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Advanced Risk & Portfolio Management Research Paper Series
642,539 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 1,412
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1 2 3 4 ... 29 | Next >
   


Incl. Electronic Paper Analysis of Default Probability: A Comparative Theoretical Approach between the Credit Portfolio View Model and the Creditrisk Model
International Journal of Business Management & Research (IJBMR), Vol. 3, Issue 1, March 2013, 157-170
Abdelkader Derbali and Slaheddine Hallara
Higher Institute of Management and Higher Institute of Management
Date Posted: December 21, 2014
Accepted Paper Series
7 downloads

Incl. Electronic Paper The Impact of Banking Strategies on the Net Interest Margin: Empirical Evidence From Tunisia
International Journal of Innovation and Applied Studies, Vol. 6, No. 1, May 2014, pp. 97-109
Abdelkader Derbali
Higher Institute of Management
Date Posted: December 21, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Determinants of Performance of Insurance Companies in Tunisia: The Case of Life Insurance
International Journal of Innovation and Applied Studies, Vol. 6, No. 1, May 2014, pp. 90-96
Abdelkader Derbali
Higher Institute of Management
Date Posted: December 21, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper The Predictive Power of Portfolio Characteristics
Barry Gillman , Erianna Khusainova and Juan Mier
Brandes Investment Partners , Lazard Asset Management and Lazard Asset Management
Date Posted: December 20, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper A Behavioral Theory of Real Options
Hart E. Posen , Michael J. Leiblein and John S. Chen
University of Wisconsin-Madison , Ohio State University (OSU) - Department of Management & Human Resources and University of Florida
Date Posted: December 20, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method
Cornelis S.L. de Graaf , Drona Kandhai and Peter M.A. Sloot
University of Amsterdam , University of Amsterdam and University of Amsterdam
Date Posted: December 19, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper The Contemporary Art Market in Poland - Paintings
Journal of Management and Financial Sciences, Vol. 17, Issue 15, 2014, pp. 63-80
Krzysztof Borowski and Weronika Kosmala II
Warsaw School of Economics and Warsaw School of Economics
Date Posted: December 16, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Hypercube in the Kitchen: Reading a Menu of Active Investment Strategies
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: December 12, 2014
Working Paper Series
54 downloads

Incl. Electronic Paper Robust Portfolio Choice with Derivatives Trading Under Stochastic Volatility
Marcos Escobar , Sebastian Ferrando and Alexey Rubtsov
Ryerson University , Ryerson University and Ryerson University
Date Posted: December 09, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper A Comparative Analysis of Liquidity Measures
Yuping Huang and Vasilios I. Sogiakas
University of Glasgow and University of Glasgow
Date Posted: December 03, 2014
Working Paper Series
125 downloads

Incl. Electronic Paper Return Forecast Models and Out-of-Sample Portfolio Optimization: Evidence for Industry Portfolios
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Justus Liebig University Giessen
Date Posted: December 03, 2014
Last Revised: December 11, 2014
Working Paper Series
68 downloads

Incl. Electronic Paper Smart Beta ETF Portfolios: Cloning Beta Active Hedge Funds
Jun Duanmu , Yongjia Li and Alexey Malakhov
University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance , University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance and University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance
Date Posted: December 02, 2014
Last Revised: December 10, 2014
Working Paper Series
95 downloads

Incl. Electronic Paper Asymptotic Behaviour of the Fractional Heston Model
Hamza Guennoun , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: November 30, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper Motion Forecasting of Share Quotation of the Ukrainian Companies on the Basis of the Elliott Wave Theory
Alexander V. Zaporozhchenko
Odessa Mariinskaya High School
Date Posted: November 30, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Two Examples of Non Strictly Convex Large Deviations
Stefano De Marco , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: November 28, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Impact of Firm's Characteristics on Determining the Financial Structure on the Insurance Sector Firms in Pakistan
Ahmed Muhammed Khan
Iqra University Karachi
Date Posted: November 28, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Algorithmic Trading Model for Manifold Learning in FX
Zee Fernandez
Modus Operandi, Inc.
Date Posted: November 26, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper A Level Dependent Proportional Strategy for Zero-Edge Games
Muhammed Bashiru
Independent
Date Posted: November 26, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 25, 2014
Last Revised: December 16, 2014
Working Paper Series
59 downloads

Incl. Electronic Paper An Analytical Justification for Asset Allocation
Woo Chang Kim and Yongjae Lee
Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: November 25, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper Sovereign Ratings Implied by Coupled CDS-Bond Market Data
Stefano Marmi , Aldo Nassigh and Daniele Regoli
Scuola Normale Superiore , UniCredit Group and Scuola Normale Superiore
Date Posted: November 25, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Two Maxentropic Approaches to Determine the Probability Density of Compound Risk Losses
Erika Gomes-Gonçalves , Henryk Gzyl and Silvia Mayoral
Universidad Carlos III de Madrid - Department of Business Administration , IESA and Universidad Carlos III de Madrid
Date Posted: November 22, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Linear Factor Models: Theory, Applications and Pitfalls
Attilio Meucci
SYMMYS
Date Posted: November 21, 2014
Last Revised: December 08, 2014
Working Paper Series
896 downloads

Incl. Electronic Paper Illiquid Claim Valuation Under Robust Portfolio Choice
Alexey Rubtsov
Ryerson University
Date Posted: November 19, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability
Marcos Escobar , Alexey Rubtsov and Sebastian Ferrando
Ryerson University , Ryerson University and Ryerson University
Date Posted: November 19, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement
Adrian Fernandez-Perez , Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology , Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Date Posted: November 17, 2014
Last Revised: November 18, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper On the Holy Grail of 'Upside Participation and Downside Protection'
Journal of Portfolio Management, Forthcoming
Edward E. Qian
PanAgora Asset Management
Date Posted: November 17, 2014
Last Revised: December 10, 2014
Accepted Paper Series
468 downloads

Incl. Electronic Paper Braided and Knotted Stocks in the Stock Market: Anticipating the Flash Crashes
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: November 17, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Facts and Fantasies About Factor Investing
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Lyxor Asset Management
Date Posted: November 16, 2014
Last Revised: November 28, 2014
Working Paper Series
765 downloads

Incl. Electronic Paper Tail Risk Protection in Asset Management
Cristian Homescu
Independent
Date Posted: November 16, 2014
Working Paper Series
538 downloads

Incl. Electronic Paper Topics in Portfolio Choice: Qualitative Properties, Time Consistency and Investment Under Model Uncertainty
Sigrid Kallblad
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Date Posted: November 15, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy (Technical Appendix)
Seiji Minami and Tetsuroh Wakatsuki
Resona Bank and Resona Bank
Date Posted: November 13, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Smart Currency Hedging for Smart Beta Global Equities
Sanne De Boer
QS Investors
Date Posted: November 12, 2014
Working Paper Series
60 downloads

Incl. Electronic Paper Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets
Yaroslav Melnyk and Frank Thomas Seifried
University of Kaiserslautern and University of Kaiserslautern
Date Posted: November 10, 2014
Last Revised: November 12, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper The International CAPM Redux
Francesca Brusa , Tarun Ramadorai and Adrien Verdelhan
University of Oxford - Said Business School , University of Oxford - Said Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: November 09, 2014
Last Revised: November 20, 2014
Working Paper Series
128 downloads

Incl. Electronic Paper Efficient Markets Meet the Shannon Limit (The Shannon Limit, Relative Channel Capacity, and Price Uncertainty)
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: November 08, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios
Andrew Clare , James Seaton , Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School , City University London - Sir John Cass Business School , University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Date Posted: November 07, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper Long-Term Sources of Investment Returns and a Simple Way to Enhance Equity Returns
Baijnath Ramraika, CFA
MAEG
Date Posted: November 07, 2014
Working Paper Series
119 downloads

Incl. Electronic Paper A Tail of Two Cities: On the Downside Risk and Loss Profile of Asian and North American Hedge Funds
Joseph Cherian , Christine Kon and William Weng
NUS Business School , National University of Singapore (NUS) - Centre for Asset Management Research & Investments (CAMRI) and National University of Singapore (NUS) - Centre for Asset Management Research & Investments (CAMRI)
Date Posted: November 07, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Portfolio KVA: I Theory
Andrew David Green and Chris Kenyon
Lloyds Banking Group and Lloyds Banking Group
Date Posted: November 06, 2014
Working Paper Series
76 downloads

Incl. Electronic Paper Risk Analysis for Project-Based Infrastructure Financing: A Reference Framework
Golib Ablakulovich Kholjigitov and Timur Narbaev
Kazakh-British Technical University - Business School and Kazakh-British Technical University
Date Posted: November 05, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Quantum Tunneling of Stock Price in Range Bound Market Conditions
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: November 05, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Consistency Regions and Frontiers: Using Density Forecasting to Find Consistent Portfolios
N. Meade and John E. Beasley
Imperial College Business School and Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Date Posted: November 04, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Portfolio Optimization in the Financial Market with Correlated Returns Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
Vladimir Dombrovskii and Tatyana Obedko
Tomsk State University and Tomsk State University
Date Posted: October 31, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper Factor Investing in the Corporate Bond Market
Patrick Houweling and Jeroen van Zundert
Robeco Quantitative Strategies and Robeco Quantitative Strategies
Date Posted: October 31, 2014
Last Revised: November 10, 2014
Working Paper Series
657 downloads

Incl. Electronic Paper Modern Portfolio Theory with VaR Objective Functions
Linus Wilson
University of Louisiana at Lafayette - College of Business Administration
Date Posted: October 30, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Decoding Stock Market Behavior with the Topological Quantum Computer
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: October 26, 2014
Working Paper Series
123 downloads

Incl. Electronic Paper Exchange-Traded Funds: A Market Snapshot and Performance Analysis
C. Valle , N. Meade and John E. Beasley
Brunel University , Imperial College Business School and Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Date Posted: October 25, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Extreme Risk, Excess Return and Leverage: The LP Formula
Olivier Le Marois , Julie Mikhalevsky and Raphael Douady
fluks , Fédéris Gestion d’Actifs and Riskdata
Date Posted: October 24, 2014
Last Revised: November 27, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Neural Networks versus Logistic Regression: The Best Accuracy in Predicting Credit Rationing Decision
Wafa Sayeh and Annie Bellier
University of Cergy-Pontoise and University of Cergy-Pontoise - THEMA
Date Posted: October 23, 2014
Working Paper Series
32 downloads


 

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