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SSRN eLibrary Search Results
Advanced Risk & Portfolio Management® Research Paper Series
902,308 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 1,734
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1 2 3 4 ... 35 | Next >
   


Incl. Electronic Paper Pricing Mid-Curve Money Market Future Options in Lognormal LIBOR HJM(LLM) Model
Petar D Simic
Imagine Software, Inc
Date Posted: May 23, 2016
Working Paper Series
8 downloads

Enhancing the Toolbox of Fixed Income Active Portfolio Management
Procedia Economics and Finance 29 (2015) 96-121
Roberto Violi
Bank of Italy
Date Posted: May 21, 2016
Accepted Paper Series

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
25 downloads

Incl. Electronic Paper A Formalized, Integrated and Visual Approach to Stress Testing
Alexander Denev and Yaacov Mutnikas
Markit Group
Date Posted: May 19, 2016
Working Paper Series
15 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
53 downloads

Incl. Electronic Paper Quantitative Style Investing
Mike Dickson Jr.
Horizon Investments
Date Posted: May 19, 2016
Working Paper Series
164 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
32 downloads

Islamic Financial Markets and Global Crises: Contagion or Decoupling?
Economic Modelling, Vol. 57, No. 36, 2016
Dimitris Kenourgios , Nader Naifar and Dimitrios I. Dimitriou
University of Athens - Faculty of Economics , University of Sfax, Tunisia and University of Ioannina - Department of Economics
Date Posted: May 17, 2016
Accepted Paper Series

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
26 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: May 19, 2016
Working Paper Series
14 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
15 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
4 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
12 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
266 downloads

Incl. Electronic Paper Stochastic Portfolio Theory: A Machine Learning Perspective
Proceedings of the 32nd Conference on Uncertainty in Artificial Intelligence, 2016
Yves-Laurent KOM SAMO and Alexander Vervuurt
University of Oxford and Mathematical Institute, University of Oxford
Date Posted: May 09, 2016
Accepted Paper Series
205 downloads

Incl. Electronic Paper Portfolio Selection in a Two-Regime World
European Journal of Operational Research, volume 242, (2015), 514-524
Moshe Levy and Guy Kaplanski
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Bar-Ilan University - Graduate School of Business Administration
Date Posted: May 07, 2016
Accepted Paper Series
86 downloads

Incl. Electronic Paper A Primer on Alternative Risk Premia
Rayann Hamdan , Fabien Pavlowsky , Thierry Roncalli and Ban Zheng
Lyxor Asset Management , Lyxor Asset Management , Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE) and Lyxor Asset Management
Date Posted: May 04, 2016
Last Revised: May 07, 2016
Working Paper Series
153 downloads

Incl. Electronic Paper Independent Directors and Favoritism: When Multiple Board Affiliations Prevail in Mutual Fund Families
Financial Management (Forthcoming)
Christine W. Lai
National Taiwan Normal University
Date Posted: May 03, 2016
Accepted Paper Series
10 downloads

Incl. Electronic Paper Libor Market Models
Silke Prohl
Princeton University
Date Posted: May 02, 2016
Working Paper Series
44 downloads

Incl. Electronic Paper Using Out-Of-Sample Errors in Portfolio Optimization
Pedro Barroso
UNSW Australia Business School, School of Banking and Finance
Date Posted: April 29, 2016
Working Paper Series
99 downloads

Incl. Electronic Paper Systematic Tail Risk Management with Extreme Value Theory
Lehman Brothers Equity Quantitative Analytics, 2007
Rahul Malhotra
Lehman Brothers, New York
Date Posted: April 28, 2016
Accepted Paper Series
53 downloads

Incl. Electronic Paper Optimal Sovereign Investment in a Stochastic Volatility Jump-Diffusion Model
David Animante
Imperial College London
Date Posted: April 27, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Reduction of Interim Risk Through Options: An Analysis of Maximum Drawdown
Peregrine Securities, 2012
Anthony J. Seymour , Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT) , Peregrine Securities and Peregrine Securities
Date Posted: April 21, 2016
Last Revised: April 28, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Regularization of Portfolio Allocation
Benjamin Bruder , Nicolas Gaussel , Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management , Lyxor Asset Management , Lyxor Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Date Posted: April 21, 2016
Working Paper Series
147 downloads

Incl. Electronic Paper Do Investors Use Options and Futures to Trade on Different Types of Information? Evidence from an Aggregate Stock Index
Kyoung-hun Bae and Peter Nephi Dixon
Ulsan National Institute of Science and Technology and The University of Tennessee - Knoxville
Date Posted: April 21, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Minimum Entropy as a Measure of Effective Dimensionality
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: April 21, 2016
Last Revised: April 22, 2016
Working Paper Series
71 downloads

Incl. Electronic Paper The Siren Song of Factor Timing
Clifford S. Asness
AQR Capital Management, LLC
Date Posted: April 18, 2016
Working Paper Series
5858 downloads

Incl. Electronic Paper Bifurcation Patterns of Market Regime Transition
Sergey Kamenshchikov

Date Posted: April 16, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper Active Share and Emerging Market Equity Funds
Aron A. Gottesman and Matthew R. Morey
Pace University - Lubin School of Business - Department of Finance and Economics and Pace University - Lubin School of Business - Department of Finance and Economics
Date Posted: April 14, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Portfolio Tilting: Hunt for Positive Alpha Through Style Tilts
Raza, M. W., & MOHSIN, H. M. (2015). PORTFOLIO TILTING: HUNT FOR POSITIVE ALPHA THROUGH STYLE TILTS. VFAST Transactions on Education and Social Sciences, 6(2).
Muhammad Wajid Raza and Hassan Mohammad Mohsin
Shaheed Benazir Bhutto University and Quaid-i-Azam University - Pakistan Institute of Development Economics (PIDE)
Date Posted: April 12, 2016
Working Paper Series
68 downloads

Incl. Electronic Paper All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms
Thomas Wiecki , Andrew Campbell , Justin Lent and Jessica Stauth
Quantopian Inc , Quantopian Inc. , Quantopian Inc and Quantopian Inc
Date Posted: April 09, 2016
Working Paper Series
1270 downloads

Incl. Electronic Paper Correlation Risk and International Portfolio Choice
Nicole Branger , Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster , University of Bamberg and University of Bamberg
Date Posted: April 08, 2016
Working Paper Series
83 downloads

Incl. Electronic Paper Reversals in Market Integration: A Funding Liquidity Explanation
Amir Akbari
McGill university- Desautels Faculty of Management
Date Posted: April 07, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Risk Class Completion of the Modigliani and Miller Model – A New Framework for Discounted Cash Flow
Christopher W. Casey
WU (Vienna University of Economics and Business)
Date Posted: April 05, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper All that Glitters - Downside Risk Reduction with Precious Metals
Don Bredin , Thomas Conlon and Valerio Potì
University College Dublin , University College Dublin and University College Dublin (UCD) - School of Business
Date Posted: April 05, 2016
Working Paper Series
68 downloads

Incl. Electronic Paper Do Lenders Affect Firms' Disclosure Decisions? Evidence from Lender-Side Loan Defaults
Kelley School of Business Research Paper No. 16-35
Janet Gao , Chuchu Liang , Kenneth J. Merkley and Joseph M. Pacelli
Indiana University - Kelley School of Business , Cornell University - Samuel Curtis Johnson Graduate School of Management , Cornell University - Samuel Curtis Johnson Graduate School of Management and Indiana University - Kelley School of Business - Department of Accounting
Date Posted: April 04, 2016
Working Paper Series
62 downloads

Incl. Electronic Paper Expecting a Stock Market Miracle
Markku Kaustia , Joni Kokkonen and Vesa Puttonen
Aalto University School of Business , Catolica-Lisbon School of Business and Economics and Aalto University - School of Business
Date Posted: April 02, 2016
Working Paper Series
68 downloads

Incl. Electronic Paper Empirical Evidence of Loss Aversion and Individualism Around the World
Soosung Hwang , Athanasios A. Pantelous and Yuxin Xie
Sungkyunkwan University - Department of Economics , Department of Mathematical Sciences, University of Liverpool and The School of Securities and Futures
Date Posted: April 02, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Flash Crashes, Information Processing Limits, and Phase Transitions
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: March 30, 2016
Last Revised: April 14, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Supply Chain Predictability of Returns and Portfolio Selection
Thomas Trier Bjerring , Kourosh Marjani Rasmussen and Alex Weissensteiner
Technical University of Denmark - Management Engineering, Management Science , Technical University of Denmark and Free University of Bolzano/Bozen
Date Posted: March 29, 2016
Working Paper Series
72 downloads

Option-Implied Equity Risk and the Cross-Section of Stock Returns
Financial Analysts Journal, Forthcoming
Te-Feng Chen , San-Lin Chung and Wei-Che Tsai
Hong Kong Polytechnic University , National Taiwan University - Department of Finance and National Sun Yat-sen University - Department of Finance
Date Posted: March 28, 2016
Last Revised: April 01, 2016
Accepted Paper Series

Modeling Volatility Risk Premium
Kossi K. Gnameho , Juho Kanniainen and Ye Yue
Maastricht University - Department of Quantitative Economics , Tampere University of Technology and Tampere University of Technology
Date Posted: March 24, 2016
Working Paper Series

Global Financial Stability Index
Yosef Bonaparte
University of Colorado at Denver - Department of Finance
Date Posted: March 24, 2016
Working Paper Series

Incl. Electronic Paper Uncloaking CAPE: A New Look at an Old Valuation Ratio
Thomas K. Philips and Cenk Ural
BNP Paribas Investment Partners and Barclays - Risk Analytics and Index Solutions
Date Posted: March 22, 2016
Last Revised: May 17, 2016
Working Paper Series
121 downloads

Incl. Electronic Paper Generalists and Specialists in the Credit Market
Saïd Business School WP 2016-11,
Daniel Fricke and Tarik Roukny
University of Oxford - Said Business School and Université Libre de Bruxelles (ULB)
Date Posted: March 21, 2016
Last Revised: April 26, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Market Dynamics vs. Statistics: Limit Order Book Example
Vladislav Gennadievich Malyshkin and Ray Bakhramov
Ioffe Institute and Forum Asset Management LLC
Date Posted: March 18, 2016
Last Revised: March 30, 2016
Working Paper Series
57 downloads

Incl. Electronic Paper Skewing the Odds: Taking Risks for Rank-Based Rewards (Online Supplements)
Dawei Fang and Thomas H. Noe
Göteborg University - Center For Finance and University of Oxford - Said Business School
Date Posted: March 18, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Business Cycle Transition and Stock Market Return
Mingming Liu , Weizhong Chen and Xiaofan Li
Tongji University , Tongji University and Tongji University
Date Posted: March 16, 2016
Working Paper Series
53 downloads

Incl. Electronic Paper Skewing the Odds: Taking Risks for Rank-Based Rewards
Dawei Fang and Thomas H. Noe
Göteborg University - Center For Finance and University of Oxford - Said Business School
Date Posted: March 15, 2016
Last Revised: May 07, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Speed and Dimensions of Trading
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: March 15, 2016
Working Paper Series
218 downloads


 

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