Research

Andrew Ang

From Academic Insight to Investor Edge

Research

Andrew Ang

From Academic Insight to Investor Edge

research

Alpha Strategies Papers

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

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.

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.

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.

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.

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

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

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.

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

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.

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.

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

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.

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.

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

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

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.

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

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

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

Asset Allocation

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Forthcoming Journal of Investing.

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

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.

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.

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.

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.

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.

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.

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

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

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

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.

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

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.

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

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

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

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.

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.

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.

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

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.

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

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

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.

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

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

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.

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

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

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.

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.

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

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

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

Case Studies

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

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

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

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

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

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

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.

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

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

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

Crypto

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

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Forthcoming Journal of Investing.

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

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

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.

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.

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.

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

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.

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.

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.

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

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.

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.

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

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

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

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

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.

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.

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.

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.

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

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

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.

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.

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

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.

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.

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.

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

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

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

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

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

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.

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.

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.

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.

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

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.

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

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

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.

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

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

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

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

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

Factor Strategies

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

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.

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

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.

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.

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.

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

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.

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

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.

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

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.

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

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.

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.

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.

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.

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.

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

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

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.

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.

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.

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

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.

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.

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

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

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.

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.

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.

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

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

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.

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

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.

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.

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.

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.

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

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

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

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

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.

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.

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.

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

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

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.

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

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.

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

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

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.

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

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.

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

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.

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.

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

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

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

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

Foreign Exchange

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

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

Hedge Funds

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

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

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

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

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

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

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.

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

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.

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.

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.

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.

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.

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

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.

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

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.

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

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

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.

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

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.

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.

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

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

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.

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

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

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

Portfolio Engineering

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.

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.

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.

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

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

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.

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.

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.

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, 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.

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

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.

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

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.

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.

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

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

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

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

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.

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

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

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.

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

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

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

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

Private Equity

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

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.

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.

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

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

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.

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

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.

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

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

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.

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

Real Estate

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.

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

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

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.

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

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.

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

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.

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

Retirement

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.

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.

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

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.

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

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

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Forthcoming Journal of Investing.

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

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

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.

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.

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.

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.

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.

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.

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.

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

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.

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

Papers 2021-2025

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Forthcoming Journal of Investing.

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

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.

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.

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, 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.

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.

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

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.

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.

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.

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.

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.

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.

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.

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.

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

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.

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.

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

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

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

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.

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.

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

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.

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

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

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, 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.

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

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

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

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

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.

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

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

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.

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.

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.

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.

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.

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.

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

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

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.

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

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

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

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.

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.

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.

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

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

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.

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

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

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

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.

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

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

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

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.

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.

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.

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.

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

Ang, Andrew. 2012a. “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.

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

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

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

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.

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

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

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

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.

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

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.

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.

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.

Papers 2006-2010

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

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

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

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

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.

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.

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

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.

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

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.

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

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

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.

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

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

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.

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.

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

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

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

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

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

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.

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

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

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

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

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

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

Papers 1995-2000

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

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

All Papers

Jacobs, Peter, Ursula Marchioni, Stefan Poechhacker, Nicholas Werbach, and Andrew Ang. 2025. “Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios.” Forthcoming Journal of Investing.

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

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.

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.

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, 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.

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.

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

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.

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.

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.

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.

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.

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.

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.

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.

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

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.

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.

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

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

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

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.

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.

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

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.

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.

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

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, 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.

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

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

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

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

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.

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

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

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.

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.

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.

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.

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.

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.

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

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

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.

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

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

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

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.

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.

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.

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.

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

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.

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

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

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

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.

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

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

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

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.

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.

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.

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.

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

Ang, Andrew. 2012a. “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.

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

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

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

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.

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

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

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

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.

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

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.

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.

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.

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

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

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

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

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.

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.

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

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.

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

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.

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

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

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.

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

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

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.

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.

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.

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

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

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

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

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.

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

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

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

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

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

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

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

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