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SSRN eLibrary Search Results
Advanced Risk & Portfolio Management® Research Paper Series
956,109 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 1,791
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1 2 3 4 ... 36 | Next >
   

Incl. Electronic Paper Can VPIN Forecast Geopolitical Events? Evidence from the 2014 Crimean Crisis
Felipe Bastos G. Silva and Ekaterina Volkova
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: August 26, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Non-Gaussian Analytic Option Pricing: A Closed Formula for the Lévy-stable Model
Jean-Philippe Aguilar and Cyril G. Coste
Independent and Independent
Date Posted: August 25, 2016
Working Paper Series
25 downloads

Inference on the Integrated Volatility with Multiple Records by Using Range
Yiqi Liu, Wang Li and Zhi Liu
University of Macau, University of Macau and University of Macau
Date Posted: August 25, 2016
Working Paper Series

Incl. Electronic Paper Post-Crisis Secular Shifts in the Capital Markets and the Global Economy Could Foster a New Normal
William J. Dodwell
Capital Markets Consultant
Date Posted: August 24, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Bending, Stretching, and Smiling: A Common Ratio in Homeomorphisms of the Faces of Finance
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: August 24, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Robust Return Risk Measures
Fabio Bellini, Roger J. A. Laeven and Emanuela Rosazza Gianin
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Amsterdam - Amsterdam School of Economics and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Date Posted: August 23, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Lead Lag Relationship and Price Behavior in Potato
International Journal of Business Quantitative Economics and Applied Management Research, Volume 1, Issue 7, December 2014
Tanushree Sharma
Manipal University
Date Posted: August 23, 2016
Accepted Paper Series
8 downloads

Incl. Electronic Paper Estimating Stock Return Volatility in Indian and Chinese Stock Market
International Journal of Banking,Risk and Insurance, Vol 4 Issue 2 ,Sept 2016, pp 37-49
Vanita Tripathi and Pankaj Chaudhary
University of Delhi India - Delhi School of Economics - Department of Commerce and University of Delhi - Shri Ram College of Commerce
Date Posted: August 23, 2016
Accepted Paper Series
5 downloads

Incl. Electronic Paper Do Tweet Sentiments Still Predict the Stock Market?
Jim Kyung-Soo Liew and Tamás Budavári
Johns Hopkins University - Carey Business School (JHU) and Johns Hopkins University - Department of Applied Mathematics and Statistics
Date Posted: August 22, 2016
Working Paper Series
97 downloads

Incl. Electronic Paper The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market
Thomas K. Philips and Steven Friedman
BNP Paribas Investment Partners and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: August 21, 2016
Last Revised: August 27, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Stock Market Efficiency under the Cost of Carry Model. Evidence from the Spanish Market
Javier Sánchez-Verdasco
Incompany Formación en Finanzas
Date Posted: August 19, 2016
Last Revised: August 21, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper The Beta Heuristic from a Time/Frequency Perspective: A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Bruce Mcnevin and Joan Nix
Midway Group and Queens College
Date Posted: August 19, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper The Life Cycle of Beta
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco School of Management, Konkuk University and Queen's University - Smith School of Business
Date Posted: August 14, 2016
Working Paper Series
81 downloads

Incl. Electronic Paper Mathematics and Economics: A Reality Check
Journal of Portfolio Management, Vol. 43, No. 1, 2016
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: August 13, 2016
Last Revised: August 21, 2016
Accepted Paper Series
159 downloads

Incl. Electronic Paper Investment Horizon Risk and Volatility Metrics
Bob Korkie
University of Alberta
Date Posted: August 12, 2016
Working Paper Series
57 downloads

Incl. Electronic Paper Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation
David Ardia, Kris Boudt and Giang Ha Nguyen
University of Neuchatel - Institute of Financial Analysis, Free University of Brussels (VUB) and Free University of Brussels (VUB)
Date Posted: August 11, 2016
Working Paper Series
97 downloads

Incl. Electronic Paper Stress Testing of Credit Risk: Case Based on Loan Portfolio, Capital Adequacy and Non Performing Loans in Kosovo
Ibish Mazreku and Fisnik Morina
University 'Haxhi Zeka' and University 'Haxhi Zeka'
Date Posted: August 10, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Estimating the Country Risk Premium in Emerging Markets: The Case of the Republic of Macedonia
Financial Theory and Practice 36 (4) 413-434 (2012)
Aleksandar Naumoski
Ss. Cyril and Methodius University - Faculty of Economics
Date Posted: August 09, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper Stress Test of Liquidity Risk: The Case Based on the Withdrawal of Deposits in Kosovo 2013-2015
Fisnik Morina
University 'Haxhi Zeka'
Date Posted: August 08, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Financial Contagion and the Cross Section of Expected Returns
Matthew Linn
Isenberg School of Management, University of Massachusetts
Date Posted: August 04, 2016
Last Revised: August 17, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Bradford - School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Date Posted: August 04, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Time-Dependent Black-Litterman
Methodological working paper 2016-02, June 2016
Martin van der Schans and Hens Steehouwer
Ortec Finance and ORTEC Centre for Financial Research (OCFR)
Date Posted: August 04, 2016
Working Paper Series
71 downloads

Incl. Electronic Paper On Economic Space Notion
International Review of Financial Analysis, 22 January 2016, DOI-10.1016/j.irfa.2016.01.001
Victor Olkhov
TVEL Fuel Company
Date Posted: August 02, 2016
Accepted Paper Series
20 downloads

Incl. Electronic Paper Un-Diversifying During Crises: Is It a Good Idea?
Margherita Giuzio and Sandra Paterlini
EBS Universität für Wirtschaft und Recht and EBS Universität für Wirtschaft und Recht
Date Posted: August 01, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Comments on Option Pricing
Ilya I. Gikhman
Independent
Date Posted: July 30, 2016
Last Revised: August 11, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas
Albert A. Zevelev
CUNY Baruch College
Date Posted: July 30, 2016
Working Paper Series
35 downloads

Climate Change and Asset Prices: Are Corporate Carbon Disclosure and Performance Priced Appropriately?
Forthcoming, Journal of Business Finance & Accounting
Andrea Liesen, Frank Figge, Andreas G. F. Hoepner and Dennis M. Patten
Institute for Ecological Economy Research (IOEW), KEDGE Business School, University of Reading - ICMA Centre and Illinois State University
Date Posted: July 28, 2016
Accepted Paper Series

Incl. Electronic Paper Transaction Cost and Crowding
Ludwig B. Chincarini
University of San Francisco School of Management
Date Posted: July 28, 2016
Working Paper Series
73 downloads

Incl. Electronic Paper Portfolio Execution with Multi-Period Stochastic Forecasts and Size Constraints
Dmitriy Nuriyev
Independent
Date Posted: July 27, 2016
Last Revised: August 17, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Relationship between the State and Subsidized Companies: Agency Problem
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: July 25, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Express Measurement of Market Volatility Using Ergodicity Concept
Jack Sarkissian
Algostox Trading
Date Posted: July 21, 2016
Last Revised: July 23, 2016
Working Paper Series
285 downloads

Incl. Electronic Paper Expected Downside Risk and Asset Prices: Characteristics of Emerging and Developed European Markets
Empirica, Journal of European Economics (2016) Forthcoming, DOI: 10.1007/s10663-016-9329-3
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
30 downloads

Incl. Electronic Paper Generalized Asset Pricing: Expected Downside Risk-Based Equilibrium Modelling
Economic Modelling, Vol. 52, (PB), 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
34 downloads

Incl. Electronic Paper Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: July 18, 2016
Working Paper Series
49 downloads

The Activities of Buy-Side Analysts and the Determinants of Their Stock Recommendations
Journal of Accounting & Economics (JAE), Forthcoming
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 - Department of Accounting
Date Posted: July 13, 2016
Accepted Paper Series

Incl. Electronic Paper Issues of Corporate Capital Optimisation in Bulgaria
Business Management Journal, Issue 2, 2014
Andrey Boyanov Zahariev
D. A. Tsenov Academy of Economics
Date Posted: July 12, 2016
Last Revised: August 28, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Portfolio Diversification Effects of Catastrophe Bonds
Steven P. Clark, Mike Dickson Jr. and Faith Roberts Neale
University of North Carolina (UNC) at Charlotte, Horizon Investments and University of North Carolina at Charlotte
Date Posted: July 08, 2016
Working Paper Series
70 downloads

Incl. Electronic Paper Markowitz 3.0: Including Diversification Targets in Portfolio Optimization via Diversification Functions
Thomas Heinze
Provinzial Rheinland Versicherung AG
Date Posted: July 06, 2016
Last Revised: August 13, 2016
Working Paper Series
150 downloads

Incl. Electronic Paper Habilidades De Selección Y Sincronización De Los Fondos Éticos Y Convencionales Europeos (Stock Picking and Market Timing Abilities of European Ethical and Conventional Funds)
Fernando Gómez-Bezares, Iker López and Amaia Badiola
University of Deusto, University of Deusto and University of Deusto
Date Posted: July 03, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Spread, Volatility, and Volume Relationship in Financial Markets and Market Maker's Profit Optimization
Jack Sarkissian
Algostox Trading
Date Posted: June 26, 2016
Last Revised: July 18, 2016
Working Paper Series
313 downloads

Incl. Electronic Paper My Factor Philippic
Clifford S. Asness
AQR Capital Management, LLC
Date Posted: June 25, 2016
Last Revised: July 15, 2016
Working Paper Series
3681 downloads

Incl. Electronic Paper Mutual Fund Flows, Monetary Policy and Financial Stability
Ayelen Banegas, Gabriel Montes-Rojas and Lucas Siga
Federal Reserve Board, City University of London and New York University (NYU) - New York University Abu Dhabi
Date Posted: June 25, 2016
Working Paper Series
150 downloads

Incl. Electronic Paper Finding Fortune: How Do Institutional Investors Pick Asset Managers?
Gregory W. Brown, Oleg Gredil and Preetesh Kantak
University of North Carolina (UNC) at Chapel Hill - Finance Area, Tulane University - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area
Date Posted: June 21, 2016
Last Revised: June 30, 2016
Working Paper Series
241 downloads

Incl. Electronic Paper Understanding Oil Investing
Ludwig B. Chincarini, John Love and Robert Nguyen
University of San Francisco School of Management, USCF Investments and USCF Investments
Date Posted: June 20, 2016
Working Paper Series
213 downloads

Incl. Electronic Paper Numerical Optimisation for Actuarial Applications
Alexandru V. Asimit, Tao Gao, Junlei Hu and Eun-Seok Kim
Cass Business School, University College London, Cass Business School, City University London and Middlesex University
Date Posted: June 20, 2016
Working Paper Series
45 downloads

Determining the Integrated Volatility via Limit Order Books with Multiple Records
Yiqi Liu, Qiang Liu and Zhi Liu
University of Macau, University of Macau and University of Macau
Date Posted: June 18, 2016
Working Paper Series

Incl. Electronic Paper Hedging with Portfolio of Bonds and Swaps Under the G2 Model
hanan JAFFAL, Yves Rakotondratsimba and Adnan Yassine
Princess Nora University, ECE Paris- Graduate School of Engineering and Université du Havre
Date Posted: June 14, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Modelling the Short Term Herding Behaviour of Stock Markets
Shapira Y, Berman Y, Ben-Jacob E. Modelling the short term herding behaviour of stock markets. New Journal of Physics. 2014 May 21;16(5):053040.
Yoash Shapira, Yonatan Berman and Eshel Ben-Jacob
Tel Aviv University, Tel Aviv University and (Deceased)
Date Posted: June 13, 2016
Accepted Paper Series
128 downloads

Incl. Electronic Paper Quality Investing – Industry versus Academic Definitions
Georgi Kyosev, Matthias X. Hanauer, Joop Huij and Simon D. Lansdorp
Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM), Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Date Posted: June 13, 2016
Working Paper Series
422 downloads

Incl. Electronic Paper Returns to Specialization: Evidence from Health Mutual Fund Managers
Leonard Kostovetsky and Vladimir Ratushny
Carroll School of Management, Boston College and Harvard Combined Dermatology Residency Program - Harvard Combined Dermatology Residency Program
Date Posted: June 13, 2016
Working Paper Series
23 downloads


 

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