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Advanced Risk & Portfolio Management Research Paper Series
526,306 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 1,264
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Incl. Electronic Paper Modern Pension Fund Diversification
Marty Anderson , Shan Chen , James Hacking , Mark Lundin , Vaida Maleckaite , Ryan Parham , Mark Steed , Marc Lieberman and Allan Martin
Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Kutak Rock, LLP and Independent
Date Posted: April 19, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Signal-Wise Performance Attribution for Constrained Portfolio Optimisation
Bruno Durin
Capital Fund Management
Date Posted: April 19, 2014
Working Paper Series
29 downloads

Role of Derivatives in Corporate Risk Management
Shahid Mahmood
Edinburgh Napier University
Date Posted: April 14, 2014
Working Paper Series

Incl. Electronic Paper Tilt Nickel to Diamond
George Xiang and Tong Yu
State Street Corporate - State Street Global Advisors and University of Rhode Island - College of Business Administration
Date Posted: April 14, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
Xiangyu Cui , Xun Li and Duan Li
Shanghai University of Finance and Economics - School of Statistics and Management , Hong Kong Polytechnic University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Date Posted: April 11, 2014
Working Paper Series
43 downloads

Incl. Electronic Paper Nonparametric Tests for Constant Tail Dependence with an Application to Energy and Finance
Axel Bücher , Stefan Jäschke and Dominik Wied
Ruhr Universität Bochum , RWE Group - RWE Supply & Trading GmbH and TU Dortmund University
Date Posted: April 10, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS
ICMA Centre Discussion Paper
Emmanouil Platanakis and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Date Posted: April 09, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Kinetic Component Analysis
Marcos Lopez de Prado and Riccardo Rebonato
Guggenheim Partners, LLC and Oxford University - Mathematical Finance - OCIAM
Date Posted: April 08, 2014
Working Paper Series
482 downloads

Incl. Electronic Paper The Solution of Discretionary Stopping Problems with Applications to the Optimal Timing of Investment Decisions
Timothy C. Johnson
Heriot-Watt University - Maxwell Institute for Mathematical Sciences
Date Posted: April 05, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Jump Mis-Specification and International Portfolio Selection
Ke Chen , Luiz Vitiello and Ser-Huang Poon
University of Manchester - Manchester Business School , University of Essex - Essex Business School and University of Manchester - Manchester Business School
Date Posted: April 04, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Maximum Drawdown, Recovery, and Momentum
Jaehyung Choi
SUNY at Stony Brook
Date Posted: April 01, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution
Jaehyung Choi , Aaron Kim and Ivan Mitov
SUNY at Stony Brook , State University of New York, SUNY at Stony Brook University, College of Business and Finanalytica
Date Posted: March 25, 2014
Working Paper Series
28 downloads

The Impact of Crude Oil Investments in Bond Portfolios: Can Oil Serve as a Hedge Against Long Term Bonds?
Sharath Sury and Manda B Sury
San Diego State University and DePaul University - Department of Finance
Date Posted: March 23, 2014
Working Paper Series

Incl. Electronic Paper Risk Control in Asset Management: Motives and Concepts
Thomas Dangl , Otto Randl and Josef Zechner
Vienna University of Technology , WU Vienna University of Economics and Business and Vienna University of Economics and Business
Date Posted: March 23, 2014
Working Paper Series
99 downloads

Incl. Electronic Paper Equal Risk Bounding Is Better then Risk Parity for Portfolio Selection
Francesco Cesarone and Fabio Tardella
Roma Tre University - Department of Business Studies and Faculty of Economics - Sapienza University of Rome
Date Posted: March 23, 2014
Working Paper Series
177 downloads

Incl. Electronic Paper Assessing the Cost of Accounting-Based Long-Short Trades: Should You Invest a Billion Dollars in an Academic Strategy?
Rock Center for Corporate Governance at Stanford University Working Paper No. 177
William H. Beaver , Maureen F. McNichols and Richard A. Price III
Stanford University , Stanford University and Utah State University - Huntsman School of Business
Date Posted: March 22, 2014
Last Revised: March 27, 2014
Working Paper Series
154 downloads

Incl. Electronic Paper Around the Life-Cycle: Deterministic Consumption-Investment Strategies
Marcus Christian Christiansen and Mogens Steffensen
University of Ulm - Department of Mathematics and Economics and University of Copenhagen
Date Posted: March 21, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Optimal Execution in Presence of Short-Term Trading
Adriana M. Criscuolo and Henri Waelbroeck
Portware LLC and Portware LLC
Date Posted: March 21, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper The Role of Covariance Matrix Forecasting Method in the Performance of Minimum-Variance Portfolios
Valeriy Zakamulin
University of Agder - Faculty of Economics
Date Posted: March 20, 2014
Working Paper Series
141 downloads

Incl. Electronic Paper Asset Allocation with Higher Order Moments and Factor Models
Kris Boudt , Wanbo Lu and Benedict Peeters
Free University of Brussels (VUB) , Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Date Posted: March 18, 2014
Working Paper Series
101 downloads

Incl. Electronic Paper Diversification Management of a Multi-Asset Portfolio
Christoph Kind and Muddit Poonia
Frankfurt-Trust Investmentgesellschaft mbH and Indian Institute of Technology Kharagpur
Date Posted: March 18, 2014
Working Paper Series
64 downloads

Incl. Electronic Paper A Simple Approach to Evaluating the Stability of Optimal Portfolios
Zhongjin Yang , Keli Han , Marat Molyboga and Georgiy Molyboga
Efficient Capital Management, LLC , Blackthorne Enterprise Network , Efficient Capital Management, LLC and Kiev University
Date Posted: March 15, 2014
Working Paper Series
95 downloads

Incl. Electronic Paper Modelling the Tail Risk in Private Equities and Hedge Funds
Yasuaki Daisai and Alexandros Gabrielsen
Sumitomo Mitsui Banking Corporation Europe and Sumitomo Mitsui Banking Corporation Europe
Date Posted: March 13, 2014
Working Paper Series
58 downloads

Incl. Electronic Paper Value Factors Do Not Forecast Returns for S&P 500 Stocks
Ian Kaplan
Bear Products International
Date Posted: March 12, 2014
Working Paper Series
72 downloads

Incl. Electronic Paper Taming Momentum Crashes: A Simple Stop-Loss Strategy
Yufeng Han and Guofu Zhou
University of Colorado at Denver - Business School and Washington University in St. Louis - Olin School of Business
Date Posted: March 12, 2014
Last Revised: March 26, 2014
Working Paper Series
1023 downloads

Incl. Electronic Paper Downside Volatility Timing
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and University of Warwick - Warwick Business School
Date Posted: March 12, 2014
Working Paper Series
140 downloads

Incl. Electronic Paper The Economic Value of Realized Jumps: An Asset Allocation Perspective
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and University of Warwick - Warwick Business School
Date Posted: March 12, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Measuring Portfolio Risk Under Partial Dependence Information
Carole Bernard , Michel Denuit and Steven Vanduffel
University of Waterloo , Catholic University of Louvain and Vrije Universiteit Brussel (Free University of Brussels)
Date Posted: March 09, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Dynamic Allocation Strategies for Absolute and Relative Loss Control
Daniel Mantilla-Garcia
Koris International
Date Posted: March 08, 2014
Last Revised: March 27, 2014
Working Paper Series
114 downloads

Incl. Electronic Paper Macro-Hedging of Portfolios of Assets
Alexander Denev
Royal Bank of Scotland (RBS)
Date Posted: March 07, 2014
Last Revised: March 17, 2014
Working Paper Series
83 downloads

Incl. Electronic Paper Positional Portfolio Management
Swiss Finance Institute Research Paper No. 14-20
Patrick Gagliardini , Christian Gourieroux and Mirco Rubin
University of Lugano and Swiss Finance Institute , University of Toronto - Department of Economics and Università della Svizzera Italiana
Date Posted: March 07, 2014
Working Paper Series
138 downloads

Incl. Electronic Paper On the Frequency of Drawdowns for Brownian Motion Processes
Journal of Applied Probability, Vol. 52, No. 1, 2015, Forthcoming
David Landriault , Bin Li and Hongzhong Zhang
University of Waterloo , University of Waterloo - Department of Statistics and Actuarial Science and Columbia University - Department of Statistics
Date Posted: March 07, 2014
Accepted Paper Series
27 downloads

Incl. Electronic Paper Time Series Momentum and Market Stability
Xuezhong He and Kai Li
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - Finance Discipline Group
Date Posted: March 06, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Benchmarking Private Equity: The Direct Alpha Method
Oleg Gredil , Barry E Griffiths and Rüdiger Stucke
University of North Carolina Kenan-Flagler Business School , Landmark Partners and University of Oxford - Said Business School
Date Posted: March 06, 2014
Last Revised: March 14, 2014
Working Paper Series
459 downloads

Incl. Electronic Paper Factor Based Approaches to Risk Parity
Peter Williams
Independent
Date Posted: March 05, 2014
Working Paper Series
119 downloads

Incl. Electronic Paper Portfolio Returns: Downside Risk or Upside Risk: The Art and Science of Investing in Stocks
Ojwang George Omondi Sr.
Siaya Institute of Technology - Department of Business Administration
Date Posted: March 03, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Factor Tilting for Expected Utility Maximization
Journal of Asset Management 11, 31-42 (April 2010)
Sanne De Boer
QS Investors
Date Posted: March 01, 2014
Last Revised: March 03, 2014
Accepted Paper Series
14 downloads

Incl. Electronic Paper To Rebalance or Not to Rebalance: A Statistical Comparison of Terminal Wealth of Fixed-Weight and Buy-and-Hold Portfolios
Edward E. Qian
PanAgora Asset Management
Date Posted: March 01, 2014
Working Paper Series
93 downloads

Incl. Electronic Paper A New Variance Reduction Technique for Estimating Value-at-Risk
Ralf Korn and Mykhailo Pupashenko
University of Kaiserslautern - Department of Mathematics and University of Kaiserslautern - Department of Mathematics
Date Posted: March 01, 2014
Working Paper Series
53 downloads

Equally Weighted vs. Long-Run Optimal Portfolios
Forthcoming, European Financial Management
Giovanna Nicodano , Carolina Fugazza and Massimo Guidolin
University of Turin - Department of Economics and Statistics , University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) and Bocconi University - Department of Finance
Date Posted: February 28, 2014
Accepted Paper Series

Incl. Electronic Paper On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation
BIS Working Paper No. 420
Marco Jacopo Lombardi and Francesco Ravazzolo
Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Date Posted: February 27, 2014
Accepted Paper Series
82 downloads

Incl. Electronic Paper Estimation Error of Expected Shortfall
Imre Kondor
Parmenides Foundation
Date Posted: February 25, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management: An Application to Data from Deutsche Börse
Georges Dionne , Maria Pacurar and Xiaozhou Zhou
HEC Montreal - Department of Finance , Rowe School of Business, Dalhousie University and HEC Montreal - Department of Finance
Date Posted: February 21, 2014
Last Revised: March 01, 2014
Working Paper Series
111 downloads

Incl. Electronic Paper Coming Up Short: Managing Underfunded Portfolios in a LDI-ES Framework
Sanjiv Ranjan Das , Seoyoung Kim and Meir Statman
Santa Clara University - Leavey School of Business , Santa Clara University and Santa Clara University - Department of Finance
Date Posted: February 20, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
Olaf Menkens
Dublin City University - School of Mathematical Sciences
Date Posted: February 19, 2014
Last Revised: March 16, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Costs and Benefits of Crash Hedging
Olaf Menkens
Dublin City University - School of Mathematical Sciences
Date Posted: February 18, 2014
Last Revised: March 16, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Information Ratio Analysis of Momentum Strategies
Fernando F Ferreira , A. Christian Silva and Ju-Yi Yen
Universidade de Sao Paulo , idatafactory and University of Cincinnati
Date Posted: February 18, 2014
Working Paper Series
65 downloads

Incl. Electronic Paper A New Approach to Assessing Model Risk in High Dimensions
Carole Bernard and Steven Vanduffel
University of Waterloo and Vrije Universiteit Brussel (Free University of Brussels)
Date Posted: February 10, 2014
Working Paper Series
97 downloads

Incl. Electronic Paper Delegated Portfolio Management Under Ambiguity Aversion
CEIS Working Paper No. 304
Annalisa Fabretti , Stefano Herzel and Mustafa Pinar
University of Rome "Tor Vergata" - Tor Vergata Economics University Foundation , University of Rome II - Faculty of Economics and Bilkent University - Department of Industrial Engineering
Date Posted: February 08, 2014
Last Revised: February 14, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Financial Clustering in Presence of Dominant Markets
Working Paper CRENoS 2013/18
Romana Gargano and Edoardo Otranto
University of Messina and University of Messina
Date Posted: February 08, 2014
Working Paper Series
35 downloads


 

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