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Advanced Risk & Portfolio Management Research Paper Series
365,922 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 951
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Incl. Fee Electronic Paper Dynamic Models and Structural Estimation in Corporate Finance
Foundations and Trends in Finance, Vol. 6, Nos. 1-2, 2011
Ilya A. Strebulaev and Toni M. Whited
Stanford University - Graduate School of Business and University of Rochester - Simon Graduate School of Business
Date Posted: May 23, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Corporate Financial Distress and Bankruptcy: A Survey
Foundations and Trends in Finance, Vol. 5, No. 4, 2010
 Lemma W. Senbet and Tracy Yue Wang
University of Maryland - Robert H. Smith School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Date Posted: May 23, 2013
Accepted Paper Series

Incl. Electronic Paper Model-free CPPI
 Alexander Schied
University of Mannheim
Date Posted: May 22, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Liquidity and Investment Horizon
 Volodymyr Vovchak
University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: May 20, 2013
Working Paper Series
13 downloads

Incl. Electronic Paper Hedging iTraxx CDS Index Trading on an Intraday Basis: An Empirical Study
 Cheng-Ran Du and Tim Brunne
Independent and Unicredit Bank AG
Date Posted: May 19, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper Capturing Market Returns: Taking an X-Ray of Your Money Manager
 Patrick Beaudan
Belvedere Advisors LLC
Date Posted: May 17, 2013
Working Paper Series
12 downloads

Incl. Electronic Paper Cholesterol and Volatility
 Patrick Beaudan
Belvedere Advisors LLC
Date Posted: May 17, 2013
Working Paper Series
9 downloads

Incl. Electronic Paper Mind Games
 Patrick Beaudan
Belvedere Advisors LLC
Date Posted: May 17, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper Developing an Appreciation for Risk
 Patrick Beaudan
Belvedere Advisors LLC
Date Posted: May 17, 2013
Working Paper Series
12 downloads

Incl. Electronic Paper Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?
 Tobias Berens , Gregor N. F. Weiss and Dominik Wied
University TU Dortmund , TU Dortmund University and University TU Dortmund
Date Posted: May 17, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
 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 (UK) - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Date Posted: May 16, 2013
Working Paper Series
35 downloads

Incl. Electronic Paper A Tactical Approach to Managing Interest Rate Risk in Investment Portfolios
 Patrick Beaudan
Belvedere Advisors LLC
Date Posted: May 14, 2013
Last Revised: May 16, 2013
Working Paper Series
37 downloads

Incl. Electronic Paper Vector-Valued Risk Measure Processes
 Emmanuel Lepinette-Denis and Imen Ben Tahar
Université Paris-Dauphine - CEREMADE and Université Paris-Dauphine - CEREMADE
Date Posted: May 14, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization
 Gabriele Susinno , Olivier Powell and Jeremie Smaga
Unigestion SA , Unigestion SA and Unigestion SA
Date Posted: May 14, 2013
Working Paper Series
92 downloads

Incl. Electronic Paper Stock Return Predictability and the Drift between the Outcomes of Portfolio Investment Strategies
Tinbergen Institute Research Series 58, pp. 57-83 (1993)
 Dirk P.M. De Wit
Stichting De Quintessens
Date Posted: May 09, 2013
Accepted Paper Series
15 downloads

Incl. Electronic Paper Stochastic Portfolio Theory Optimization and the Origin of Alternative Asset Allocation Strategies
 Gianluca Oderda
Ersel Asset Management SGR s.p.a.
Date Posted: May 09, 2013
Working Paper Series
88 downloads

Incl. Electronic Paper Black-Litterman in Continuous Time: The Case for Filtering
Quantitative Finance Letters, Forthcoming
 Mark Davis and Sebastien Lleo
Imperial College London and Reims Management School (RMS)
Date Posted: May 09, 2013
Accepted Paper Series
54 downloads

Incl. Electronic Paper Tail Hedging Strategies
 Issam S. Strub
The Cambridge Strategy
Date Posted: May 08, 2013
Working Paper Series
197 downloads

Incl. Electronic Paper Quality Investing in an Australian Context
 David R. Gallagher , Peter Gardner , Camille Schmidt and Terry S. Walter
Centre for International Finance and Regulation , Plato Investment Management , Macquarie Graduate School of Management and University of Technology, Sydney - School of Finance and Economics
Date Posted: May 07, 2013
Working Paper Series
22 downloads

Incl. Electronic Paper Portfolio Optimization with Private Equity Funds
 Axel Buchner
University of Passau
Date Posted: May 06, 2013
Working Paper Series
21 downloads

Incl. Electronic Paper Accuracy and Rounding in Portfolio Construction
 Andreas Steiner
Andreas Steiner Consulting GmbH
Date Posted: May 06, 2013
Working Paper Series
19 downloads

Incl. Electronic Paper Filtered Market Statistics and Technical Trading Rules
 Z. George Yang
Flexible Plan Investments, Ltd.
Date Posted: May 05, 2013
Working Paper Series
137 downloads

Incl. Electronic Paper Macro-Based Parametric Asset Allocation
 Richard Franz
WU Vienna University of Economics and Business
Date Posted: May 04, 2013
Working Paper Series
143 downloads

Incl. Electronic Paper Does International Diversification Pay?
Journal of Financial Counseling and Planning, Vol. 15, No. 1, 2004
 Vivek Bhargava , Daniel K. Konku and Davinder K. Malhotra
Alcorn State University , Florida Atlantic University - Department of Finance and Philadelphia University
Date Posted: May 04, 2013
Accepted Paper Series
7 downloads

Incl. Electronic Paper An Information-Theoretic Approach to Dimension Reduction of Financial Data
 Brian Fleming and Jens Kroeske
Standard Life Investments Limited and Standard Life Investments Limited
Date Posted: May 04, 2013
Working Paper Series
74 downloads

Incl. Electronic Paper When Do Jumps Matter for Portfolio Optimization?
SAFE Working Paper No. 16
 Marius Ascheberg , Nicole Branger and Holger Kraft
Goethe University Frankfurt , University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Date Posted: May 04, 2013
Working Paper Series
13 downloads

Incl. Electronic Paper A Square-Root T Hedging Rule for Nonstorable Products
 Jukka Sihvonen
University of Vaasa
Date Posted: May 03, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper The Demand for Emerging Market Bonds
Netspar Discussion Paper No. 04/2013-011
 Zaghum Umar
University of Groningen
Date Posted: May 03, 2013
Working Paper Series
6 downloads

Incl. Electronic Paper Low-Risk Investing Without Industry Bets
 Clifford S. Asness , Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC , AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Date Posted: May 03, 2013
Last Revised: May 10, 2013
Working Paper Series
784 downloads

Incl. Electronic Paper Optimizing Full-Scale Optimization for Asymmetric Dependence
 Rand Kwong Yew Low
University of Queensland Business School
Date Posted: May 03, 2013
Working Paper Series
15 downloads

Incl. Electronic Paper Mean-Variance Optimization Still Works! A Bayesian Methodology with Vine Copulas
 Rand Kwong Yew Low , Robert W. Faff and Kjersti Aas
University of Queensland Business School , University of Queensland and Norwegian Computing Center
Date Posted: May 03, 2013
Working Paper Series
54 downloads

Incl. Electronic Paper Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?
Journal of Banking and Finance, Forthcoming
 Rand Kwong Yew Low , Jamie Alcock , Robert W. Faff and Timothy Brailsford
University of Queensland Business School , University of Cambridge - Department of Land Economy , University of Queensland and University of Queensland
Date Posted: May 03, 2013
Accepted Paper Series
30 downloads

Incl. Electronic Paper Advances in Portfolio Risk Control: Risk! Parity?
 Winfried G. Hallerbach
Robeco Asset Management, Quantitative Strategies
Date Posted: May 03, 2013
Working Paper Series
373 downloads

Incl. Electronic Paper Kelly Criterion for Multivariate Portfolios: A Model-Free Approach
 Vasily Nekrasov
University of Duisburg-Essen - Department of Economics
Date Posted: May 02, 2013
Last Revised: May 20, 2013
Working Paper Series
145 downloads

Incl. Electronic Paper Bank's Trading Book and Value-at-Risk
 Manohar Lal
Fiji National University (FNU)
Date Posted: May 02, 2013
Working Paper Series
48 downloads

Incl. Electronic Paper Risk Disparity
MIT Sloan Research Paper No. 5001-13
 Mark Kritzman
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: May 01, 2013
Working Paper Series
74 downloads

Incl. Electronic Paper When Do Jumps Matter for Portfolio Optimization?
 Marius Ascheberg , Nicole Branger and Holger Kraft
Goethe University Frankfurt , University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Date Posted: April 29, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Impact of Calendar Effects in the Volatility of Vale Shares
 Lucas Godeiro
Federal Rural University Of Semi-Arid - UFERSA
Date Posted: April 29, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper General Covariance, Spectrum of Riemannium, and a Stress Test Calculation Formula
 Piotr Chmielowski
Lombard Odier Darier Hentsch & Cie - Lombard Odier Investment Management
Date Posted: April 29, 2013
Working Paper Series
23 downloads

Incl. Electronic Paper The Benefits of Differential Variance-Based Constraints in Portfolio Optimization
European Journal of Operational Research, 2013
 Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Date Posted: April 28, 2013
Accepted Paper Series
22 downloads

Incl. Electronic Paper Stochastic Pricing Dynamics of Hard-to-Borrow Stocks
 Neil McBride
Independent
Date Posted: April 26, 2013
Working Paper Series
54 downloads

Incl. Electronic Paper Easy Volatility Investing
 Tony Cooper
Double-Digit Numerics
Date Posted: April 23, 2013
Working Paper Series
536 downloads

Incl. Electronic Paper JSE Exotic Can-Do Options: Determining Initial Margins
 Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Date Posted: April 23, 2013
Working Paper Series
13 downloads

Incl. Electronic Paper Underestimation Bias of Risk on Optimized Portfolio by Multifactor Risk Model - Risk of Long Short Portfolio can be Underestimated
 Seiji Minami
Resona Bank
Date Posted: April 22, 2013
Last Revised: May 01, 2013
Working Paper Series
58 downloads

Incl. Electronic Paper The High Cost of Simplified Math: Overcoming the 'IID Normal' Assumption in Performance Evaluation
 Marcos Lopez de Prado
Hess Energy Trading Company
Date Posted: April 22, 2013
Last Revised: April 26, 2013
Working Paper Series
466 downloads

Incl. Electronic Paper Smart Beta Strategies: The Social Responsibility of Investment Universes Does Matter
 Philippe Bertrand and Vincent Lapointe
IAE Aix-en-Provence, Aix Marseille University, CERGAM and Aix Marseille University
Date Posted: April 21, 2013
Last Revised: May 03, 2013
Working Paper Series
36 downloads

Incl. Electronic Paper Portfolio Theory as a Pattern of Timeless Moments
 James Ming Chen
University of Louisville - Louis D. Brandeis School of Law
Date Posted: April 21, 2013
Working Paper Series
154 downloads

Incl. Electronic Paper Handling Risk On/Risk Off Dynamics with Correlation Regimes and Correlation Networks
 Jochen Papenbrock and Peter Schwendner
PPI AG and Zurich University of Applied Sciences
Date Posted: April 21, 2013
Last Revised: May 22, 2013
Working Paper Series
279 downloads

Incl. Electronic Paper Risk vs Trend Driven Global Tactical Asset Allocation
 Benoît Guilleminot , Jean-Jacques Ohana and Steve Ohana
Riskelia , Riskelia and ESCP Europe
Date Posted: April 19, 2013
Working Paper Series
342 downloads

Incl. Electronic Paper Examining the Performance of a Value Investing Heuristic: Evidence from the S&P/TSX 60 from 2001-2011
 Eben Otuteye and Mohammad Siddiquee
University of New Brunswick - Fredericton - Faculty of Business and University of New Brunswick - Fredericton - Faculty of Business
Date Posted: April 17, 2013
Working Paper Series
20 downloads


 

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