Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 556,792
Full Text Papers: 459,186
Authors: 258,475
Papers Received in
  Last 12 months:
63,738

Paper Downloads:
To date: 77,342,949
Last 12 months: 9,682,530
Last 30 days: 674,642

CiteReader:  What's this?
Papers with
  Resolved
  References:
260,281
Total References: 9,006,948
Papers with Cites: 241,334
Total Citation
  Links:
5,937,149
Papers with
  Resolved
  Footnotes:
89,535
Total Footnotes: 9,138,109


SSRN eLibrary Search Results
Advanced Risk & Portfolio Management Research Paper Series
570,128 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 1,324
Sort By
1 2 3 4 ... Last | Next >


Incl. Electronic Paper 'Activist' Hedge Funds: Creators of Lasting Wealth? What Do the Empirical Studies Really Say?
Yvan Allaire and Francois Dauphin
Institute for Governance of Private and Public Organizations (IGOPP) and Institute for Governance of Private and Public Organizations (IGOPP)
Date Posted: July 25, 2014
Working Paper Series
1 downloads

Quality: A Distinct Equity Risk Factor?
Daniel Ung , Xiaowei Kang and Priscilla Luk
Chartered Alternative Investment Analyst Association (CAIA) , Standard & Poor's and Independent
Date Posted: July 24, 2014
Last Revised: July 25, 2014
Working Paper Series

Incl. Electronic Paper Calendar Anomalies and the Financial Trends’ Role: An Empirical Research for the Day of the Week and the Reverse Weekend Effect in the S&P 500.
Evangelos Vasileiou
University of the Aegean
Date Posted: July 23, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Arbitrage-Free Prediction of the Implied Volatility Smile
Risk Magazine, Forthcoming
Petros Dellaportas and Aleksandar Mijatovic
Athens University of Economics and Business and Imperial College London
Date Posted: July 23, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Estimation of the Hurst Exponent by Randomizing Portfolio Coefficients
Aram Gushchyan
Russian Academy of National Economy and Public Administration under the President of the Russian Federation
Date Posted: July 21, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Deriving the Equity/ZC Bond Implied Correlation Using Market Observables
Gilbert Eid
GMIV
Date Posted: July 16, 2014
Last Revised: July 22, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper Deflating the Sharpe Ratio
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: July 14, 2014
Last Revised: July 16, 2014
Working Paper Series
155 downloads

The Benefits of Socially Responsible Investing: An Active Manager's Perspective
Indrani De and Michelle Clayman
New Amsterdam Partners, LLC and New Amsterdam Partners, LLC
Date Posted: July 11, 2014
Working Paper Series

Incl. Electronic Paper Comparing Performance Attribution Linking Methods: An Empirical Study
Yindeng Jiang and Joseph F Saenz
University of Washington - Investment Management and University of Washington - Investment Management
Date Posted: July 09, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Components of Portfolio Variance: R2, SelectionShare and TimingShare
Anders G. Ekholm
Hanken School of Economics - Department of Finance and Statistics
Date Posted: July 09, 2014
Last Revised: July 22, 2014
Working Paper Series
129 downloads

Incl. Electronic Paper Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas
UNSW Australian School of Business Research Paper No. 2014ACTL05
Benjamin Avanzi , Jamie Tao , Bernard Wong and Xinda Yang
University of Montreal - Department of Mathematics and Statistics , Westpac Bank , University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: July 04, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Journal of Portfolio Management, Forthcoming
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: July 01, 2014
Last Revised: July 24, 2014
Accepted Paper Series
289 downloads

Incl. Electronic Paper Evaluation of Short-Run Market Performance and Its Determinants using Binary Models: Evidence from Australian IPOs
Wasantha Perera and Nada Kulendran
University of Victoria and Victoria University of Technology - Faculty of Business and Law
Date Posted: June 28, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Toward a Greater Understanding of Buy-Side Analysts
Lawrence D. Brown , Andrew C. Call , Michael B. Clement and Nathan Y. Sharp
Temple University - Department of Accounting , Arizona State University (ASU) - School of Accountancy , University of Texas at Austin - Department of Accounting and Texas A&M University (TAMU) - Department of Accounting
Date Posted: June 25, 2014
Working Paper Series
494 downloads

Incl. Electronic Paper Semiclassical Approximation in Stochastic Optimal Control: I. Portfolio Construction Problem
Sakda Chaiworawitkul , Patrick S Hagan and Andrew Lesniewski
J.P. Morgan Chase & Co. , University of Oxford and CUNY Baruch College
Date Posted: June 25, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper On a Portfolio of Illiquid Assets
Avi Messica
Colman College of Management
Date Posted: June 24, 2014
Working Paper Series
79 downloads

Incl. Electronic Paper Risk Adjusted Time Series Momentum
Martin Dudler , Bruno Gmuer and Semyon Malamud
Quantica Capital , Quantica Capital and Ecole Polytechnique Federale de Lausanne
Date Posted: June 23, 2014
Working Paper Series
490 downloads

Incl. Electronic Paper Practical Considerations for Factor-Based Asset Allocation
Xiaowei Kang and Daniel Ung
Standard & Poor's and Chartered Alternative Investment Analyst Association (CAIA)
Date Posted: June 22, 2014
Working Paper Series
103 downloads

Incl. Electronic Paper Stress Testing of Non Performing Assets in Priority Sector Lending: An Impact Assessment of SBI Portfolios
Maheswaran Mahalingam and D. N. Rao
Suresh Gyan Vihar University and Suresh Gyan Vihar University
Date Posted: June 15, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Coherent CVA and FVA with Liability Side Pricing of Derivatives
Wujiang Lou
HSBC
Date Posted: June 15, 2014
Last Revised: June 24, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Behavioural Finance: A User-Oriented Procedure to Assessing Preferences Under Risk
Robert F Bordley , Luisa Tibiletti and Mariacristina Uberti
University of Michigan at Ann Arbor , University of Turin - Department of Management and University of Turin
Date Posted: June 14, 2014
Working Paper Series
48 downloads

An Empirical Examination of the Process of Information Transmission in India's Agriculture Futures Markets
Forthcoming in Journal of Quantitative Economics (New Series)
Sanjay Sehgal , Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies , University of Delhi - Department of Financial Studies and ESC PAU
Date Posted: June 13, 2014
Accepted Paper Series

Incl. Electronic Paper Taking the Right Course Navigating the ERC Universe
Roberto Savona and Cesare Orsini
University of Brescia and Epsilon Associati Sgr S.p.A.
Date Posted: June 13, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Linking the Problems of Estimating and Allocating Unconditional Capital
Alex Ferrer , José Casals and Sonia Sotoca
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) , Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Date Posted: June 12, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Conditional Coverage and Its Role in Determining and Assessing Long-Term Capital Requirements
Alex Ferrer , José Casals and Sonia Sotoca
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) , Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Date Posted: June 12, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper A New Approach to the Unconditional Measurement of Default Risk
Alex Ferrer , José Casals and Sonia Sotoca
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) , Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Date Posted: June 12, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Tactic Asset Allocation and Conditional Return Expectations
Journal of Statistical and Econometric Methods, vol. 3, no. 2, 2014, 1-14
Marcus Davidsson
Independent
Date Posted: June 12, 2014
Accepted Paper Series
54 downloads

Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
Journal of Portfolio Management, Vol. 39, No. (4), 36-48, 2013
Dave Berger , Kuntara Pukthuanthong and J. Jimmy Yang
Oregon State University , University of Missouri, Columbia and Oregon State University
Date Posted: June 09, 2014
Working Paper Series

Incl. Electronic Paper Reconciling Factor Optimization with Portfolio Constraints
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: June 06, 2014
Last Revised: June 27, 2014
Working Paper Series
140 downloads

Incl. Electronic Paper Regime Shifts and Stock Return Predictability
Regina Hammerschmid and Harald Lohre
University of Zurich and Deka Investment GmbH
Date Posted: June 04, 2014
Working Paper Series
380 downloads

Incl. Electronic Paper Economic Capital Modeling Closed Form Approximation for Real-Time Applications
Thomas Ribarits , Axel Clement , Heikki Seppälä , Hua Bai and Ser-Huang Poon
European Investment Bank , European Investment Bank , University of Jyvaskyla - Department of Mathematics , University of Manchester and University of Manchester - Manchester Business School
Date Posted: June 03, 2014
Working Paper Series
77 downloads

Incl. Electronic Paper Robust and Practical Estimation for Measures of Tail Risk
Cristian Homescu
Independent
Date Posted: June 02, 2014
Working Paper Series
599 downloads

Incl. Electronic Paper The Long and Short of the Vol Anomaly
Bradford D. Jordan and Timothy B. Riley
University of Kentucky - Gatton College of Business and Economics and University of Kentucky
Date Posted: May 30, 2014
Last Revised: June 20, 2014
Working Paper Series
391 downloads

Incl. Electronic Paper Portfolio Optimization in a Defaultable Lévy Driven Market Model
Stefano Pagliarani and Tiziano Vargiolu
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and University of Padua - Department of Pure and Applied Mathematics
Date Posted: May 29, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Estimation of Extreme Depth-Based Quantile Regions
CentER Discussion Paper Series No. 2014-035
Yi He and John H. J. Einmahl
Tilburg University - Center for Economic Research (CentER) and Tilburg University - Department of Econometrics & Operations Research
Date Posted: May 29, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Quantitative Tactical Asset Allocation Using Ensemble Machine Learning Methods
Kemal Oflus
Independent
Date Posted: May 27, 2014
Last Revised: July 14, 2014
Working Paper Series
91 downloads

Incl. Electronic Paper Grey-Box Methods in Forecasting Financial Markets
James A. Sørlie
Caixa Cinzenta SA
Date Posted: May 26, 2014
Last Revised: June 01, 2014
Working Paper Series
62 downloads

Incl. Electronic Paper Correlation in the Magnitude of Financial Returns
Joonas Hamalainen
University of Turku
Date Posted: May 26, 2014
Working Paper Series
147 downloads

Incl. Electronic Paper The Single Index Model & the Construction of Optimal Portfolio: A Case of Banks Listed on NSE India
Jayant Gautam and Saurabh Singh
G. B. Pant University of Agriculture and Technology - College of Agribusiness Management and G. B. Pant University of Agriculture and Technology - College of Agribusiness Management
Date Posted: May 25, 2014
Last Revised: May 31, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing
Romain Perchet , Raul Leote de Carvalho and Pierre Moulin
French National Center for Scientific Research (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS) , BNP Paribas Investment Partners and BNP Paribas Investment Partners
Date Posted: May 25, 2014
Working Paper Series
180 downloads

Incl. Electronic Paper A Multivariate Model of Strategic Asset Allocation with Longevity Risk
Emilio Bisetti , Giacomo Nocera , Carlo A. Favero and Claudio Tebaldi
Carnegie Mellon University - David A. Tepper School of Business , Audencia Nantes School of Management , Bocconi University - Department of Finance and Bocconi University, IGIER and CAREFIN
Date Posted: May 24, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Evolving the Investment Framework for Private Wealth Investment Management
Pranay Gupta
Global Association of Alternative Investors
Date Posted: May 24, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Data Mining with Markowitz Portfolio Optimization in Higher Dimensions
Mark Joseph Bennett
University of Chicago
Date Posted: May 21, 2014
Working Paper Series
118 downloads

Combining Chain-Ladder Claims Reserving with Fuzzy Numbers
Insurance: Mathematics and Economics, Vol. 55, No. 1, 2014
Jochen Heberle and Anne Thomas
University of Hamburg and University of Hamburg
Date Posted: May 17, 2014
Accepted Paper Series

Incl. Electronic Paper SoChi: A Local Moment Surface Pricing Method of the Basket Credit Products.
Andrey Chirikhin and Mikhail Soloveitchik
LetterOne Treasury Services and HSBC (London)
Date Posted: May 17, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper On CDO Tranche Pricing When Copula is Nearly Comonotone
Andrey Chirikhin
LetterOne Treasury Services
Date Posted: May 17, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Liquidity Risk and Distressed Equity
Mamdouh Medhat
Copenhagen Business School
Date Posted: May 16, 2014
Last Revised: July 08, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies
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 15, 2014
Working Paper Series
557 downloads

Portfolio Choice with State-Dependent Adjustments: Analyzing Leveraged Positions Without Parametric Assumptions
Peter Farkas
Central European University
Date Posted: May 14, 2014
Working Paper Series

Incl. Electronic Paper The Divergence of the High and Low Frequency Estimation: Causes and Consequences
MIT Sloan Research Paper No. 5087-14
William B. Kinlaw , Mark Kritzman and David Turkington
State Street Global Exchange , Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Date Posted: May 14, 2014
Working Paper Series
193 downloads


 

1 2 3 4 ... Last | Next >


 

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.375 seconds