Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 607,404
Full Text Papers: 504,871
Authors: 280,979
Papers Received in
  Last 12 months:
63,597

Paper Downloads:
To date: 86,504,099
Last 12 months: 11,170,247
Last 30 days: 1,063,321

CiteReader:  What's this?
Papers with
  Resolved
  References:
286,533
Total References: 9,075,709
Papers with Cites: 246,991
Total Citation
  Links:
6,036,513
Papers with
  Resolved
  Footnotes:
94,530
Total Footnotes: 9,178,978


SSRN eLibrary Search Results
Advanced Risk & Portfolio Management Research Paper Series
709,130 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 1,482
Sort By
1 2 3 4 ... 30 | Next >
   


Incl. Electronic Paper Stochastic Volatility for Utility Maximisers - A Risk to Be Hedged?
Simon Ellersgaard Nielsen and Martin Jönsson
University of Copenhagen - Department of Mathematical Sciences and University of Copenhagen, Students
Date Posted: May 19, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Combined Estimation-Optimization (CEO) Approach for High Dimensional Portfolio Selection
Chi Seng Pun and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Date Posted: May 18, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper 'The Effect of the Firm's Age and Financial Leverage on its Dividend Policy' – Evidence from Kuwait Stock Exchange Market (KSE)
Turki Meshal Al-Sabah
Kuwait University, College of Business Administration, Students
Date Posted: May 18, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Fast Approximate Pricing for FX Target Redemption Forwards
Peter Caspers
Independent
Date Posted: May 17, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Backtesting
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: May 16, 2015
Last Revised: May 18, 2015
Working Paper Series
130 downloads

Incl. Electronic Paper Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk+
Jonas Hirz , Uwe Schmock and Pavel V. Shevchenko
TU Wien , TU Wien and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: May 15, 2015
Last Revised: May 20, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Multinational Firms' Geographic Segmentation and Exchange-Rate Dynamics
Afonso V. Januario
London Business School
Date Posted: May 15, 2015
Working Paper Series
10 downloads

Evaluation of Financial Condition of Private Commercial Banks in Bangladesh: A Comparative Study
ABC Journal of Advanced Research, Volume 1 , No 1
Dr. Taposh Kumar Neogy
Independent
Date Posted: May 14, 2015
Accepted Paper Series

Incl. Electronic Paper Advances in Quantitative Meta-Strategies
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: May 13, 2015
Working Paper Series
124 downloads

Incl. Electronic Paper Uncovering Trend Rules
Paul Beekhuizen and Winfried G. Hallerbach
Robeco Asset Management and Robeco Asset Management, Quantitative Strategies
Date Posted: May 12, 2015
Working Paper Series
243 downloads

Incl. Electronic Paper Trading and Information in Futures Markets
Guillermo Llorente and Jiang Wang
Universidad Autonoma de Madrid and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: May 12, 2015
Working Paper Series
80 downloads

Incl. Electronic Paper Growth Option, Contingent Capital and Agency Conflicts
Yingxian Tan and Zhaojun Yang
Hunan University - School of Finance and Statistics and Hunan University - School of Finance and Statistics
Date Posted: May 09, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Portfolio Analysis of Asset and Liability Management in Small-, Medium-, and Large-Sized Banks
Journal of Monetary Economics, August 1978, Volume 4, Number 3, pages 459-480
Jack Clark Francis
Zicklin School of Business
Date Posted: May 08, 2015
Accepted Paper Series
17 downloads

Incl. Electronic Paper Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims
North American Actuarial Journal, Forthcoming
Vytaras Brazauskas and Andreas Kleefeld
University of Wisconsin - Milwaukee and Brandenburg Technical University
Date Posted: May 08, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Model Uncertainty in Operational Risk Modeling
Daoping Yu and Vytaras Brazauskas
University of Wisconsin - Milwaukee and University of Wisconsin - Milwaukee
Date Posted: May 08, 2015
Working Paper Series
39 downloads

Incl. Electronic Paper European Government Bond Dynamics and Stability Policies: Taming Contagion Risks
Peter Schwendner , Martin Schüle , Thomas Ott and Martin Hillebrand
Zurich University of Applied Sciences, Center for Alternative Investments and Risk Management , Zurich University of Applied Sciences, Institute of Applied Simulation , Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences
Date Posted: May 04, 2015
Working Paper Series
52 downloads

Optimising Macro-Economic Investment Decisions: A Lesson from Nigeria
Akintoye, I.R. & Olowolaju P.S. (2007) “Optimising Macro-Economic Investment Decisions: A Lesson from Nigeria”. European Journal of Scientific Research(EJSR), Austria. Vol 22 Issue 4 Pp469-479 ,
Ishola Rufus Akintoye and Phillip Olowolaju
Ogun State University and Independent
Date Posted: April 30, 2015
Accepted Paper Series

Incl. Electronic Paper Historical Simulation with Component Weight and Ghosted Scenarios
Journal of Risk and Uncertainty, Forthcoming
Liu Xinyi
China Investment Corporation (CIC)
Date Posted: April 28, 2015
Last Revised: May 04, 2015
Accepted Paper Series
27 downloads

Incl. Electronic Paper Illegitimate Science: Why Most Empirical Discoveries in Finance Are Likely Wrong, and What Can Be Done About It (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: April 27, 2015
Last Revised: May 10, 2015
Working Paper Series
240 downloads

Incl. Electronic Paper Backtest Overfitting Demonstration Tool: An Online Interface
David H. Bailey , Jonathan M. Borwein , Amir Salehipour , Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory , University of Newcastle (Australia) , University of Newcastle, Australia , Guggenheim Partners, LLC and Western Michigan University
Date Posted: April 23, 2015
Working Paper Series
211 downloads

Incl. Electronic Paper Forecasting Coherent Volatility Breakouts
Alexander Didenko , Michael Dubovikov and Boris Poutko
Government of the Russian Federation - Financial University under the Government of the Russian Federation , Independent and Government of the Russian Federation - Financial University under the Government of the Russian Federation
Date Posted: April 21, 2015
Last Revised: April 22, 2015
Working Paper Series
50 downloads

Incl. Electronic Paper Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks
Jozef Barunik and Barbora Malinská
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Faculty of Social Sciencies
Date Posted: April 20, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Fact, Fiction, and Value Investing
Clifford S. Asness , Andrea Frazzini , Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC , AQR Capital Management, LLC , AQR Capital Management, LLC and University of Chicago - Booth School of Business
Date Posted: April 19, 2015
Working Paper Series
3449 downloads

Incl. Electronic Paper Measuring Risk When Expected Losses are Unbounded
Risks 2014, 2(4), 411-424
Alejandro Balbás , Iván Blanco and José Garrido
Universidad Carlos III de Madrid - Department of Business Administration , Universidad Carlos III de Madrid and Concordia University, Quebec - Department of Mathematics & Statistics
Date Posted: April 19, 2015
Accepted Paper Series
71 downloads

Incl. Electronic Paper Smart Beta: Managing Diversification of Minimum Variance Portfolios
Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management and Lyxor Asset Management
Date Posted: April 18, 2015
Last Revised: April 20, 2015
Working Paper Series
196 downloads

Incl. Electronic Paper Optimal Portfolio for Terminal Wealth Under Inflation
Gajah Mada International Conference on Economic and Business by University of Gajah Mada Indonesia, December 2014
Ashri Putri Rahadi and Budhi Arta Surya
Bandung Institute of Technology - School of Business and Management and Bandung Institute of Technology - School of Business and Management
Date Posted: April 12, 2015
Last Revised: April 20, 2015
Working Paper Series
21 downloads

Dynamic Optimal Lifetime Portfolio Selection in Discrete Framework
JUST, 2015 Forthcoming
Ashri Putri Rahadi , Nora A. Rizal and Budhi Arta Surya
Bandung Institute of Technology - School of Business and Management , Bandung Institute of Technology - School of Business and Management, Bandung Institute of Technology and Bandung Institute of Technology - School of Business and Management
Date Posted: April 12, 2015
Last Revised: April 21, 2015
Working Paper Series

Incl. Electronic Paper Advanced Idiosyncratic Risk and Multi-Factor Models
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg LP
Date Posted: April 07, 2015
Working Paper Series
57 downloads

Incl. Electronic Paper Utilizing Topographic Finance to Understand Volatility
Paul E. Cottrell and Francesco Ungolo
Independent and Independent
Date Posted: April 07, 2015
Working Paper Series
137 downloads

Incl. Electronic Paper Skewness and Investors' Decisions
Journal of Financial and Quantitative Analysis (JFQA), 1975
Jack Clark Francis
Zicklin School of Business
Date Posted: April 04, 2015
Accepted Paper Series
25 downloads

Incl. Electronic Paper Contrasting Real Estate with Comparable Investments, 1978-2008
Journalof Portfolio Management, Vol. 35, No. 5, p. 141, 2009
Jack Clark Francis and Roger G. Ibbotson
Zicklin School of Business and Yale School of Management
Date Posted: April 04, 2015
Accepted Paper Series
16 downloads

Incl. Electronic Paper Intertemporal Differences in Systematic Stock Price Movements
Journal of Financial and Quantitative Analysis (JFQA), 1975
Jack Clark Francis
Zicklin School of Business
Date Posted: April 04, 2015
Accepted Paper Series
11 downloads

Incl. Electronic Paper The Implied Volatility of Greek Options and the Political Risk in Eurozone
Dimosthenis Karaflos
Athens University of Economics and Business
Date Posted: April 04, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979
Jack Clark Francis and Frank J. Fabozzi
Zicklin School of Business and EDHEC Business School
Date Posted: April 04, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper Statistical Analysis of Risk Coefficients for NYSE Stocks
Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 5, p. 981, December 1979
Jack Clark Francis
Zicklin School of Business
Date Posted: April 04, 2015
Accepted Paper Series
33 downloads

Incl. Electronic Paper Predicting Large Negative Stock Returns: The Trouble Score
B. Korcan Ak
University of California, Berkeley - Haas School of Business
Date Posted: April 04, 2015
Last Revised: May 02, 2015
Working Paper Series
260 downloads

Incl. Electronic Paper Futures Convexity Adjustment with Continuously and Discretely Compounded Rates
Christian Fenger
Danske Bank
Date Posted: April 02, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Forecasting Yield Curves with Survey Information
JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163
Jack Clark Francis and Jian Hua
Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
Date Posted: April 01, 2015
Last Revised: April 03, 2015
Accepted Paper Series
18 downloads

Incl. Electronic Paper Beta as a Random Coefficient
Journal of Financial and Quantitative Analysis (JFQA), March 1978, pages 101-115
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business
Date Posted: March 31, 2015
Last Revised: April 04, 2015
Accepted Paper Series
26 downloads

Incl. Electronic Paper Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions
JOURNAL OF FINANCE, 1977 September, XXXII(4), 1093-1099.
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business
Date Posted: March 31, 2015
Last Revised: April 03, 2015
Accepted Paper Series
15 downloads

Incl. Electronic Paper Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business
Date Posted: March 30, 2015
Last Revised: April 03, 2015
Accepted Paper Series
25 downloads

Incl. Electronic Paper Dynamic Portfolio Management with Views at Multiple Horizons
Attilio Meucci and Marco Nicolosi
SYMMYS and University of Perugia - Department of Economics
Date Posted: March 24, 2015
Last Revised: April 17, 2015
Working Paper Series
373 downloads

Incl. Electronic Paper Carry and Trend in Lots of Places
Vineer Bhansali , Josh Davis , Matthew P. Dorsten and Graham Rennison
Pacific Investment Management Company (PIMCO) , Pacific Investment Management Company (PIMCO) , California Institute of Technology and Pacific Investment Management Company (PIMCO)
Date Posted: March 18, 2015
Working Paper Series
498 downloads

Incl. Electronic Paper Fixing the VIX: An Indicator to Beat Fear
Journal of Technical Analysis, Forthcoming
Amber Hestla-Barnhart
Independent
Date Posted: March 17, 2015
Last Revised: March 19, 2015
Accepted Paper Series
161 downloads

Incl. Electronic Paper Dynamic Stress Test Diffusion Model Considering the Credit Score Performance
Ziad Fares , Benoit Genest and Arnault Gombert
Chappuis Halder & Cie. - New York Office , Chappuis Halder & Cie. - London Office and Chappuis Halder & Cie. - Global Research & Analytics Department
Date Posted: March 17, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Correlation Structure and Application In Incremental Risk Charge
Hoa Tuc Ngo
John von Neumann Institute (VNUHCM), Students
Date Posted: March 14, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Optimal Portfolios when Variances and Covariances can Jump
Nicole Branger , Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster , University of Bamberg and University of Bamberg
Date Posted: March 12, 2015
Working Paper Series
56 downloads

Incl. Electronic Paper Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: March 09, 2015
Last Revised: April 03, 2015
Working Paper Series
116 downloads

Incl. Electronic Paper Generalized Correlations and Instantaneous Causality for Data Pairs Benchmark
Hrishikesh D. Vinod
Fordham University - Department of Economics
Date Posted: March 08, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Long-Run International Diversification
Thomas Conlon , John Cotter and Ramazan Gencay
University College Dublin , University College Dublin and Simon Fraser University
Date Posted: March 05, 2015
Working Paper Series
50 downloads


 

1 2 3 4 ... 30 | Next >
   


 

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 1.047 seconds