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SSRN eLibrary Search Results
Advanced Risk & Portfolio Management Research Paper Series
628,570 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 1,394
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1 2 3 4 ... 28 | Next >
   


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
2 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
2 downloads

Incl. Electronic Paper Modélisation et Calibration des Prix Spot Électriques (Modeling and Calibration of Spot Power Price)
Otmane El Rhazi
Ecole Nationale des Ponts et Chaussees
Date Posted: November 24, 2014
Working Paper Series
3 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
4 downloads

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

Incl. Electronic Paper Illiquid Claim Valuation Under Robust Portfolio Choice
Alexey Rubtsov
Ryerson University
Date Posted: November 19, 2014
Working Paper Series
9 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
21 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
19 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
Accepted Paper Series
293 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
13 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 21, 2014
Working Paper Series
391 downloads

Incl. Electronic Paper Tail Risk Protection in Asset Management
Cristian Homescu
Independent
Date Posted: November 16, 2014
Working Paper Series
250 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
11 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
26 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
23 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
19 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
84 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
36 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
31 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
47 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
28 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
48 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
19 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
17 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
22 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
30 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
538 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
44 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
115 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
38 downloads

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
Working Paper Series

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
27 downloads

Incl. Electronic Paper Crossing Stocks and the Positive Grassmannian I: The Geometry Behind Stock Market
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: October 22, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'
Journal of Risk, 2014, Forthcoming
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: October 20, 2014
Accepted Paper Series
76 downloads

Incl. Electronic Paper High Frequency Trading and the 2008 Short Sale Ban
Jonathan Brogaard , Terrence Hendershott and Ryan Riordan
University of Washington - Department of Finance and Business Economics , University of California, Berkeley - Haas School of Business and Queen's School of Business
Date Posted: October 15, 2014
Last Revised: November 01, 2014
Working Paper Series
105 downloads

Incl. Electronic Paper Appendix to Managing Sponsor Risk in Pension Plans: Derivation and Implementation of First-Best Strategies
Samuel J. Sender
Tilburg University - Department of Econometrics & Operations Research
Date Posted: October 14, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Speculative Dynamical Systems: How Technical Trading Rules Determine Price Dynamics
Li-Xin Wang
Xian Jiaotong University, Department of Automation Science and Technology
Date Posted: October 13, 2014
Working Paper Series
55 downloads

Incl. Electronic Paper Modern Real Estate Portfolio Management (MREPM): Applications in Modern and Post-Modern Real Estate Portfolio Theory (MREPT/PMREPT)
Lawrence Anthony Souza
Golden Gate University
Date Posted: October 13, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper High-Frequency and Model-Free Volatility Estimators
Robert Slepaczuk and Grzegorz Zakrzewski
University of Warsaw - Faculty of Economic Sciences and Deutsche Bank
Date Posted: October 12, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Investment Strategies Beating the Market: What Can We Squeeze from the Market?
Robert Slepaczuk , Grzegorz Zakrzewski and Pawel Sakowski
University of Warsaw - Faculty of Economic Sciences , Deutsche Bank and University of Warsaw
Date Posted: October 12, 2014
Working Paper Series
98 downloads

Incl. Electronic Paper The Use of Correlation Networks in Parametric Portfolio Policies
Harald Lohre , Jochen Papenbrock and Muddit Poonia
Deka Investment GmbH , PPI AG and Indian Institute of Technology Kharagpur
Date Posted: October 06, 2014
Working Paper Series
146 downloads

Incl. Electronic Paper Portfolio-Invariant Capital Allocation Scheme Accounting for Concentration Risk Based on Response Surface Methodology
Lie-Jane Kao
Kainan University
Date Posted: September 28, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Short-Term Risk and Adapting Covariance Models to Current Market Conditions
Anish R. Shah
Independent
Date Posted: September 26, 2014
Last Revised: November 04, 2014
Working Paper Series
117 downloads

Incl. Electronic Paper Assessing the Solvency of Insurance Portfolios Via a Continuous Time Cohort Model
IMT Lucca EIC Working Paper Series 07 July 2014
Petar Jevtic and Luca Regis
McMaster University and IMT Institute for Advanced Studies
Date Posted: September 25, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Hedging Climate Risk
Columbia Business School Research Paper No. 14-44
Mats Andersson , Patrick Bolton and Frédéric Samama
AP4 , Columbia Business School - Department of Economics and SWF Research Initiative, Amundi - Credit Agricole Group
Date Posted: September 24, 2014
Working Paper Series
195 downloads

Market-Based Sovereign Ceiling: Evidence from the European Sovereign Debt Crisis
Journal of Fixed Income, 2014, 24(2), 45-60.
Andreas Wengner , Niklas Lampenius and Timo Haas
University of Hohenheim , University of Hohenheim and University of Hohenheim
Date Posted: September 21, 2014
Last Revised: November 17, 2014
Accepted Paper Series

Incl. Electronic Paper Political Uncertainty and Corporate Tax Avoidance: Evidence from National Elections around the World
Qingyuan Li , Edward L. Maydew , Richard H. Willis and Li Xu
Wuhan University - School of Economics and Management , University of North Carolina at Chapel Hill , Vanderbilt University - Accounting and Washington State University
Date Posted: September 20, 2014
Working Paper Series
119 downloads

Incl. Electronic Paper A Uniformly Distributed Random Portfolio
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: September 12, 2014
Working Paper Series
59 downloads

Incl. Electronic Paper Correlation Matrices with the Perron-Frobenius Property
Phelim P. Boyle , Shui Feng , David Melkuev and Johnew Zhang
Wilfrid Laurier University - School of Business & Economics , Department of Mathematics and Statistics, McMaster University, Canada , Department of Statistics and Actuarial Science, University of Waterloo and Department of Statistics and Actuarial Science, University of Waterloo
Date Posted: September 11, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Application of Ensemble Learning for Views Generation in Meucci Portfolio Optimization Framework
Review of Business and Economics Studies Volume 1, Number 1, 2013
Alexander Didenko and Svetlana Demicheva
Financial University under the Government of the Russian Federation and Financial University under the Government of the Russian Federation
Date Posted: September 10, 2014
Accepted Paper Series
42 downloads


 

1 2 3 4 ... 28 | Next >
   


 

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