript.

  • 2011

Ang, Andrew, and Joseph S. Chen. 2011. “Yield Curve Predictors of Foreign Exchange Returns.” Manuscript

Hedge Funds

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2018

Ang, Andrew, Andrés Ayala and William N. Goetzmann. 2018. “Investment Beliefs of Endowments.” European Financial Management 24 (1): 3-33. Funded by Netspar.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Dimitris Papanikolaou, and Mark M. Westerfield. 2014. “Portfolio Choice with Illiquid Assets.” Management Science 60 (11): 2737-2761.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “Locked Up by a Lockup: Valuing Liquidity as a Real Option,” Financial Management 39 (3): 1069-1095.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “When Hedge Funds Block the Exits.”

  • 2008

Ang, Andrew, Matthew Rhodes-Kropf, and Rui Zhao. 2008. “Do Funds-of-Funds Deserve Their Fees-on-Fees?” Journal of Investment Management 6 (4): 34-58.

  • 2006

Ang, Andrew, Matthew Rhodes-Kropf, and Rui Zhao. 2006. “A New Measure for Measuring.” Institutional Investor’s Alpha, July/August, 40-45. Funded by the BSI GAMMA Foundation.

Macro

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2024

Ang, Andrew, Henry Shen, Jeff Shen, and Rui Zhao. 2024. “Optimal Portfolio Choice with Absorbing State Markov Chains: Application to Markets that May Potentially Decouple.” Journal of Investment Management 22 (2): 4-24.

  • 2023

Ang, Andrew, Jennie Bai, and Hao Zhou. 2023. “The Great Wall of Debt: The Cross Section of Chinese Local Government Credit Spreads.” Journal of Finance and Data Science 9, 100098.

  • 2022

Pauksta, Eugene, Karishma Kaul, Tom Parker, Scott Radell. and Andrew Ang. 2022. “Investing in US Core Fixed Income with Macro and Style Factors.” Journal of Portfolio Management 48 (2): 45-65.

  • 2021

Gladstone, Scott, Ananth Madhavan, Anita Rana, and Andrew Ang. 2021. “Macro Factor Model: Application to Liquid Private Portfolios.” Journal of Portfolio Management 47 (5): 72-90.

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2013

Ang, Andrew, and Francis A. Longstaff. 2013. “Systemic Sovereign Default Risk: Lessons from the U.S. and Europe.” Journal of Monetary Economics, 60 (5): 493-510.

  • 2012

Ang, Andrew, and Allan Timmermann. 2012. “Regime Changes and Financial Markets.” Annual Review of Financial Economics 4: 313-337.

  • 2011

Ang, Andrew, Jean Boivin, Sen Dong, and Rudy Loo-Kung. 2011. “Monetary Policy Shifts and the Term Structure.” Review of Economic Studies 78 (2): 429-457.

  • 2011

Ang, Andrew, and Joseph S. Chen. 2011. “Yield Curve Predictors of Foreign Exchange Returns.” Manuscript

  • 2008

Ang, Andrew, Geert Bekaert, and Min Wei. 2008. “The Term Structure of Real Rates and Expected Inflation.” Journal of Finance 63 (2): 797-849.

  • 2007

Ang, Andrew, Geert Bekaert, and Min Wei. 2007. “Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?” Journal of Monetary Economics 54 (4): 1163-1212.

  • 2007

Ang, Andrew, Sen Dong and Monika Piazzesi. 2007. “No-Arbitrage Taylor Rules.” Manuscript.

  • 2006

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns,” Journal of Finance, 51 (1): 259-299.

  • 2006

Ang, Andrew, Monika Piazzesi, and Min Wei. 2006, “What Does the Yield Curve Tell us about GDP Growth?” Journal of Econometrics 131 (1-2): 359-403.

  • 2005

Ang, Andrew, and Angela Maddaloni. 2005. “Do Demographic Changes Affect Risk Premiums? Evidence from International Data.” Journal of Business 78 (1): 341-380.

  • 2004

Ang, Andrew, and Geert Bekaert. 2004. “How do Regimes Affect Asset Allocation?” Financial Analysts Journal 60 (2): 86-99. Funded by INQUIRE Europe.

  • 2003

Ang, Andrew, and Monika Piazzesi. 2003. “A No-Arbitrage Vector-Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50 (4): 745-787.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “International Asset Allocation with Regime Shifts.” Review of Financial Studies 15 (4): 1137-1187.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Regime Switches in Interest Rates.” Journal of Business and Economic Statistics 20 (2): 163-182.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Short Rate Nonlinearities and Regime Switches.” Journal of Economic Dynamics and Control 26 (7-8): 1243-1274.

Portfolio Engineering

  • 2026

Ang, Andrew, Nazym Azimbayev, and Andrey Kim. 2026. “The Self-Driving Portfolio: Agentic Architecture for Institutional Asset Management.” Working Paper.

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2025

Azimbayev, Nazym, Andrey Kim, Zhassulan Ospanov, and Andrew Ang. 2025. “Investing in AI for Investing: Lessons from Autonomous Driving for Investment Firms.” Altbridge Working Paper.

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “Attribution of Portfolios with Climate-Related Signals.” in Investment Innovations Toward Achieving Net Zero, CFA Institute, pp. 116-132.

  • 2024

Ang, Andrew, and Ananth Madhavan. 2024. “Filled and Killed: Forecast and Realized Trading Costs Across Horizons from Global Equity and Fixed Income Portfolio Trades.” Journal of Portfolio Management 50 (9): 8-28.

  • 2024

Zhang, Chi, Xinyang Li, Andrea Tamoni, and Misha van Beek. 2024. “ESG Risk and Returns Implied by Demand-Based Asset Pricing Models.” Journal of Asset Management 25: 203-221.

  • 2022

Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.

  • 2021

Ang, Andrew, Linxi Chen, Michael Gates, and Paul D. Henderson. 2021. “Index + Factors + Alpha.” Financial Analysts Journal 77 (4): 45-64.

  • 2021

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2021. “What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities.” Journal of Investment Management 18 (4): 1-26.

  • 2020

Moehle, Nicholas , Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

  • 2020

Ang, Andrew, Jun Liu, and Krista Schwarz. 2020. “Using Stocks or Portfolios in Tests of Factor Models,” Journal of Financial and Quantitative Analysis 55 (3): 709-750. Funded by INQUIRE Europe.

  • 2020

Vaidyanathan, Vijay, Himanshu Monty Joshi, Daniel Mantilla Garcia, Andrew Ang, and Helmut Hissen. 2020. United States Patent US 10,706,473. USPTO. Issued July 7, 2020.

  • 2018

Ang, Andrew, Bingxu Chen, William N. Goetzmann, and Ludovic Phalippou. 2018. “Estimating Private Equity Returns from Limited Partner Cash Flows.” Journal of Finance, 73 (4): 1751-1783.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Estimating Time-Varying Factor Exposures.” Financial Analysts Journal 73 (4): 41-54.

  • 2017

Ang, Andrew, Ked Hogan and Sara Shores. 2017. “Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors.” Journal of Asset Management, 19 (3): 145-155.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2017

Ratcliffe, Ronald, Paolo Miranda, and Andrew Ang. 2017. “Capacity of Smart Beta Strategies from a Transaction Cost Perspective.” Journal of Index Investing 8 (3): 39-50.

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

  • 2015

An, Byeong-Je, Andrew Ang, and Pierre Collin-Dufresne. 2015. “How Often Should You Take Tactical Asset Allocation Decisions?” Manuscript.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Dimitris Papanikolaou, and Mark M. Westerfield. 2014. “Portfolio Choice with Illiquid Assets.” Management Science 60 (11): 2737-2761.

  • 2012

Ang, Andrew, and Dennis Kristensen. 2012. “Testing Conditional Factor Models.” Journal of Financial Economics 106 (1): 132-156.

  • 2012

Abrams, Jeremy, and Andrew Ang. 2012. “California Dreamin’: The Mess at CalPERS.” Columbia CaseWorks 120306.

  • 2011

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer. 2011. “The Efficient Market Theory and Evidence: Implications for Active Investment Management.” Foundations and Trends in Finance 5 (3): 157-242.

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “Locked Up by a Lockup: Valuing Liquidity as a Real Option,” Financial Management 39 (3): 1069-1095.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “When Hedge Funds Block the Exits.”

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance. 

  • 2007

Ang, Andrew, and Jun Liu. 2007. “Risk, Return and Dividends.” Journal of Financial Economics 85 (1): 1-38.

  • 2005

Ang, Andrew, Geert Bekaert, and Jun Liu. 2005. “Why Stocks May Disappoint.” Journal of Financial Economics 76 (3): 471-508.

  • 2004

Ang, Andrew, and Jun Liu. 2004. “How to Discount Cashflows with Time-Varying Expected Returns.” Journal of Finance 59 (6): 2745-2783.

  • 2001

Ang, Andrew, and Jun Liu. 2001. “A General Affine Earnings Valuation Model.” Review of Accounting Studies 6: 397-425.

Private Equity

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2025

Almufti, Ali, Linus Franngard, Scott Gladstone, and Andrew Ang. 2025. “Exit Predictions for Venture Capital Over Different Economic Regimes.” Journal of Alternative Investments, 27 (4), DOI 10.3905/jai.2025.1.235

  • 2021

Gladstone, Scott, Ananth Madhavan, Anita Rana, and Andrew Ang. 2021. “Macro Factor Model: Application to Liquid Private Portfolios.” Journal of Portfolio Management 47 (5): 72-90.

  • 2018

Ang, Andrew, Bingxu Chen, William N. Goetzmann, and Ludovic Phalippou. 2018. “Estimating Private Equity Returns from Limited Partner Cash Flows.” Journal of Finance, 73 (4): 1751-1783.

  • 2018

Ang, Andrew, Andrés Ayala and William N. Goetzmann. 2018. “Investment Beliefs of Endowments.” European Financial Management 24 (1): 3-33. Funded by Netspar.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2014

Ang, Andrew, Dimitris Papanikolaou, and Mark M. Westerfield. 2014. “Portfolio Choice with Illiquid Assets.” Management Science 60 (11): 2737-2761.

  • 2013

Ang, Andrew, and Morten Sorensen. 2013. “Investing in Private Equity.” Alternative Investment Analyst Review 2 (1): 21-31.

  • 2012

Ang, Andrew, and Morten Sorensen. 2012. “Risk, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches.” 2012, Quarterly Journal of Finance 2 (3), DOI: 10.1142/S2010139212500115.

  • 2011

Ang, Andrew. 2011. “Illiquid Assets.” CFA Institute Conference Proceedings Quarterly, 28, 4, 12-22.

Real Estate

  • 2021

Gladstone, Scott, Ananth Madhavan, Anita Rana, and Andrew Ang. 2021. “Macro Factor Model: Application to Liquid Private Portfolios.” Journal of Portfolio Management 47 (5): 72-90.

  • 2018

Ang, Andrew, Andrés Ayala and William N. Goetzmann. 2018. “Investment Beliefs of Endowments.” European Financial Management 24 (1): 3-33. Funded by Netspar.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2014

Ang, Andrew, Dimitris Papanikolaou, and Mark M. Westerfield. 2014. “Portfolio Choice with Illiquid Assets.” Management Science 60 (11): 2737-2761. 

  • 2013

Ang, Andrew, Neil Nabar, and Samuel Wald. 2013. “Searching for a Common Factor in Public and Private Real Estate Returns.” Journal of Portfolio Management 39 (5): 120-133.

  • 2011

Ang, Andrew. 2011. “Illiquid Assets.” CFA Institute Conference Proceedings Quarterly, 28, 4, 12-22.

  • 2011

Ang, Andrew, Lynne Sagalyn, and Rona Smith. 2011. “Is Real Estate Real?” Columbia CaseWorks 111704.

Retirement

  • 2023

Diamond, Steven, Stephen Boyd, David Greenberg, Mykel J. Kochenderfer, and Andrew Ang. 2023. “Optimal Claiming of Social Security Benefits.” Journal of Retirement 10 (3): 33-46.

  • 2022

Ang, Andrew, Calvin Yu, Sarah Siwinski, and He Ren. 2022. “Public Pension Portfolios in a World of Low Rates and Low Risk Premiums.” Journal of Investment Consulting 21 (1): 30-44.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2013

Ang, Andrew, Bingxu Chen, and Suresh M. Sundaresan. 2013. “Liability Driven Investment with Downside Risk.” Journal of Portfolio Management 40 (1): 71-87.

  • 2013

Ang, Andrew. 2013. “Saving Public Pensions: Rhode Island Pension Reform.” Columbia CaseWorks 120313.

  • 2012

Abrams, Jeremy, and Andrew Ang. 2012. “California Dreamin’: The Mess at CalPERS.” Columbia CaseWorks 120306.

  • 2011

Ang, Andrew. 2011. “Who Watches the Watchman? New York State Common Retirement Fund.” Columbia CaseWorks 110307.

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

Sustainable Investing

  • 2025

Dufour, Taylor, He Ren, Andrew Ang, Filip Mena-Berlin, Mateo Gomez, and Katharina Schwaiger. 2025. “Paris Aligned Commodities.” In Evolving Practices in Public Investment Management: Proceedings of the Ninth Public Investors Conference, Bank of International Settlements, pp. 27-42.

  • 2025

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Journal of Investing. DOI: 10.3905/joi.2025.1.365

  • 2024

Ang, Andrew, Gerald T. Garvey, and K. Schwaiger. 2024. “A Systematic Approach to Sustainable and ESG Investing.” Working Paper.

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “ESG Return Positioning Attribution via Shapley Values.” Working Paper.

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “Attribution of Portfolios with Climate-Related Signals.” in Investment Innovations Toward Achieving Net Zero, CFA Institute, pp. 116-132.

  • 2024

Zhang, Chi, Xinyang Li, Andrea Tamoni, and Misha van Beek. 2024. “ESG Risk and Returns Implied by Demand-Based Asset Pricing Models.” Journal of Asset Management 25: 203-221.

  • 2023

Schwaiger, Katharina, Riyadh Ali, and Andrew Ang. 2023. “Net Zero Sovereign Bond Portfolios.” In Evolving Practices in Public Investment Management: Proceedings of the Eighth Public Investors Conference, Bank of International Settlements, pp. 167-184.

  • 2022

Hodges, Philip, He Ren, Katharina Schwaiger, and Andrew Ang. 2022. “Net Zero Investing for Multi-Asset Portfolios Satisfying Paris Aligned Benchmark Requirements with Climate Alpha Signals.” Journal of Portfolio Management 48 (4): 33-58.

  • 2022

Kaul, Karishma, Katharina Schwaiger, Muling Si, and Andrew Ang. 2022. “Sustainable Alpha in Sovereign and Corporate Bonds.” Journal of Investment Management 20 (2): 30-50.

  • 2022

Schwaiger, Katharina, Jim Snow, Viktoria-Sophie Wendt, and Andrew Ang. 2022. “Active Paris Aligned Equity Investing.” In Jurczenko, Emmanuel, ed. Climate Investing: New Strategies and Implementation Challenges. ISTE Wiley, pp. 123-140.

  • 2021

Kazdin, Joshua, Katharina Schwaiger, Viktoria-Sophie Wendt, and Andrew Ang. 2021. “Climate Alpha with Predictors also Improving Firm Efficiency.” Journal of Impact and ESG Investing 2 (2): 35-56.

  • 2020

Chan, Ying, Ked Hogan, Katharina Schwaiger, and Andrew Ang. 2020. “ESG in Factors.” Journal of Impact and ESG Investing 1 (1): 26-45.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Toward ESG Alpha: Analyzing ESG Exposures Through a Factor Lens,” Financial Analysts Journal 77 (1): 69-88.

  • 2015

Ang, Andrew, and Bruce Usher. 2015. “Stanford Dumps Coal.” Columbia CaseWorks 150307.

  • 2008

Ang, Andrew. 2008. “The Norwegian Government Pension Fund: The Divesiture of Wal-Mart Stores Inc.” Columbia CaseWorks 080301.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

Tax Efficient Investing Papers

  • 2026

Ang, Andrew. 2026. “Uncle Sam’s Cut: A Century of the Federal Tax Drag on US Equity Returns.” Working Paper.

  • 2022

Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.

  • 2021

Moehle, Nicholas, Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

  • 2017

Ang, Andrew, Richard C. Green, Francis A. Longstaff, and Yuhang Xing. 2017. “Advance Refundings of Municipal Bonds.” Journal of Finance 72 (4): 1645-1682.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2014. “The Muni Bond Spread: Credit, Illiquidity, and Tax.” Manuscript.

  • 2014

Ang, Andrew. 2014. “Risk and Information in the Municipal Bond Market.” NBER Reporter, 3, 9-11.

  • 2013

Ang, Andrew, and Richard C. Green. 2013. “Lowering Borrowing Costs for States and Municipalities Through CommonMuni.” Municipal Finance Journal 34 (3): 43-94. Also published as Discussion Paper 2011-01, The Hamilton Project, Brookings Institution. Funded by The Hamilton Project.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income 20 (1): 67-73.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Taxes on Tax-Exempt Bonds.” Journal of Finance 65 (2): 565-601.

Papers 2026+

  • 2026

Renshaw, Tony, Yurong Gu, Matt Candar, and Andrew Ang. 2026. Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time. Working Paper.

  • 2026

Ang, Andrew, Nazym Azimbayev, and Andrey Kim. 2026. “The Self-Driving Portfolio: Agentic Architecture for Institutional Asset Management.” Working Paper.

  • 2026

Ang, Andrew. 2026. “Uncle Sam’s Cut: A Century of the Federal Tax Drag on US Equity Returns.” Working Paper.

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

Papers 2021-2025

  • 2025

Dufour, Taylor, He Ren, Andrew Ang, Filip Mena-Berlin, Mateo Gomez, and Katharina Schwaiger. 2025. “Paris Aligned Commodities.” In Evolving Practices in Public Investment Management: Proceedings of the Ninth Public Investors Conference, Bank of International Settlements, pp. 27-42.

  • 2025

Azimbayev, Nazym, Andrey Kim, Zhassulan Ospanov, and Andrew Ang. 2025. “Investing in AI for Investing: Lessons from Autonomous Driving for Investment Firms.” Altbridge Working Paper.

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2025

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Journal of Investing. DOI: 10.3905/joi.2025.1.365

  • 2025

Almufti, Ali, Linus Franngard, Scott Gladstone, and Andrew Ang. 2025. “Exit Predictions for Venture Capital Over Different Economic Regimes.” Journal of Alternative Investments, 27 (4), DOI 10.3905/jai.2025.1.235

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “Attribution of Portfolios with Climate-Related Signals.” in Investment Innovations Toward Achieving Net Zero, CFA Institute, pp. 116-132.

  • 2024

Ang, Andrew, Melissa Brown, Bob Hum, Anthony Renshaw, Katharina Schwaiger, Hamish Seegopaul, Arun Singhal, and Lukas Smart. 2024. “How Do Low Tracking Error, Multifactor ETFs Fit Into the Factor Investment Landscape?” Journal of Beta Investment Strategies 15 (1): 28-38.

  • 2024

Ang, Andrew, and Ananth Madhavan. 2024. “Filled and Killed: Forecast and Realized Trading Costs Across Horizons from Global Equity and Fixed Income Portfolio Trades.” Journal of Portfolio Management 50 (9): 8-28.

  • 2024

Ang, Andrew, Henry Shen, Jeff Shen, and Rui Zhao. 2024. “Optimal Portfolio Choice with Absorbing State Markov Chains: Application to Markets that May Potentially Decouple.” Journal of Investment Management 22 (2): 4-24.

  • 2024

Paul, Alyson, Bart Sikora, Mehul Rawal, Susan Wasserman, and Andrew Ang. 2024. “Modeling Models: Factor and Risk Decompositions of Model Advisor Portfolios.” Journal of Portfolio Management 50 (3): 174-190.

  • 2024

Zhang, Chi, Xinyang Li, Andrea Tamoni, and Misha van Beek. 2024. “ESG Risk and Returns Implied by Demand-Based Asset Pricing Models.” Journal of Asset Management 25: 203-221.

  • 2023

Ang, Andrew. 2023. “Trends and Cycles of Style Factors in the 20th and 21st Centuries.” Journal of Portfolio Management 49 (2): 33-56.

  • 2023

Ang, Andrew, Jennie Bai, and Hao Zhou. 2023. “The Great Wall of Debt: The Cross Section of Chinese Local Government Credit Spreads.” Journal of Finance and Data Science 9, 100098.

  • 2023

Ang, Andrew, Jennifer Bender, Harindra de Silva, and Pim van Vliet. 2023. “Factor Investing Webinar.” Journal of Portfolio Management, DOI: 10.3905/jpm.2023.1.491.

  • 2023

Ang, Andrew, Tom Morris, and Raffaele Savi. 2023. “Asset Allocation with Crypto: Application of Preferences for Positive Skewness.” Journal of Alternative Investments, 25 (4): 7-28.

  • 2023

Diamond, Steven, Stephen Boyd, David Greenberg, Mykel J. Kochenderfer, and Andrew Ang. 2023. “Optimal Claiming of Social Security Benefits.” Journal of Retirement 10 (3): 33-46.

  • 2023

Schwaiger, Katharina, Riyadh Ali, and Andrew Ang. 2023. “Net Zero Sovereign Bond Portfolios.” In Evolving Practices in Public Investment Management: Proceedings of the Eighth Public Investors Conference, Bank of International Settlements, pp. 167-184.

  • 2022

Ang, Andrew, Calvin Yu, Sarah Siwinski, and He Ren. 2022. “Public Pension Portfolios in a World of Low Rates and Low Risk Premiums.” Journal of Investment Consulting 21 (1): 30-44.  

  • 2022

Hodges, Philip, He Ren, Katharina Schwaiger, and Andrew Ang. 2022. “Net Zero Investing for Multi-Asset Portfolios Satisfying Paris Aligned Benchmark Requirements with Climate Alpha Signals.” Journal of Portfolio Management 48 (4): 33-58.

  • 2022

Kaul, Karishma, Katharina Schwaiger, Muling Si, and Andrew Ang. 2022. “Sustainable Alpha in Sovereign and Corporate Bonds.” Journal of Investment Management 20 (2): 30-50.

  • 2022

Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.

  • 2022

Pauksta, Eugene, Karishma Kaul, Tom Parker, Scott Radell. and Andrew Ang. 2022. “Investing in US Core Fixed Income with Macro and Style Factors.” Journal of Portfolio Management 48 (2): 45-65.

  • 2022

Schwaiger, Katharina, Jim Snow, Viktoria-Sophie Wendt, and Andrew Ang. 2022. “Active Paris Aligned Equity Investing.” In Jurczenko, Emmanuel, ed. Climate Investing: New Strategies and Implementation Challenges. ISTE Wiley, pp. 123-140.

  • 2022

Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.

  • 2021

Ang, Andrew, Linxi Chen, Michael Gates, and Paul D. Henderson. 2021. “Index + Factors + Alpha.” Financial Analysts Journal 77 (4): 45-64.

  • 2021

Ang, Andrew, Fabrizio Coiai, Paul Henderson, and Anita Rana. 2021.“Optimal Currency Allocation to Add Alpha and Reduce Risk.” Manuscript.

  • 2021

Ang, Andrew, Ananth Madhavan, and Jason Ribando. 2021. “How Many Active Funds Should You Hold?” Manuscript.

  • 2021

Gladstone, Scott, Ananth Madhavan, Anita Rana, and Andrew Ang. 2021. “Macro Factor Model: Application to Liquid Private Portfolios.” Journal of Portfolio Management 47 (5): 72-90.

  • 2021

Kazdin, Joshua, Katharina Schwaiger, Viktoria-Sophie Wendt, and Andrew Ang. 2021. “Climate Alpha with Predictors also Improving Firm Efficiency.” Journal of Impact and ESG Investing 2 (2): 35-56.

  • 2021

Kimura, Keiko, Katharina Schwaiger, Deepika Sharma, and Andrew Ang. 2021. “Factors with Style.” Journal of Investing 30 (3): 21-46.

  • 2021

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2021. “What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities.” Journal of Investment Management 18 (4): 1-26.

  • 2021

Moehle, Nicholas , Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

  • 2021

Moehle, Nicholas, Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

Papers 2016-2020

  • 2020

Ang, Andrew. 2020. “Including Factor Investing in Portfolio Design.” Journal of Investment Consulting, 20, 1, 4-11.

  • 2020

Ang, Andrew, David Chua, Katelyn Gallagher, and Stephen Hull. 2020. “BlackRock: Reserves Management with Factors and Reference Portfolios.” In Bjorheim, Jacob, ed. Asset Management at Central Banks and Monetary Authorities: New Practices in Managing International Foreign Exchange Reserves. Springer, pp. 459-484.

  • 2020

Ang, Andrew, Jun Liu, and Krista Schwarz. 2020. “Using Stocks or Portfolios in Tests of Factor Models,” Journal of Financial and Quantitative Analysis 55 (3): 709-750. Funded by INQUIRE Europe.

  • 2020

Chan, Ying, Ked Hogan, Katharina Schwaiger, and Andrew Ang. 2020. “ESG in Factors.” Journal of Impact and ESG Investing 1 (1): 26-45.

  • 2020

Lawler, Brian, Brett M. Mossman, Patrick Nolan, and Andrew Ang. 2020. “Factors and Advisors Portfolios.”Journal of Wealth Management 22 (4): 37-61.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models.” Journal of Portfolio Management 46 (5): 90-103.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Toward ESG Alpha: Analyzing ESG Exposures Through a Factor Lens,” Financial Analysts Journal 77 (1): 69-88.

  • 2020

Vaidyanathan, Vijay, Himanshu Monty Joshi, Daniel Mantilla Garcia, Andrew Ang, and Helmut Hissen. 2020. United States Patent US 10,706,473. USPTO. Issued July 7, 2020.

  • 2019

Basu, Debarshi, Michael Gates, Vishal Karir, and Andrew Ang. 2019. “Model Portfolios.” Journal of Wealth Management 21 (4): 46-63.

  • 2018

Ang, Andrew, Andrés Ayala and William N. Goetzmann. 2018. “Investment Beliefs of Endowments.” European Financial Management 24 (1): 3-33. Funded by Netspar.

  • 2018

Ang, Andrew, Bingxu Chen, William N. Goetzmann, and Ludovic Phalippou. 2018. “Estimating Private Equity Returns from Limited Partner Cash Flows.” Journal of Finance, 73 (4): 1751-1783.

  • 2018

Ang, Andrew, Ked Hogan, and Justin Peterson. 2018. “Is it Time to Tilt? Exploring a Fundamental Question in Factor Investing.” Investments & Wealth Monitor, January/February, 40-45.

  • 2018

Ang, Andrew, Jia Liu, and He Ren. 2018. “Factor Investing.” In Peng, Wu, Wallace Yu, and Li Yue, eds. Discover the Frontier of Asset Management: Risk Parity Quantitative Investment. CITIC Press Group, pp. 209-256.

  • 2018

Ang, Andrew, and Sara Shores. 2018. “Quantifying Intuition: The Evolution of Factor-Based Investing.” In Factor Investing Focus: Leveraging Insights to Improve Performance, European Pensions, pp. 30-32.

  • 2018

Ang, Andrew, Sara Shores, and Bob Bass with Di Sanborn, Kristin Fergis, and Katelyn Gallagher, 2018. “Strategic Factor Allocation: Applying Factors in Portfolio Design.” Risk & Rewards, Society of Actuaries 72: 1-13.

  • 2018

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes.” Journal of Portfolio Management, 44 (4): 46-59. Reprinted Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. Journal of Index Investing 9 (2): 66-79.

  • 2017

Ang, Andrew. 2017. “Introduction.” In Jurczenko, Emmanuel, ed. Factor Investing: From Traditional to Alternative Risk Premia. ISTE Press – Elsevier, pp. xix-xxiii.

  • 2017

Ang, Andrew, Richard C. Green, Francis A. Longstaff, and Yuhang Xing. 2017. “Advance Refundings of Municipal Bonds.” Journal of Finance 72 (4): 1645-1682.

  • 2017

Ang, Andrew, Ked Hogan and Sara Shores. 2017. “Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors.” Journal of Asset Management, 19 (3): 145-155.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Estimating Time-Varying Factor Exposures.” Financial Analysts Journal 73 (4): 41-54.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Crowding, Capacity, and Valuation of Minimum Volatility Strategies.” Journal of Index Investing 7 (4): 41-50.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2017

William N. Goetzmann, Olav Sorenson, and Andrew Ang. 2017. “Norway’s Pension Fund Global.” Sage Business Cases. https://doi.org/10.4135/9781526406828

  • 2017

Hodges, Philip, Ked Hogan, Justin Peterson, and Andrew Ang. 2017. “Factor Timing with Cross-Sectional and Time-Series Predictors.” Journal of Portfolio Management 44 (1): 30-43.

  • 2017

Ratcliffe, Ronald, Paolo Miranda, and Andrew Ang. 2017. “Capacity of Smart Beta Strategies from a Transaction Cost Perspective.” Journal of Index Investing 8 (3): 39-50.

  • 2017

Ang, Andrew, Richard C. Green, Francis A. Longstaff, and Yuhang Xing. 2017. “Advance Refundings of Municipal Bonds.” Journal of Finance 72 (4): 1645-1682.

  • 2016

Ang, Andrew. 2016. “Factor Investing: More than Simply Investing in Factors.” In Lussier, Jacques, ed. Portfolio Structuring and the Value of Forecasting, Research Foundation Review, CFA Research Foundation Institute.

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

Papers 2011-2015

  • 2015

An, Byeong-Je, Andrew Ang, and Pierre Collin-Dufresne. 2015. “How Often Should You Take Tactical Asset Allocation Decisions?” Manuscript.

  • 2015

Ang, Andrew, and Bruce Usher. 2015. “Stanford Dumps Coal.” Columbia CaseWorks 150307.

  • 2014

An, Byeong-Je , Andrew Ang, Turan Bali, and Nusret Cakici. 2014. “The Joint Cross Section of Stock and Option Returns.” Journal of Finance 69 (5): 2279-2337.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew. 2014. “Risk and Information in the Municipal Bond Market.” NBER Reporter, 3, 9-11.

  • 2014

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2014. “The Muni Bond Spread: Credit, Illiquidity, and Tax.” Manuscript.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2014

Ang, Andrew, Amit Goyal, and Antti Ilmanen. 2014. “Asset Allocation and Bad Habits.” Rotman International Journal of Pension Management 7 (2): 16-26.

  • 2014

Ang, Andrew, Dimitris Papanikolaou, and Mark M. Westerfield. 2014. “Portfolio Choice with Illiquid Assets.” Management Science 60 (11): 2737-2761.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2014. “The Muni Bond Spread: Credit, Illiquidity, and Tax.” Manuscript.

  • 2014

Ang, Andrew. 2014. “Risk and Information in the Municipal Bond Market.” NBER Reporter, 3, 9-11.

  • 2013

Ang, Andrew, Bingxu Chen, and Suresh M. Sundaresan. 2013. “Liability Driven Investment with Downside Risk.” Journal of Portfolio Management 40 (1): 71-87.

  • 2013

Ang, Andrew, and Richard C. Green. 2013. “Lowering Borrowing Costs for States and Municipalities Through CommonMuni.” Municipal Finance Journal 34 (3): 43-94. Also published as Discussion Paper 2011-01, The Hamilton Project, Brookings Institution. Funded by The Hamilton Project.

  • 2013

Ang, Andrew, and Francis A. Longstaff. 2013. “Systemic Sovereign Default Risk: Lessons from the U.S. and Europe.” Journal of Monetary Economics, 60 (5): 493-510.

  • 2013

Ang, Andrew, Neil Nabar, and Samuel Wald. 2013. “Searching for a Common Factor in Public and Private Real Estate Returns.” Journal of Portfolio Management 39 (5): 120-133.

  • 2013

Ang, Andrew, Assaf Shtauber and Paul C. Tetlock. 2013. “Asset Pricing in the Dark: The Cross Section of OTC Stocks,” Review of Financial Studies 26 (12): 2985-3028.

  • 2013

Ang, Andrew, and Morten Sorensen. 2013. “Investing in Private Equity.” Alternative Investment Analyst Review 2 (1): 21-31.

  • 2013

Ang, Andrew. 2013. “Saving Public Pensions: Rhode Island Pension Reform.” Columbia CaseWorks 120313.

  • 2013

Ang, Andrew, and Richard C. Green. 2013. “Lowering Borrowing Costs for States and Municipalities Through CommonMuni.” Municipal Finance Journal 34 (3): 43-94. Also published as Discussion Paper 2011-01, The Hamilton Project, Brookings Institution. Funded by The Hamilton Project.

  • 2012

Ang, Andrew. 2012. “The Four Benchmarks of Sovereign Wealth Funds.” In Bolton, Patrick, Frederic Samama, and Joseph E. Stiglitz, eds. Sovereign Wealth Funds and Long-Term Investing, Columbia University Press, pp. 94-105. Reprinted in Ang, Andrew, 2011. Business & Management Journal, 1, 4.

  • 2012

Ang, Andrew. 2012. “Predicting Dividends in Log-Linear Present Value Models.” Pacific-Basin Finance Journal 20 (1): 151-171.

  • 2012

Ang, Andrew, Marie Brière, and Ombretta Signori. 2012. “Inflation and Individual Equities,” Financial Analysts Journal 68 (4): 36-55.

  • 2012

Ang, Andrew, and Dennis Kristensen. 2012. “Testing Conditional Factor Models.” Journal of Financial Economics 106 (1): 132-156.

  • 2012

Ang, Andrew, and Morten Sorensen. 2012. “Risk, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches.” 2012, Quarterly Journal of Finance 2 (3), DOI: 10.1142/S2010139212500115.

  • 2012

Ang, Andrew, and Allan Timmermann. 2012. “Regime Changes and Financial Markets.” Annual Review of Financial Economics 4: 313-337.

  • 2012

Ang, Andrew, and Maxim Ulrich. 2012. “Nominal Bonds, Real Bonds, and Equity.” Manuscript.

  • 2012

Ang, Andrew. 2012. “GM Asset Management and Martingale’s Low Volatility Strategy.” Columbia CaseWorks 120302.

  • 2012

Ang, Andrew, 2012. “Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board.” Columbia CaseWorks 120302.

  • 2012

Abrams, Jeremy, and Andrew Ang. 2012. “California Dreamin’: The Mess at CalPERS.” Columbia CaseWorks 120306.

  • 2011

Ang, Andrew. 2011. “Illiquid Assets.” CFA Institute Conference Proceedings Quarterly, 28, 4, 12-22.

  • 2011

Ang, Andrew, Jean Boivin, Sen Dong, and Rudy Loo-Kung. 2011. “Monetary Policy Shifts and the Term Structure.” Review of Economic Studies 78 (2): 429-457.

  • 2011

Ang, Andrew, and Joseph S. Chen. 2011. “Yield Curve Predictors of Foreign Exchange Returns.” Manuscript

  • 2011

Ang, Andrew, and Knut N. Kjaer. 2011. “Investing for the Long Run.” In Franzen, Tomas, ed. A Decade of Challenges – A Collection of Essays on Pensions and Investments, Andra AP-fonden, Second Swedish National Pension Fund – AP2, pp. 94-111.

  • 2011

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer. 2011. “The Efficient Market Theory and Evidence: Implications for Active Investment Management.” Foundations and Trends in Finance 5 (3): 157-242.

  • 2011

Ang, Andrew, and Xiaoyan Zhang. 2011. “Price-Earnings Ratios: Growth and Discount Rates.” In Hammond, P. Brett Jr., Martin L. Leibowitz, and Laurence B. Siegel, eds. Rethinking the Equity Risk Premium, Research Foundation of the CFA Institute, pp. 130-142.

  • 2011

Ang, Andrew. 2011. “Who Watches the Watchman? New York State Common Retirement Fund.” Columbia CaseWorks 110307.

  • 2011

Ang, Andrew, Lynne Sagalyn, and Rona Smith. 2011. “Is Real Estate Real?” Columbia CaseWorks 111704.

  • 2011

Ang, Andrew. 2011. “Stay the Course? Portfolio Advice in the Face of Large Losses.” Columbia CaseWorks ID#110309.

Papers 2006-2010

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income 20 (1): 67-73.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Taxes on Tax-Exempt Bonds.” Journal of Finance 65 (2): 565-601.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “Locked Up by a Lockup: Valuing Liquidity as a Real Option,” Financial Management 39 (3): 1069-1095.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “When Hedge Funds Block the Exits.”

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2010

Ang, Andrew. 2010. “Liquidating Harvard.” Columbia CaseWorks 100312.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income 20 (1): 67-73.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Taxes on Tax-Exempt Bonds.” Journal of Finance 65 (2): 565-601.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2009

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.” Journal of Financial Economics 91 (1): 1-23.

  • 2008

Ang, Andrew, Geert Bekaert, and Min Wei. 2008. “The Term Structure of Real Rates and Expected Inflation.” Journal of Finance 63 (2): 797-849.

  • 2008

Ang, Andrew, Matthew Rhodes-Kropf, and Rui Zhao. 2008. “Do Funds-of-Funds Deserve Their Fees-on-Fees?” Journal of Investment Management 6 (4): 34-58.

  • 2008

Ang, Andrew. 2008. “The Norwegian Government Pension Fund: The Divesiture of Wal-Mart Stores Inc.” Columbia CaseWorks 080301.

  • 2008

Ang, Andrew. 2008. “The Quant Meldown: August 2007.” Columbia CaseWorks 080317.

  • 2007

Ang, Andrew, and Geert Bekaert. 2007. “Stock Return Predictability: Is it There?” Review of Financial Studies 20 (3): 651-707.

  • 2007

Ang, Andrew, Geert Bekaert, and Min Wei. 2007. “Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?” Journal of Monetary Economics 54 (4): 1163-1212.

  • 2007

Ang, Andrew, and Joseph S. Chen. 2007. “CAPM Over the Long Run: 1926-2001.” Journal of Empirical Finance 14 (1): 1-40.

  • 2007

Ang, Andrew, Sen Dong and Monika Piazzesi. 2007. “No-Arbitrage Taylor Rules.” Manuscript.

  • 2007

Ang, Andrew, Li Gu, and Yael V. Hochberg. 2007. “Is IPO Underperformance a Peso Problem?” Journal of Financial and Quantitative Analysis 42 (3): 565-594.

  • 2007

Ang, Andrew, and Jun Liu. 2007. “Risk, Return and Dividends.” Journal of Financial Economics 85 (1): 1-38.

  • 2006

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Risk.” Review of Financial Studies 19 (4): 1191-1239.

  • 2006

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns,” Journal of Finance, 51 (1): 259-299.

  • 2006

Ang, Andrew, Monika Piazzesi, and Min Wei. 2006, “What Does the Yield Curve Tell us about GDP Growth?” Journal of Econometrics 131 (1-2): 359-403.

  • 2006

Ang, Andrew, Matthew Rhodes-Kropf, and Rui Zhao. 2006. “A New Measure for Measuring.” Institutional Investor’s Alpha, July/August, 40-45. Funded by the BSI GAMMA Foundation.

Papers 2001-2005

  • 2005

Ang, Andrew, Geert Bekaert, and Jun Liu. 2005. “Why Stocks May Disappoint.” Journal of Financial Economics 76 (3): 471-508.

  • 2005

Ang, Andrew, and Angela Maddaloni. 2005. “Do Demographic Changes Affect Risk Premiums? Evidence from International Data.” Journal of Business 78 (1): 341-380.

  • 2004

Ang, Andrew, and Geert Bekaert. 2004. “How do Regimes Affect Asset Allocation?” Financial Analysts Journal 60 (2): 86-99. Funded by INQUIRE Europe.

  • 2004

Ang, Andrew, and Jun Liu. 2004. “How to Discount Cashflows with Time-Varying Expected Returns.” Journal of Finance 59 (6): 2745-2783.

  • 2003

Ang, Andrew, and Monika Piazzesi. 2003. “A No-Arbitrage Vector-Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50 (4): 745-787.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “International Asset Allocation with Regime Shifts.” Review of Financial Studies 15 (4): 1137-1187.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Regime Switches in Interest Rates.” Journal of Business and Economic Statistics 20 (2): 163-182.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Short Rate Nonlinearities and Regime Switches.” Journal of Economic Dynamics and Control 26 (7-8): 1243-1274.

  • 2002

Ang, Andrew, and Joseph S. Chen. 2002. “Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63 (3): 443-494.

  • 2001

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Correlation and Expected Stock Returns.” Manuscript.

  • 2001

Ang, Andrew, and Jun Liu. 2001. “A General Affine Earnings Valuation Model.” Review of Accounting Studies 6: 397-425.

Papers 1995-2000

  • 1997

Ang, Andrew, and Michael Sherris. 1997. “Interest Rate Risk Management.” North American Actuarial Journal 1 (2): 1-26.

  • 1995

Ang, Andrew. 1995. “Prepayment Penalties – Why MBS Investors Demand a Premium.” JASSA (Journal of the Securities Institute of Australia) 4: 26-29.

All Papers

  • 2026

Renshaw, Tony, Yurong Gu, Matt Candar, and Andrew Ang. 2026. Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time. Working Paper.

  • 2026

Ang, Andrew, Nazym Azimbayev, and Andrey Kim. 2026. “The Self-Driving Portfolio: Agentic Architecture for Institutional Asset Management.” Working Paper.

  • 2026

Ang, Andrew. 2026. “Uncle Sam’s Cut: A Century of the Federal Tax Drag on US Equity Returns.” Working Paper.

  • 2026

Ang, Andrew, Jesper Berg, and Magnus Dahlquist. 2026. Review of ATP’s Investment Strategy.

  • 2025

Dufour, Taylor, He Ren, Andrew Ang, Filip Mena-Berlin, Mateo Gomez, and Katharina Schwaiger. 2025. “Paris Aligned Commodities.” In Evolving Practices in Public Investment Management: Proceedings of the Ninth Public Investors Conference, Bank of International Settlements, pp. 27-42.

  • 2025

Azimbayev, Nazym, Andrey Kim, Zhassulan Ospanov, and Andrew Ang. 2025. “Investing in AI for Investing: Lessons from Autonomous Driving for Investment Firms.” Altbridge Working Paper.

  • 2025

Ang, Andrew, and Debarshi Basu. 2025. “How Much Should Investors Pay for Active Management? Utility-Based Pricing for a Personalized Portfolio Future.” Journal of Portfolio Management 51 (10): 49-66.

  • 2025

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Journal of Investing. DOI: 10.3905/joi.2025.1.365

  • 2025

Almufti, Ali, Linus Franngard, Scott Gladstone, and Andrew Ang. 2025. “Exit Predictions for Venture Capital Over Different Economic Regimes.” Journal of Alternative Investments, 27 (4), DOI 10.3905/jai.2025.1.235

  • 2024

Ang, Andrew, Debarshi Basu, and Marco Corsi. 2024. “Attribution of Portfolios with Climate-Related Signals.” in Investment Innovations Toward Achieving Net Zero, CFA Institute, pp. 116-132.

  • 2024

Ang, Andrew, Melissa Brown, Bob Hum, Anthony Renshaw, Katharina Schwaiger, Hamish Seegopaul, Arun Singhal, and Lukas Smart. 2024. “How Do Low Tracking Error, Multifactor ETFs Fit Into the Factor Investment Landscape?” Journal of Beta Investment Strategies 15 (1): 28-38.

  • 2024

Ang, Andrew, and Ananth Madhavan. 2024. “Filled and Killed: Forecast and Realized Trading Costs Across Horizons from Global Equity and Fixed Income Portfolio Trades.” Journal of Portfolio Management 50 (9): 8-28.

  • 2024

Ang, Andrew, Henry Shen, Jeff Shen, and Rui Zhao. 2024. “Optimal Portfolio Choice with Absorbing State Markov Chains: Application to Markets that May Potentially Decouple.” Journal of Investment Management 22 (2): 4-24.

  • 2024

Paul, Alyson, Bart Sikora, Mehul Rawal, Susan Wasserman, and Andrew Ang. 2024. “Modeling Models: Factor and Risk Decompositions of Model Advisor Portfolios.” Journal of Portfolio Management 50 (3): 174-190.

  • 2024

Zhang, Chi, Xinyang Li, Andrea Tamoni, and Misha van Beek. 2024. “ESG Risk and Returns Implied by Demand-Based Asset Pricing Models.” Journal of Asset Management 25: 203-221.

  • 2023

Ang, Andrew. 2023. “Trends and Cycles of Style Factors in the 20th and 21st Centuries.” Journal of Portfolio Management 49 (2): 33-56.

  • 2023

Ang, Andrew, Jennie Bai, and Hao Zhou. 2023. “The Great Wall of Debt: The Cross Section of Chinese Local Government Credit Spreads.” Journal of Finance and Data Science 9, 100098.

  • 2023

Ang, Andrew, Jennifer Bender, Harindra de Silva, and Pim van Vliet. 2023. “Factor Investing Webinar.” Journal of Portfolio Management, DOI: 10.3905/jpm.2023.1.491.

  • 2023

Ang, Andrew, Tom Morris, and Raffaele Savi. 2023. “Asset Allocation with Crypto: Application of Preferences for Positive Skewness.” Journal of Alternative Investments, 25 (4): 7-28.

  • 2023

Diamond, Steven, Stephen Boyd, David Greenberg, Mykel J. Kochenderfer, and Andrew Ang. 2023. “Optimal Claiming of Social Security Benefits.” Journal of Retirement 10 (3): 33-46.

  • 2023

Schwaiger, Katharina, Riyadh Ali, and Andrew Ang. 2023. “Net Zero Sovereign Bond Portfolios.” In Evolving Practices in Public Investment Management: Proceedings of the Eighth Public Investors Conference, Bank of International Settlements, pp. 167-184.

  • 2022

Ang, Andrew, Calvin Yu, Sarah Siwinski, and He Ren. 2022. “Public Pension Portfolios in a World of Low Rates and Low Risk Premiums.” Journal of Investment Consulting 21 (1): 30-44.  

  • 2022

Hodges, Philip, He Ren, Katharina Schwaiger, and Andrew Ang. 2022. “Net Zero Investing for Multi-Asset Portfolios Satisfying Paris Aligned Benchmark Requirements with Climate Alpha Signals.” Journal of Portfolio Management 48 (4): 33-58.

  • 2022

Kaul, Karishma, Katharina Schwaiger, Muling Si, and Andrew Ang. 2022. “Sustainable Alpha in Sovereign and Corporate Bonds.” Journal of Investment Management 20 (2): 30-50.

  • 2022

Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.

  • 2022

Pauksta, Eugene, Karishma Kaul, Tom Parker, Scott Radell. and Andrew Ang. 2022. “Investing in US Core Fixed Income with Macro and Style Factors.” Journal of Portfolio Management 48 (2): 45-65.

  • 2022

Schwaiger, Katharina, Jim Snow, Viktoria-Sophie Wendt, and Andrew Ang. 2022. “Active Paris Aligned Equity Investing.” In Jurczenko, Emmanuel, ed. Climate Investing: New Strategies and Implementation Challenges. ISTE Wiley, pp. 123-140.

  • 2022

Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.

  • 2021

Ang, Andrew, Linxi Chen, Michael Gates, and Paul D. Henderson. 2021. “Index + Factors + Alpha.” Financial Analysts Journal 77 (4): 45-64.

  • 2021

Ang, Andrew, Fabrizio Coiai, Paul Henderson, and Anita Rana. 2021.“Optimal Currency Allocation to Add Alpha and Reduce Risk.” Manuscript.

  • 2021

Ang, Andrew, Ananth Madhavan, and Jason Ribando. 2021. “How Many Active Funds Should You Hold?” Manuscript.

  • 2021

Gladstone, Scott, Ananth Madhavan, Anita Rana, and Andrew Ang. 2021. “Macro Factor Model: Application to Liquid Private Portfolios.” Journal of Portfolio Management 47 (5): 72-90.

  • 2021

Kazdin, Joshua, Katharina Schwaiger, Viktoria-Sophie Wendt, and Andrew Ang. 2021. “Climate Alpha with Predictors also Improving Firm Efficiency.” Journal of Impact and ESG Investing 2 (2): 35-56.

  • 2021

Kimura, Keiko, Katharina Schwaiger, Deepika Sharma, and Andrew Ang. 2021. “Factors with Style.” Journal of Investing 30 (3): 21-46.

  • 2021

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2021. “What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities.” Journal of Investment Management 18 (4): 1-26.

  • 2021

Moehle, Nicholas , Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

  • 2021

Moehle, Nicholas, Mykel J. Kochenderfer, Stephen Boyd, and Andrew Ang. 2021. “Tax-Aware Portfolio Construction via Convex Optimization.” Journal of Optimization Theory and Applications 189 (2): 364-383.

  • 2020

Ang, Andrew. 2020. “Including Factor Investing in Portfolio Design.” Journal of Investment Consulting, 20, 1, 4-11.

  • 2020

Ang, Andrew, David Chua, Katelyn Gallagher, and Stephen Hull. 2020. “BlackRock: Reserves Management with Factors and Reference Portfolios.” In Bjorheim, Jacob, ed. Asset Management at Central Banks and Monetary Authorities: New Practices in Managing International Foreign Exchange Reserves. Springer, pp. 459-484.

  • 2020

Ang, Andrew, Jun Liu, and Krista Schwarz. 2020. “Using Stocks or Portfolios in Tests of Factor Models,” Journal of Financial and Quantitative Analysis 55 (3): 709-750. Funded by INQUIRE Europe.

  • 2020

Chan, Ying, Ked Hogan, Katharina Schwaiger, and Andrew Ang. 2020. “ESG in Factors.” Journal of Impact and ESG Investing 1 (1): 26-45.

  • 2020

Lawler, Brian, Brett M. Mossman, Patrick Nolan, and Andrew Ang. 2020. “Factors and Advisors Portfolios.”Journal of Wealth Management 22 (4): 37-61.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models.” Journal of Portfolio Management 46 (5): 90-103.

  • 2020

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2020. “Toward ESG Alpha: Analyzing ESG Exposures Through a Factor Lens,” Financial Analysts Journal 77 (1): 69-88.

  • 2020

Vaidyanathan, Vijay, Himanshu Monty Joshi, Daniel Mantilla Garcia, Andrew Ang, and Helmut Hissen. 2020. United States Patent US 10,706,473. USPTO. Issued July 7, 2020.

  • 2019

Basu, Debarshi, Michael Gates, Vishal Karir, and Andrew Ang. 2019. “Model Portfolios.” Journal of Wealth Management 21 (4): 46-63.

  • 2018

Ang, Andrew, Andrés Ayala and William N. Goetzmann. 2018. “Investment Beliefs of Endowments.” European Financial Management 24 (1): 3-33. Funded by Netspar.

  • 2018

Ang, Andrew, Bingxu Chen, William N. Goetzmann, and Ludovic Phalippou. 2018. “Estimating Private Equity Returns from Limited Partner Cash Flows.” Journal of Finance, 73 (4): 1751-1783.

  • 2018

Ang, Andrew, Ked Hogan, and Justin Peterson. 2018. “Is it Time to Tilt? Exploring a Fundamental Question in Factor Investing.” Investments & Wealth Monitor, January/February, 40-45.

  • 2018

Ang, Andrew, Jia Liu, and He Ren. 2018. “Factor Investing.” In Peng, Wu, Wallace Yu, and Li Yue, eds. Discover the Frontier of Asset Management: Risk Parity Quantitative Investment. CITIC Press Group, pp. 209-256.

  • 2018

Ang, Andrew, and Sara Shores. 2018. “Quantifying Intuition: The Evolution of Factor-Based Investing.” In Factor Investing Focus: Leveraging Insights to Improve Performance, European Pensions, pp. 30-32.

  • 2018

Ang, Andrew, Sara Shores, and Bob Bass with Di Sanborn, Kristin Fergis, and Katelyn Gallagher, 2018. “Strategic Factor Allocation: Applying Factors in Portfolio Design.” Risk & Rewards, Society of Actuaries 72: 1-13.

  • 2018

Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes.” Journal of Portfolio Management, 44 (4): 46-59. Reprinted Madhavan, Ananth, Aleksander Sobczyk, and Andrew Ang. 2018. Journal of Index Investing 9 (2): 66-79.

  • 2017

Ang, Andrew. 2017. “Introduction.” In Jurczenko, Emmanuel, ed. Factor Investing: From Traditional to Alternative Risk Premia. ISTE Press – Elsevier, pp. xix-xxiii.

  • 2017

Ang, Andrew, Richard C. Green, Francis A. Longstaff, and Yuhang Xing. 2017. “Advance Refundings of Municipal Bonds.” Journal of Finance 72 (4): 1645-1682.

  • 2017

Ang, Andrew, Ked Hogan and Sara Shores. 2017. “Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors.” Journal of Asset Management, 19 (3): 145-155.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Estimating Time-Varying Factor Exposures.” Financial Analysts Journal 73 (4): 41-54.

  • 2017

Ang, Andrew, Ananth Madhavan and Aleksander Sobczyk. 2017. “Crowding, Capacity, and Valuation of Minimum Volatility Strategies.” Journal of Index Investing 7 (4): 41-50.

  • 2017

Bass, Robert, Scott Gladstone, and Andrew Ang. 2017. “Total Portfolio Factor, Not Just Asset, Allocation.” Journal of Portfolio Management 43 (5): 38-53.

  • 2017

William N. Goetzmann, Olav Sorenson, and Andrew Ang. 2017. “Norway’s Pension Fund Global.” Sage Business Cases. https://doi.org/10.4135/9781526406828

  • 2017

Hodges, Philip, Ked Hogan, Justin Peterson, and Andrew Ang. 2017. “Factor Timing with Cross-Sectional and Time-Series Predictors.” Journal of Portfolio Management 44 (1): 30-43.

  • 2017

Ratcliffe, Ronald, Paolo Miranda, and Andrew Ang. 2017. “Capacity of Smart Beta Strategies from a Transaction Cost Perspective.” Journal of Index Investing 8 (3): 39-50.

  • 2017

Ang, Andrew, Richard C. Green, Francis A. Longstaff, and Yuhang Xing. 2017. “Advance Refundings of Municipal Bonds.” Journal of Finance 72 (4): 1645-1682.

  • 2016

Ang, Andrew. 2016. “Factor Investing: More than Simply Investing in Factors.” In Lussier, Jacques, ed. Portfolio Structuring and the Value of Forecasting, Research Foundation Review, CFA Research Foundation Institute.

  • 2016

Greenberg, David, Abhilash Babu, and Andrew Ang. 2016. “Factors to Assets: Mapping Factor Exposures to Asset Allocations.” Journal of Portfolio Management 42 (5): 18-27.

  • 2015

An, Byeong-Je, Andrew Ang, and Pierre Collin-Dufresne. 2015. “How Often Should You Take Tactical Asset Allocation Decisions?” Manuscript.

  • 2015

Ang, Andrew, and Bruce Usher. 2015. “Stanford Dumps Coal.” Columbia CaseWorks 150307.

  • 2014

An, Byeong-Je , Andrew Ang, Turan Bali, and Nusret Cakici. 2014. “The Joint Cross Section of Stock and Option Returns.” Journal of Finance 69 (5): 2279-2337.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew. 2014. “Risk and Information in the Municipal Bond Market.” NBER Reporter, 3, 9-11.

  • 2014

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2014. “The Muni Bond Spread: Credit, Illiquidity, and Tax.” Manuscript.

  • 2014

Ang, Andrew, Michael W. Brandt, and David F. Denison. 2014. “Review of the Active Management of the Norwegian Government Pension Fund Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2014

Ang, Andrew, Amit Goyal, and Antti Ilmanen. 2014. “Asset Allocation and Bad Habits.” Rotman International Journal of Pension Management 7 (2): 16-26.

  • 2014

Ang, Andrew, Dimitris Papanikolaou, and Mark M. Westerfield. 2014. “Portfolio Choice with Illiquid Assets.” Management Science 60 (11): 2737-2761.

  • 2014

Ang, Andrew. 2014. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press.

  • 2014

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2014. “The Muni Bond Spread: Credit, Illiquidity, and Tax.” Manuscript.

  • 2014

Ang, Andrew. 2014. “Risk and Information in the Municipal Bond Market.” NBER Reporter, 3, 9-11.

  • 2013

Ang, Andrew, Bingxu Chen, and Suresh M. Sundaresan. 2013. “Liability Driven Investment with Downside Risk.” Journal of Portfolio Management 40 (1): 71-87.

  • 2013

Ang, Andrew, and Richard C. Green. 2013. “Lowering Borrowing Costs for States and Municipalities Through CommonMuni.” Municipal Finance Journal 34 (3): 43-94. Also published as Discussion Paper 2011-01, The Hamilton Project, Brookings Institution. Funded by The Hamilton Project.

  • 2013

Ang, Andrew, and Francis A. Longstaff. 2013. “Systemic Sovereign Default Risk: Lessons from the U.S. and Europe.” Journal of Monetary Economics, 60 (5): 493-510.

  • 2013

Ang, Andrew, Neil Nabar, and Samuel Wald. 2013. “Searching for a Common Factor in Public and Private Real Estate Returns.” Journal of Portfolio Management 39 (5): 120-133.

  • 2013

Ang, Andrew, Assaf Shtauber and Paul C. Tetlock. 2013. “Asset Pricing in the Dark: The Cross Section of OTC Stocks,” Review of Financial Studies 26 (12): 2985-3028.

  • 2013

Ang, Andrew, and Morten Sorensen. 2013. “Investing in Private Equity.” Alternative Investment Analyst Review 2 (1): 21-31.

  • 2013

Ang, Andrew. 2013. “Saving Public Pensions: Rhode Island Pension Reform.” Columbia CaseWorks 120313.

  • 2013

Ang, Andrew, and Richard C. Green. 2013. “Lowering Borrowing Costs for States and Municipalities Through CommonMuni.” Municipal Finance Journal 34 (3): 43-94. Also published as Discussion Paper 2011-01, The Hamilton Project, Brookings Institution. Funded by The Hamilton Project.

  • 2012

Ang, Andrew. 2012. “The Four Benchmarks of Sovereign Wealth Funds.” In Bolton, Patrick, Frederic Samama, and Joseph E. Stiglitz, eds. Sovereign Wealth Funds and Long-Term Investing, Columbia University Press, pp. 94-105. Reprinted in Ang, Andrew, 2011. Business & Management Journal, 1, 4.

  • 2012

Ang, Andrew. 2012. “Predicting Dividends in Log-Linear Present Value Models.” Pacific-Basin Finance Journal 20 (1): 151-171.

  • 2012

Ang, Andrew, Marie Brière, and Ombretta Signori. 2012. “Inflation and Individual Equities,” Financial Analysts Journal 68 (4): 36-55.

  • 2012

Ang, Andrew, and Dennis Kristensen. 2012. “Testing Conditional Factor Models.” Journal of Financial Economics 106 (1): 132-156.

  • 2012

Ang, Andrew, and Morten Sorensen. 2012. “Risk, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches.” 2012, Quarterly Journal of Finance 2 (3), DOI: 10.1142/S2010139212500115.

  • 2012

Ang, Andrew, and Allan Timmermann. 2012. “Regime Changes and Financial Markets.” Annual Review of Financial Economics 4: 313-337.

  • 2012

Ang, Andrew, and Maxim Ulrich. 2012. “Nominal Bonds, Real Bonds, and Equity.” Manuscript.

  • 2012

Ang, Andrew. 2012. “GM Asset Management and Martingale’s Low Volatility Strategy.” Columbia CaseWorks 120302.

  • 2012

Ang, Andrew, 2012. “Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board.” Columbia CaseWorks 120302.

  • 2012

Abrams, Jeremy, and Andrew Ang. 2012. “California Dreamin’: The Mess at CalPERS.” Columbia CaseWorks 120306.

  • 2011

Ang, Andrew. 2011. “Illiquid Assets.” CFA Institute Conference Proceedings Quarterly, 28, 4, 12-22.

  • 2011

Ang, Andrew, Jean Boivin, Sen Dong, and Rudy Loo-Kung. 2011. “Monetary Policy Shifts and the Term Structure.” Review of Economic Studies 78 (2): 429-457.

  • 2011

Ang, Andrew, and Joseph S. Chen. 2011. “Yield Curve Predictors of Foreign Exchange Returns.” Manuscript

  • 2011

Ang, Andrew, and Knut N. Kjaer. 2011. “Investing for the Long Run.” In Franzen, Tomas, ed. A Decade of Challenges – A Collection of Essays on Pensions and Investments, Andra AP-fonden, Second Swedish National Pension Fund – AP2, pp. 94-111.

  • 2011

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer. 2011. “The Efficient Market Theory and Evidence: Implications for Active Investment Management.” Foundations and Trends in Finance 5 (3): 157-242.

  • 2011

Ang, Andrew, and Xiaoyan Zhang. 2011. “Price-Earnings Ratios: Growth and Discount Rates.” In Hammond, P. Brett Jr., Martin L. Leibowitz, and Laurence B. Siegel, eds. Rethinking the Equity Risk Premium, Research Foundation of the CFA Institute, pp. 130-142.

  • 2011

Ang, Andrew. 2011. “Who Watches the Watchman? New York State Common Retirement Fund.” Columbia CaseWorks 110307.

  • 2011

Ang, Andrew, Lynne Sagalyn, and Rona Smith. 2011. “Is Real Estate Real?” Columbia CaseWorks 111704.

  • 2011

Ang, Andrew. 2011. “Stay the Course? Portfolio Advice in the Face of Large Losses.” Columbia CaseWorks ID#110309.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income 20 (1): 67-73.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Taxes on Tax-Exempt Bonds.” Journal of Finance 65 (2): 565-601.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “Locked Up by a Lockup: Valuing Liquidity as a Real Option,” Financial Management 39 (3): 1069-1095.

  • 2010

Ang, Andrew, and Nicolas P. B. Bollen. 2010. “When Hedge Funds Block the Exits.”

  • 2010

Ang, Andrew, Jaan Elias, William N. Goetzmann, Jean Rosenthal, and Olav Sorenson. 2010. “Norway Pension Fund – Global: A Nation Reconsiders How to Manage Its Nest Egg.” Yale Case 2010-106.

  • 2010

Ang, Andrew. 2010. “Liquidating Harvard.” Columbia CaseWorks 100312.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income 20 (1): 67-73.

  • 2010

Ang, Andrew, Vineer Bhansali, and Yuhang Xing. 2010. “Taxes on Tax-Exempt Bonds.” Journal of Finance 65 (2): 565-601.

  • 2009

Ang, Andrew, William N. Goetzmann, and Stephen M. Schaefer, 2009. “Report on the Active Management of the Norwegian Government Pension Fund – Global.” Commissioned by the Norwegian Ministry of Finance.

  • 2009

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.” Journal of Financial Economics 91 (1): 1-23.

  • 2008

Ang, Andrew, Geert Bekaert, and Min Wei. 2008. “The Term Structure of Real Rates and Expected Inflation.” Journal of Finance 63 (2): 797-849.

  • 2008

Ang, Andrew, Matthew Rhodes-Kropf, and Rui Zhao. 2008. “Do Funds-of-Funds Deserve Their Fees-on-Fees?” Journal of Investment Management 6 (4): 34-58.

  • 2008

Ang, Andrew. 2008. “The Norwegian Government Pension Fund: The Divesiture of Wal-Mart Stores Inc.” Columbia CaseWorks 080301.

  • 2008

Ang, Andrew. 2008. “The Quant Meldown: August 2007.” Columbia CaseWorks 080317.

  • 2007

Ang, Andrew, and Geert Bekaert. 2007. “Stock Return Predictability: Is it There?” Review of Financial Studies 20 (3): 651-707.

  • 2007

Ang, Andrew, Geert Bekaert, and Min Wei. 2007. “Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?” Journal of Monetary Economics 54 (4): 1163-1212.

  • 2007

Ang, Andrew, and Joseph S. Chen. 2007. “CAPM Over the Long Run: 1926-2001.” Journal of Empirical Finance 14 (1): 1-40.

  • 2007

Ang, Andrew, Sen Dong and Monika Piazzesi. 2007. “No-Arbitrage Taylor Rules.” Manuscript.

  • 2007

Ang, Andrew, Li Gu, and Yael V. Hochberg. 2007. “Is IPO Underperformance a Peso Problem?” Journal of Financial and Quantitative Analysis 42 (3): 565-594.

  • 2007

Ang, Andrew, and Jun Liu. 2007. “Risk, Return and Dividends.” Journal of Financial Economics 85 (1): 1-38.

  • 2006

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Risk.” Review of Financial Studies 19 (4): 1191-1239.

  • 2006

Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns,” Journal of Finance, 51 (1): 259-299.

  • 2006

Ang, Andrew, Monika Piazzesi, and Min Wei. 2006, “What Does the Yield Curve Tell us about GDP Growth?” Journal of Econometrics 131 (1-2): 359-403.

  • 2006

Ang, Andrew, Matthew Rhodes-Kropf, and Rui Zhao. 2006. “A New Measure for Measuring.” Institutional Investor’s Alpha, July/August, 40-45. Funded by the BSI GAMMA Foundation.

  • 2005

Ang, Andrew, Geert Bekaert, and Jun Liu. 2005. “Why Stocks May Disappoint.” Journal of Financial Economics 76 (3): 471-508.

  • 2005

Ang, Andrew, and Angela Maddaloni. 2005. “Do Demographic Changes Affect Risk Premiums? Evidence from International Data.” Journal of Business 78 (1): 341-380.

  • 2004

Ang, Andrew, and Geert Bekaert. 2004. “How do Regimes Affect Asset Allocation?” Financial Analysts Journal 60 (2): 86-99. Funded by INQUIRE Europe.

  • 2004

Ang, Andrew, and Jun Liu. 2004. “How to Discount Cashflows with Time-Varying Expected Returns.” Journal of Finance 59 (6): 2745-2783.

  • 2003

Ang, Andrew, and Monika Piazzesi. 2003. “A No-Arbitrage Vector-Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50 (4): 745-787.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “International Asset Allocation with Regime Shifts.” Review of Financial Studies 15 (4): 1137-1187.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Regime Switches in Interest Rates.” Journal of Business and Economic Statistics 20 (2): 163-182.

  • 2002

Ang, Andrew, and Geert Bekaert. 2002. “Short Rate Nonlinearities and Regime Switches.” Journal of Economic Dynamics and Control 26 (7-8): 1243-1274.

  • 2002

Ang, Andrew, and Joseph S. Chen. 2002. “Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63 (3): 443-494.

  • 2001

Ang, Andrew, Joseph S. Chen, and Yuhang Xing. 2006. “Downside Correlation and Expected Stock Returns.” Manuscript.

  • 2001

Ang, Andrew, and Jun Liu. 2001. “A General Affine Earnings Valuation Model.” Review of Accounting Studies 6: 397-425.

  • 1997

Ang, Andrew, and Michael Sherris. 1997. “Interest Rate Risk Management.” North American Actuarial Journal 1 (2): 1-26.

  • 1995

Ang, Andrew. 1995. “Prepayment Penalties – Why MBS Investors Demand a Premium.” JASSA (Journal of the Securities Institute of Australia) 4: 26-29.

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We tested UKGC-licensed casinos to find the best IGT online casinos UK 2026. See our ranked list, bonus comparisons, RTP analysis, and the top IGT slots like Cleopatra and Da Vinci Diamonds. read the full IGT online casinos UK 2026 guide

A practical 2026 guide to the best UKGC-licensed online casinos offering Inspired Gaming slots. Compare bonuses, game availability, payout speed, and mobile performance before you deposit. read the best Inspired Gaming casino guide

A practical guide to the fastest paying UK online casinos in 2026, with a ranked comparison table, payment method breakdown, and no-verification myths debunked. read the instant withdrawal casino guide

A no-nonsense guide to the best international casinos for UK players in 2026, covering UKGC licensing, bonuses, payouts, games, mobile apps, and safer gambling. read the best international casinos for UK players guide

Discover the top UK online casinos with iSoftBet slots and games, plus bonuses, licensing and payout comparisons for 2026. read the best iSoftBet online casinos guide

We tested UK-licensed keno casinos for 2026. Compare bonuses, RTP, mobile apps, withdrawal speeds and live keno options at the top 8 operators. read our ranking of the best keno online casinos in the UK

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