Chan, Ying, Ked Hogan, Katharina Schwaiger, and Andrew Ang. 2020. “ESG in Factors.” Journal of Impact and ESG Investing 1 (1): 26-45.
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.
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.
Ang, Andrew. 2020. “Including Factor Investing in Portfolio Design.” Journal of Investment Consulting, 20, 1, 4-11.
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.
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.
Kimura, Keiko, Katharina Schwaiger, Deepika Sharma, and Andrew Ang. 2021. “Factors with Style.” Journal of Investing 30 (3): 21-46.
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.
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.
