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Advanced Risk & Portfolio Management Research Paper Series
609,687 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 1,371
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1 2 3 4 ... 28 | Next >
   


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
7 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
20 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: October 17, 2014
Working Paper Series
35 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
7 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
34 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
10 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
28 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
55 downloads

Incl. Electronic Paper Simple Heuristics for Pricing VIX Options
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Options Delta Hedging with No Options at All
University of Warsaw Faculty of Economic Sciences Working Paper No. 27/2014
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper A Study on 'Impact of Investment Impeding Factors on Equity Rate of Return' in Power Projects
RJSSM: Volume: 04, Number: 05, September 2014
K. S. Sekhara Rao
University of Hyderabad - School of Management Studies
Date Posted: October 11, 2014
Accepted Paper Series
9 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
68 downloads

Incl. Electronic Paper Adoption of Quality Circles Approach a Powerful Tool for Quality Improvement in the Working of Commercial Banks in India
G. S. Popli and Rupina Popli
Delhi School of Business and Delhi School of Professional Studies and Research (DSPSR)
Date Posted: October 02, 2014
Working Paper Series
10 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
21 downloads

Incl. Electronic Paper Short-Term Risk and Adapting Covariance Models to Current Market Conditions
Anish R. Shah
Independent
Date Posted: September 26, 2014
Working Paper Series
94 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
15 downloads

Incl. Electronic Paper Hedging Climate Risk
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
102 downloads

Incl. Electronic Paper DOL & DFL Can Be Less than One, Zero, Indeterminate or Even Negative
Aloke Gupta and Dr. Debasish Sur
BANDWAN POLYTECHNIC (Govt. of West Bengal) and The University of Burdwan
Date Posted: September 24, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper Propuesta de un CAPM Sectorial para optimizar la toma de decisiones en gestión de carteras (A Sector CAPM to Optimize Decision Making in Portfolio Management)
Luis Ferruz and Guillermo Badia
University of Zaragoza - Faculty of Business and Economics and University of Zaragoza - Faculty of Business and Economics
Date Posted: September 22, 2014
Working Paper Series
11 downloads

Market-Based Sovereign Ceiling: Evidence from the European Sovereign Debt Crisis
Journal of Fixed Income, Forthcoming
Andreas Wengner , Niklas Lampenius and Timo Haas
University of Hohenheim , University of Hohenheim and University of Hohenheim
Date Posted: September 21, 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 - Owen Graduate School of Management and Washington State University
Date Posted: September 20, 2014
Working Paper Series
87 downloads

Incl. Electronic Paper Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
Yuriy Shkolnikov
Optimal Selection Ltd.
Date Posted: September 14, 2014
Working Paper Series
35 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
40 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
40 downloads

Incl. Electronic Paper Political Bonds: Political Hazards and the Choice of Municipal Financing Instruments
Abhay Aneja , Marian W. Moszoro and Pablo T. Spiller
Stanford University , University of California, Berkeley - Haas School of Business and University of California, Berkeley - Business & Public Policy Group
Date Posted: September 10, 2014
Working Paper Series
19 downloads

Quantitative Models for Financial Markets
Lambert Academic Publishing, October, 2014
Rossano Giandomenico
UBI Group
Date Posted: September 10, 2014
Last Revised: October 13, 2014
Accepted Paper Series

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
33 downloads

Incl. Electronic Paper Incomplete Market and Information Relevance Response to the No Believer on Self Finance Replication Strategy
Christian Kamtchueng
Barclays Capital
Date Posted: September 09, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Monte Carlo Approximate Tensor Moment Simulations
J. C. Arismendi and Herbert Kimura
University of Reading - ICMA Centre and Universidade de Brasília (UnB)
Date Posted: September 06, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Does VIX Truly Measure Return Volatility?
Victor Chow , Wanjun Jiang and Jingrui Li
West Virginia University , Guang Hua School of Management, Peking University and West Virginia University
Date Posted: August 31, 2014
Last Revised: October 08, 2014
Working Paper Series
325 downloads

Incl. Electronic Paper Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform
Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Jung Heon Song , Marcos Lopez de Prado , Horst D Simon and Kesheng Wu
Lawrence Berkeley National Laboratory , Guggenheim Partners, LLC , Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Date Posted: August 30, 2014
Last Revised: October 08, 2014
Accepted Paper Series
133 downloads

Incl. Electronic Paper Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon
Don Bredin , Thomas Conlon and Valerio Potì
University College Dublin , University College Dublin and University College Dublin (UCD) - School of Business
Date Posted: August 21, 2014
Working Paper Series
87 downloads

Incl. Electronic Paper Price Dynamics of Gold Futures and Gold Leveraged ETFs
Tim Leung and Brian Ward
Columbia University and Columbia University
Date Posted: August 20, 2014
Last Revised: October 03, 2014
Working Paper Series
244 downloads

Incl. Electronic Paper An Analysis of Performance of Mutual Funds: Public Sector vs Private Sector
Tarini Chauhan and Jayant Gautam
G. B. Pant University of Agriculture and Technology - College of Agribusiness Management and G. B. Pant University of Agriculture and Technology - College of Agribusiness Management
Date Posted: August 19, 2014
Working Paper Series
69 downloads

Incl. Electronic Paper Where Should Active Asian Equity Strategies Focus: Stock Selection or Asset Allocation
Pranay Gupta , Bing Li and Rohit Sharma
Global Association of Alternative Investors , Independent and ING Investment Management, Asia Pacific
Date Posted: August 18, 2014
Working Paper Series
74 downloads

Fund Performance, Asset Growth and the Task of Capital Allocators
Brett Gallagher and Pranay Gupta
Independent and Global Association of Alternative Investors
Date Posted: August 18, 2014
Working Paper Series

Incl. Electronic Paper Better Than Pre-Committed Optimal Mean-Variance Policy in a Jump Diffusion Market
Xiangyu Cui , Yun Shi and Xun Li
Shanghai University of Finance and Economics - School of Statistics and Management , Shanghai University and Hong Kong Polytechnic University
Date Posted: August 15, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
Xiangyu Cui , Xun Li , Duan Li and Yun Shi
Shanghai University of Finance and Economics - School of Statistics and Management , Hong Kong Polytechnic University , Chinese University of Hong Kong and Shanghai University
Date Posted: August 14, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Evaluation of Systematic Trading Programs
Mikhail Munenzon
Reformation Technologies
Date Posted: August 12, 2014
Last Revised: August 17, 2014
Working Paper Series
1248 downloads

Incl. Electronic Paper Risk Parity Versus Mean-Variance: It's All in the Views
Daniel Haesen , Winfried G. Hallerbach , Thijs D. Markwat and Roderick Molenaar
Robeco Asset Management, Quantitative Strategies , Robeco Asset Management, Quantitative Strategies , Robeco Asset Management and Robeco Asset Management
Date Posted: August 12, 2014
Working Paper Series
587 downloads

Incl. Electronic Paper Designing an If-Then Rules Based Ensemble of Heterogeneous Bankruptcy Classifiers: A Genetic Algorithm Approach
Intelligent Systems in Accounting, Finance and Management, Forthcoming
Sergio Davalos , Fei Leng , Ehsan H. Feroz and Zhiyan Cao
University of Washington, Tacoma - Milgard School of Business , University of Washington, Tacoma , University of Washington, Tacoma-Milgard School of Business and University of Washington Tacoma
Date Posted: August 09, 2014
Accepted Paper Series
21 downloads

Incl. Electronic Paper Portfolio Construction: Using Bootstrapping and Portfolioweight Resampling for Construction of Diversified Portfolios
Kai Bartlmae
Mercedes-Benz Auto Finance Ltd.
Date Posted: August 07, 2014
Last Revised: August 15, 2014
Working Paper Series
65 downloads

Incl. Electronic Paper Portfolio Choice in the Presence of Estimation Error: A Pricing Model Filter Approach
Martin Lozano
Independent
Date Posted: August 06, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper Asymptotic Behaviour of High Expectiles
Fabio Bellini and Elena Di Bernardino
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Conservatoire National des Arts et Métiers (CNAM)
Date Posted: August 05, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Risk-Sensitive Investment in a Market with Animal Spirits
Grzegorz Andruszkiewicz , Mark Davis and Sebastien Lleo
Imperial College London , Imperial College London and NEOMA Business School
Date Posted: August 05, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Does Greater Diversification Really Improve Performance in Portfolio Selection?
Francesco Cesarone , Jacopo Moretti and Fabio Tardella
Roma Tre University - Department of Business Studies , Roma Tre University - Department of Business Studies and Faculty of Economics - Sapienza University of Rome
Date Posted: July 30, 2014
Working Paper Series
152 downloads

Incl. Electronic Paper Portfolio Optimization & Stochastic Volatility Asymptotics
Jean-Pierre Fouque , Ronnie Sircar and Thaleia Zariphopoulou
University of California, Santa Barbara - Statistics & Applied Probablity , Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Date Posted: July 30, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Many Risks, One (Optimal) Portfolio
Cristian Homescu
Independent
Date Posted: July 30, 2014
Working Paper Series
607 downloads

Incl. Electronic Paper Political Risk and Expected Government Bond Returns
Johan G. Duyvesteyn , Martin Martens and Patrick Verwijmeren
Robeco Asset Management , Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: July 26, 2014
Last Revised: September 02, 2014
Working Paper Series
71 downloads


 

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