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Advanced Risk & Portfolio Management® Research Paper Series
970,556 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Advanced Risk & Portfolio Management® Logo

The Advanced Risk and Portfolio Management® Research Paper Series has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. Areas of emphasis include
  • Asset allocation: portfolio construction, optimization, robustness, tactical allocation, asset & liability management, dynamic strategies, alternative alpha/exotic beta, index construction, risk budgeting, hedging, risk & performance attribution
  • Liquidity: market impact, optimal execution, algorithmic trading
  • Risk management: VaR and risk measures, diversification, market risk, credit risk, counterparty risk, operational risk, drawdown control
  • Model construction: estimation and forecasting, factor models, copulas, simulations, trees, lattices
Showing Papers 1 - 50 of 1,810
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1 2 3 4 ... 37 | Next >
   

Incl. Electronic Paper Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Date Posted: September 23, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Understanding the Oil Price Movement: Short Versus Long Run Using the Leap Frog Model
Yosef Bonaparte
University of Colorado at Denver - Department of Finance
Date Posted: September 22, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Tail Systemic Risk and Banking Network Contagion: Evidence from the Brazilian Banking System
ICMA Centre Discussion Paper No. 2016-05
Miguel Angel Rivera-Castro, Andrea Ugolini and J. C. Arismendi
Post graduate programme in management - PPGA, University of Salvador (UNIFACS), University of Florence and University of Reading - ICMA Centre
Date Posted: September 22, 2016
Last Revised: September 24, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Analysis of Herding in Reits of an Emerging Market: The Case of Turkey
University of Pretoria, Department of Economics Working Paper Series, 2016-66, September, 2016
Omokolade Akinsomi, Yener Coskun and Rangan Gupta
University of the Witwatersrand, Capital Markets Board of Turkey and University of Pretoria - Department of Economics
Date Posted: September 21, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper ETFs vs Structured Notes: The Equity Yield Enhancement Puzzle
Nicolas Patassi
Mirabaud Asset Management (FR)
Date Posted: September 20, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Shrinking the Coskewness Matrix: Bias Corrected Shrinkage Intensity and Extension to Multiple Targets
Kris Boudt, Dries Cornilly and Tim Verdonck
Free University of Brussels (VUB), Free University of Brussels (VUB) and Department of Mathematics, KU Leuven
Date Posted: September 20, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Leveraged Funds: Robust Replication and Performance Evaluation
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Date Posted: September 19, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Estimating Fundamental Sharpe Ratios: A Kalman Filter Approach
Hayette Gatfaoui
IESEG School of Management
Date Posted: September 15, 2016
Working Paper Series
73 downloads

Incl. Electronic Paper If You Have Said A, You Must Also Say B: Calculating Diversified Asset Returns
Winfried G. Hallerbach
Robeco Asset Management, Quantitative Investment Research
Date Posted: September 15, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper The Solvency II Standard Formula, Linear Geometry, and Diversification
Joachim Paulusch
R+V Lebensversicherung AG
Date Posted: September 14, 2016
Last Revised: September 22, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Tractable Robust Drawdown Management
Alexey Medvedev
Lombard Odier & Cie
Date Posted: September 08, 2016
Last Revised: September 21, 2016
Working Paper Series
89 downloads

Incl. Electronic Paper Pricing of Defaultable Claims in a Semimartingale Setting
Silke Prohl
Princeton University
Date Posted: September 07, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Developmental Case Study of Hedge Fund Clone Program as Knowledge Creation Means: Action Research Using Soft Systems Methodology and Social Learning
Review of Integrative Business and Economics Research, Vol.5, No.4, pp.307-328, 2016
Shintaro Nagao and Masahiro Kobayashi
Japan Advanced Institute of Science and Technology - Center for Advanced Education for Working Professionals and Daiwa Asset Management
Date Posted: September 06, 2016
Last Revised: September 10, 2016
Accepted Paper Series
25 downloads

Incl. Electronic Paper Study of the Barrier Probability in a Classical Risk Model for Two Different Claim Amount Distributions with Same Mean
Das, Palash Ranjan.(2013). ‘Study of the Barrier Probability in a Classical Risk Model for two different claim amount distributions with same Mean’. International Journal for Scientific Research and Development, Vol 1, Issue 8, pp.1488-1490. ,
Palash Ranjan Das
University of Calcutta
Date Posted: September 02, 2016
Accepted Paper Series
10 downloads

Incl. Electronic Paper Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: September 02, 2016
Last Revised: September 14, 2016
Working Paper Series
113 downloads

Incl. Electronic Paper Low-Frequency Investment with High-Frequency Measures: Is it Profitable?
Oleg Komarov
Imperial College Business School
Date Posted: September 02, 2016
Working Paper Series
164 downloads

Incl. Electronic Paper Local and Terminal Volatility of Equity in a Hybrid Model with Hull White Interest Rates
Joachim Paulusch
R+V Lebensversicherung AG
Date Posted: August 29, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Can VPIN Forecast Geopolitical Events? Evidence from the 2014 Crimean Crisis
Felipe Bastos G. Silva and Ekaterina Volkova
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: August 26, 2016
Last Revised: September 03, 2016
Working Paper Series
95 downloads

Incl. Electronic Paper Non-Gaussian Analytic Option Pricing: A Closed Formula for the Lévy-Stable Model
Jean-Philippe Aguilar and Cyril G. Coste
BRED Banque Populaire and BRED Banque Populaire
Date Posted: August 25, 2016
Last Revised: September 12, 2016
Working Paper Series
48 downloads

Inference on the Integrated Volatility with Multiple Records by Using Range
Yiqi Liu, Wang Li and Zhi Liu
University of Macau, University of Macau and University of Macau
Date Posted: August 25, 2016
Working Paper Series

Incl. Electronic Paper Post-Crisis Secular Shifts in the Capital Markets and the Global Economy Could Foster a New Normal
William J. Dodwell
Capital Markets Consultant
Date Posted: August 24, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Bending, Stretching, and Smiling: A Common Ratio in Homeomorphisms of the Faces of Finance
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: August 24, 2016
Last Revised: September 18, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Robust Return Risk Measures
Fabio Bellini, Roger J. A. Laeven and Emanuela Rosazza Gianin
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Amsterdam - Amsterdam School of Economics and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Date Posted: August 23, 2016
Working Paper Series
59 downloads

Incl. Electronic Paper Lead Lag Relationship and Price Behavior in Potato
International Journal of Business Quantitative Economics and Applied Management Research, Volume 1, Issue 7, December 2014
Tanushree Sharma
Manipal University
Date Posted: August 23, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Estimating Stock Return Volatility in Indian and Chinese Stock Market
International Journal of Banking, Risk and Insurance, Vol 4, Issue 2, Sept 2016, pp 37-49
Vanita Tripathi and Pankaj Chaudhary
University of Delhi India - Delhi School of Economics - Department of Commerce and University of Delhi - Shri Ram College of Commerce
Date Posted: August 23, 2016
Accepted Paper Series
22 downloads

Incl. Electronic Paper Do Tweet Sentiments Still Predict the Stock Market?
Jim Kyung-Soo Liew and Tamás Budavári
Johns Hopkins University - Carey Business School (JHU) and Johns Hopkins University - Department of Applied Mathematics and Statistics
Date Posted: August 22, 2016
Working Paper Series
247 downloads

Incl. Electronic Paper The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market
Thomas K. Philips and Steven Friedman
BNP Paribas Investment Partners and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: August 21, 2016
Last Revised: August 27, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Stock Market Efficiency under the Cost of Carry Model. Evidence from the Spanish Market
Javier Sánchez-Verdasco
Incompany Formación en Finanzas
Date Posted: August 19, 2016
Last Revised: August 31, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper The Beta Heuristic from a Time/Frequency Perspective: A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Bruce Mcnevin and Joan Nix
Midway Group and Queens College
Date Posted: August 19, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper The Life Cycle of Beta
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco School of Management, Konkuk University and Queen's University - Smith School of Business
Date Posted: August 14, 2016
Working Paper Series
113 downloads

Incl. Electronic Paper Mathematics and Economics: A Reality Check
Journal of Portfolio Management, Vol. 43, No. 1, 2016
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: August 13, 2016
Last Revised: August 21, 2016
Accepted Paper Series
459 downloads

Incl. Electronic Paper Investment Horizon Risk and Volatility Metrics
Bob Korkie
University of Alberta
Date Posted: August 12, 2016
Working Paper Series
67 downloads

Incl. Electronic Paper Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation
David Ardia, Kris Boudt and Giang Ha Nguyen
University of Neuchatel - Institute of Financial Analysis, Free University of Brussels (VUB) and Free University of Brussels (VUB)
Date Posted: August 11, 2016
Working Paper Series
219 downloads

Incl. Electronic Paper Stress Testing of Credit Risk: Case Based on Loan Portfolio, Capital Adequacy and Non Performing Loans in Kosovo
Ibish Mazreku and Fisnik Morina
University 'Haxhi Zeka' and University 'Haxhi Zeka'
Date Posted: August 10, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper Estimating the Country Risk Premium in Emerging Markets: The Case of the Republic of Macedonia
Financial Theory and Practice 36 (4) 413-434 (2012)
Aleksandar Naumoski
Ss. Cyril and Methodius University - Faculty of Economics
Date Posted: August 09, 2016
Accepted Paper Series
19 downloads

Incl. Electronic Paper Stress Test of Liquidity Risk: The Case Based on the Withdrawal of Deposits in Kosovo 2013-2015
Fisnik Morina
University 'Haxhi Zeka'
Date Posted: August 08, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Financial Contagion and the Cross Section of Expected Returns
Matthew Linn
Isenberg School of Management, University of Massachusetts
Date Posted: August 04, 2016
Last Revised: August 17, 2016
Working Paper Series
104 downloads

Incl. Electronic Paper Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective
Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2817599
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Bradford - School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Date Posted: August 04, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Time-Dependent Black-Litterman
Methodological working paper 2016-02, June 2016
Martin van der Schans and Hens Steehouwer
Ortec Finance and ORTEC Centre for Financial Research (OCFR)
Date Posted: August 04, 2016
Working Paper Series
81 downloads

Incl. Electronic Paper On Economic Space Notion
International Review of Financial Analysis, 22 January 2016, DOI-10.1016/j.irfa.2016.01.001
Victor Olkhov
TVEL Fuel Company
Date Posted: August 02, 2016
Last Revised: September 20, 2016
Accepted Paper Series
22 downloads

Incl. Electronic Paper Un-Diversifying During Crises: Is It a Good Idea?
Margherita Giuzio and Sandra Paterlini
EBS Universität für Wirtschaft und Recht and EBS Universität für Wirtschaft und Recht
Date Posted: August 01, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Comments on Option Pricing
Ilya I. Gikhman
Independent
Date Posted: July 30, 2016
Last Revised: August 11, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas
Albert A. Zevelev
CUNY Baruch College
Date Posted: July 30, 2016
Working Paper Series
43 downloads

Climate Change and Asset Prices: Are Corporate Carbon Disclosure and Performance Priced Appropriately?
Forthcoming, Journal of Business Finance & Accounting
Andrea Liesen, Frank Figge, Andreas G. F. Hoepner and Dennis M. Patten
Institute for Ecological Economy Research (IOEW), KEDGE Business School, University of Reading - ICMA Centre and Illinois State University
Date Posted: July 28, 2016
Accepted Paper Series

Incl. Electronic Paper Transaction Cost and Crowding
Ludwig B. Chincarini
University of San Francisco School of Management
Date Posted: July 28, 2016
Working Paper Series
116 downloads

Incl. Electronic Paper Portfolio Execution with Multi-Period Stochastic Forecasts and Size Constraints
Dmitriy Nuriyev
Independent
Date Posted: July 27, 2016
Last Revised: September 17, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Relationship between the State and Subsidized Companies: Agency Problem
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: July 25, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Express Measurement of Market Volatility Using Ergodicity Concept
Jack Sarkissian
Algostox Trading
Date Posted: July 21, 2016
Last Revised: July 23, 2016
Working Paper Series
295 downloads

Incl. Electronic Paper Expected Downside Risk and Asset Prices: Characteristics of Emerging and Developed European Markets
Empirica, Journal of European Economics (2016) Forthcoming, DOI: 10.1007/s10663-016-9329-3
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
30 downloads

Incl. Electronic Paper Generalized Asset Pricing: Expected Downside Risk-Based Equilibrium Modelling
Economic Modelling, Vol. 52, (PB), 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
39 downloads


 

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