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.
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.
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.
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.
Ang, Andrew, Linxi Chen, Michael Gates, and Paul D. Henderson. 2021. “Index + Factors + Alpha.” Financial Analysts Journal 77 (4): 45-64.
Moehle, Nicholas, Stephen Boyd, and Andrew Ang. 2022. “Attribution via Shapley Value.” Journal of Investment Management 20 (3): 33-52.
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.
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.
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.
