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Advanced Risk & Portfolio Management® Research Paper Series
940,820 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 1,768
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1 2 3 4 ... 36 | Next >
   

Comments on Option Pricing
Ilya I. Gikhman
Independent
Date Posted: July 30, 2016
Working Paper Series

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
16 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
24 downloads

Incl. Electronic Paper Portfolio Execution with Multi-Period Stochastic Forecasts and Size Constraints
Dmitriy Nuriyev
Independent
Date Posted: July 27, 2016
Working Paper Series
13 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
4 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
223 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
21 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
21 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
34 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

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
Working Paper Series

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
40 downloads

Incl. Electronic Paper Decisions in Portfolio Management
Thomas Heinze
Independent
Date Posted: July 06, 2016
Last Revised: July 12, 2016
Working Paper Series
94 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
6 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
264 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
3322 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
46 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
217 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
180 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
39 downloads

Incl. Electronic Paper 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
34 downloads

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
26 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
111 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
373 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
21 downloads

Incl. Electronic Paper Determinants of Financial Innovation: Evidence from Mutual Funds
Leonard Kostovetsky and Jerold B. Warner
Carroll School of Management, Boston College and University of Rochester – Simon Business School
Date Posted: June 13, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Some Integrated Squared Error Procedures for Multivariate Normal Data
Albert S. Paulson, N. J. Delaney, T. A. Delehanty, C. E. Lawrence and H. L. Hwang
Rensselaer Polytechnic Institute (RPI), Northeastern University, Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI) and Government of the United States of America - Oak Ridge National Laboratory
Date Posted: June 06, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Generalized Likelihood Procedures for Data Analysis and Modeling
Albert S. Paulson, T. A. Delehanty and C. E. Lawrence
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI) and Rensselaer Polytechnic Institute (RPI)
Date Posted: June 06, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Market Risk: Cross Market Correlations Inform on the Scope & Timing of Market Risk Reversals
Mark Ryan Connors and Ishan Garg
Credit Suisse Prime Services and Credit Suisse
Date Posted: June 05, 2016
Last Revised: June 17, 2016
Working Paper Series
88 downloads

Incl. Electronic Paper The Buy-and-Hold Market Timer
William Trainor
East Tennessee State University
Date Posted: June 04, 2016
Working Paper Series
86 downloads

Incl. Electronic Paper Tail Risk Modeling with Copulas
Lehman Portfolio Analytics Quarterly Volume 2008-Q2
Rahul Malhotra and Jesus Ruiz-Mata
Lehman Brothers, New York and Lehman Brothers, New York
Date Posted: June 04, 2016
Last Revised: July 22, 2016
Accepted Paper Series
64 downloads

Incl. Electronic Paper Price Impact of ETP Demand on Underliers
Xiaoyang Sean Dong
Princeton University - Bendheim Center for Finance
Date Posted: June 03, 2016
Working Paper Series
61 downloads

Incl. Electronic Paper A Conceptual Framework for Effective Investment Management
Singh Y. P. and Saurabh Agarwal, (2009), “A Conceptual Framework for Effective Investment Management”, Apeejay Journal of Management and Technology (ISSN 2347-5005), Vol. 4, No. 2, July 2009, pp. 94-107,
Y. P. Singh and Saurabh Agarwal Sr.
University of Delhi - Delhi School of Economics and Indian Institute of Finance
Date Posted: May 31, 2016
Accepted Paper Series
40 downloads

Incl. Electronic Paper Trading Relationships in the OTC Market for Secured Claims: Evidence from Triparty Repos
Song Han and Kleopatra Nikolaou
Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board of Governors
Date Posted: May 28, 2016
Last Revised: June 21, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Equity Valuation Cannot Outgrow the Economy Over the Long Run
Business Economics, Vol. 35, No. 3 (July 2000), pp. 53-58
JC Han
Independent
Date Posted: May 26, 2016
Accepted Paper Series
38 downloads

Incl. Electronic Paper Discrete Local Volatility for Large Time Steps (Short Version)
Hans Buehler and Evgeny Ryskin
JP Morgan Chase, London and JP Morgan Chase
Date Posted: May 25, 2016
Last Revised: June 19, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper A Matlab Simulator for Debt and Interest Payment Dynamics
Enrique M. Quilis
Macroeconomic Research Department. Independent Authority for Fiscal Responsibility
Date Posted: May 25, 2016
Working Paper Series
55 downloads

Incl. Electronic Paper Enhancing the Toolbox of Fixed Income Active Portfolio Management
Procedia Economics and Finance 29 (2015) 96-121
Roberto Violi, Gioia Cellai, Francesco Potente Sr. and Alfonso Puorro
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Date Posted: May 21, 2016
Last Revised: May 26, 2016
Accepted Paper Series
64 downloads

Incl. Electronic Paper Factors Loadings as Proxies for Equity Characteristics, Round 3
Mike Dickson Jr.
Horizon Investments
Date Posted: May 19, 2016
Working Paper Series
59 downloads

Incl. Electronic Paper A Formalized, Integrated and Visual Approach to Stress Testing
Alexander Denev and Yaacov Mutnikas
Markit Group and Markit Group
Date Posted: May 19, 2016
Last Revised: July 06, 2016
Working Paper Series
89 downloads

Incl. Electronic Paper Naive Diversification Isn't So Naive After All
Mike Dickson Jr.
Horizon Investments
Date Posted: May 19, 2016
Working Paper Series
217 downloads

Incl. Electronic Paper Quantitative Style Investing
Mike Dickson Jr.
Horizon Investments
Date Posted: May 19, 2016
Working Paper Series
424 downloads

Incl. Electronic Paper A Secular Approach to Investing for Retirement
Terry Grennon
TG Asset Management LLC
Date Posted: May 18, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Some Mathematical Aspects of Price Optimisation
Yizhou Bai, Enkelejd Hashorva, Gildas Ratovomirija and Maissa Tamraz
University of Lausanne, University of Lausanne, Actuarial Department, University of Lausanne and Universite de Lausanne
Date Posted: May 16, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Stellar Portfolios and Investors' Attention to Fund Affiliated Stocks
Rafael Zambrana
Nova School of Business and Economics
Date Posted: May 15, 2016
Last Revised: June 24, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University - Department of Applied Mathematics
Date Posted: May 15, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Risk Analysis of Returns of IT Shares Listed on the B.S.E.: An Application of Arbitrage Pricing Theory
Roopesh PP
Independent
Date Posted: May 15, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Investment and Consumption with Forward Criteria and Black's Inverse Investment Problem
Sigrid Kallblad
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Date Posted: May 13, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Lecture Notes on Risk Management & Financial Regulation
Thierry Roncalli
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Date Posted: May 10, 2016
Working Paper Series
394 downloads


 

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