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SSRN eLibrary Search Results
Advanced Risk & Portfolio Management Research Paper Series
659,770 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 1,440
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1 2 3 4 ... 29 | Next >
   


Incl. Electronic Paper Better Investing Through Factors, Regimes and Sensitivity Analysis
Cristian Homescu
Independent
Date Posted: January 30, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper The Pan-European Holiday Effect
REFC - Spanish Journal of Finance and Accounting, Forthcoming
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Date Posted: January 30, 2015
Accepted Paper Series
4 downloads

The Profitability of Five Popular Variations of Moving Averages on Indian Market Index S&P CNX Nifty 50 During January 2004-December 2014
Advances in Economics and Business Management, Forthcoming
Mohd Naved
Noida International University
Date Posted: January 30, 2015
Working Paper Series

Incl. Electronic Paper Rank-Dependent Utility and Risk Taking in Complete Markets
Xue Dong He , Roy Kouwenberg and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research , Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Oxford - Nomura Centre for Mathematical Finance
Date Posted: January 27, 2015
Working Paper Series
6 downloads

An Exploration of the Role of Multinational Banks on Investment in Infrastructures in Cameroon
Alain A. Pr Ndedi and Lionel Mesumbe
Saint Monica University and Independent
Date Posted: January 26, 2015
Working Paper Series

Incl. Electronic Paper How Robust Is Robust Covariance? Evidence from International Portfolio Selection
Tsung-Wu Ho
Shih Hsin University
Date Posted: January 23, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Minimum Risk vs. Capital and Risk Diversification Strategies for Portfolio Construction
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and Symphonia Sgr
Date Posted: January 21, 2015
Working Paper Series
67 downloads

Incl. Electronic Paper Optimal Trading Strategies Based on Multivariate Regression Results
Hamed Khaledi
Michigan State University
Date Posted: January 21, 2015
Last Revised: January 22, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Exploration of the Impact of Basel III on the Performance of Commercial Banks
Alain A. Pr Ndedi and Henry Jong Ketuma
Saint Monica University and Independent
Date Posted: January 19, 2015
Last Revised: January 28, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper CAPM with Sentiment: The Efficient Market Hypothesis Spiced Up with Sentiment
Claudio Boido and Antonio Fasano
University of Siena and Universita di Salerno
Date Posted: January 19, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper A Random Forests Based Structural Performance Ratio for Credit Portfolio Management and Optimisation
Boris Waelchli
University of Zurich - Department of Banking and Finance
Date Posted: January 16, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper How Risky is Your Retirement Income Risk Model?
Patrick J. Collins , Huy D. Lam and Josh Stampfli
Schultz Collins, Inc. , Schultz Collins, Inc. and Independent
Date Posted: January 14, 2015
Working Paper Series
59 downloads

Incl. Electronic Paper Risk-Shifting and Optimal Asset Allocation in Life Insurance: The Impact of Regulation
An Chen and Peter Hieber
University of Ulm and University of Ulm - Department of Mathematics and Economics
Date Posted: January 13, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Robust Inference of Risks of Large Portfolios
Jianqing Fan , Fang Han , Han Liu and Byron Vickers
Princeton University - Bendheim Center for Finance , Johns Hopkins University , Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: January 12, 2015
Working Paper Series
37 downloads

Incl. Electronic Paper The Fractal Nature of Bitcoin: Evidence from Wavelet Power Spectra
Rafael Delfin Vidal
University of the Americas, Puebla
Date Posted: January 11, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper A Conditional Regression-Tree Analysis for Predicting Portfolio at Risk in Profit Microfinance Institutions
Roy Bou Kheir , Mehdi Nekhili , Octave Jokung , Tawhid Chtioui and Mondher Bellalah
University of Reims Champagne-Ardenne , Université de Reims , University of Valenciennes , ICD International Business School and Universite de Cergy-Pontoise
Date Posted: January 10, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper The Mispricing of Socially Ambiguous Grey Stocks
Swee Sum Lam , Weina Zhang and Gabriel Henry Jacob
National University of Singapore - NUS Business School , Department of Finance, National University of Singapore and National University of Singapore (NUS)
Date Posted: January 08, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Hedging Under Generalized Good-Deal Bounds and Model Uncertainty
Dirk Becherer and Klebert Kentia
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Humboldt University of Berlin - Department of Mathematics
Date Posted: January 08, 2015
Last Revised: January 11, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Relationship between Price-Earnings Ratios and Stock Value in an Emerging Market
Manas Mayur
Goa Institute of Management
Date Posted: January 07, 2015
Working Paper Series
50 downloads

Quantitative Models for Financial Markets
Quantitative Models for Financial Markets, Lambert Academic Publishing, October 2014
Rossano Giandomenico
UBI Group
Date Posted: January 06, 2015
Accepted Paper Series

Incl. Electronic Paper Superhedging Under Ratio Constraint
Yingshan Chen , Min Dai , Jing Xu and Mingyu Xu
National University of Singapore (NUS) - Department of Mathematics , National University of Singapore (NUS) - Department of Mathematics , National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Date Posted: December 31, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Comparison of Sampling Methods for Dynamic Stochastic Programming
M. A. H. Dempster , Elena Medova and Yee Sook
University of Cambridge - Centre for Financial Research , University of Cambridge - Centre for Financial Research and Credit Suisse AG, Singapore
Date Posted: December 31, 2014
Last Revised: January 03, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)
Wouter J. Keller and Adam Butler
Flex Capital BV and BPG and Associates
Date Posted: December 31, 2014
Last Revised: January 21, 2015
Working Paper Series
803 downloads

Incl. Electronic Paper Fees Eat Diversification's Lunch
William W. Jennings and Brian C Payne
U.S. Air Force Academy - Department of Management and US Air Force Academy
Date Posted: December 28, 2014
Working Paper Series
177 downloads

Incl. Electronic Paper Augmenting the Intertemporal CAPM with Macro Risk and Alternative Momentum Proxy
Qi Shi , Ali F. Darrat , Jung Chul Park , Bin Li and Richard Chung
Griffith University , Louisiana Tech University - College of Business , Auburn University , Griffith University - Department of Accounting, Finance and Economics and Griffith University - Department of Accounting, Finance and Economics
Date Posted: December 24, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Robust Barrier Option Pricing by Frame Projection Under Exponential Levy Dynamics
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: December 23, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Factors Influencing the Choice of Takaful Over Conventional Insurance: The Case of Malaysia
Kamil, N. M., & Nor, N. B. M (2014). Factors influencing the choice of "takaful" [Islamic insurance] over conventional insurance: The case of Malaysia, Journal of Islamic Finance, 3 (2), 1-14.
Dr. Naail Mohammed Kamil and Norsham Binti Mat Nor
Faculty of Business, Accountancy and Management, SEGi University and International Center for Continuing Education, International Islamic University Malaysia
Date Posted: December 23, 2014
Accepted Paper Series
21 downloads

Incl. Electronic Paper Efficient Monte Carlo CVA Estimation
Proceedings of the 2014 Winter Simulation Conference
Bo Zhang
IBM - T. J. Watson Research Center
Date Posted: December 23, 2014
Accepted Paper Series
60 downloads

Incl. Electronic Paper Analysis of Default Probability: A Comparative Theoretical Approach between the Credit Portfolio View Model and the Creditrisk Model
International Journal of Business Management & Research (IJBMR), Vol. 3, Issue 1, March 2013, 157-170
Abdelkader Derbali and Slaheddine Hallara
University of Tunis - Institut Supérieur de Gestion (ISG), Tunis and University of Tunis - Institut Supérieur de Gestion (ISG), Tunis
Date Posted: December 21, 2014
Accepted Paper Series
39 downloads

Incl. Electronic Paper Determinants of Performance of Insurance Companies in Tunisia: The Case of Life Insurance
International Journal of Innovation and Applied Studies, Vol. 6, No. 1, May 2014, pp. 90-96
Abdelkader Derbali
University of Tunis - Institut Supérieur de Gestion (ISG), Tunis
Date Posted: December 21, 2014
Accepted Paper Series
22 downloads

Incl. Electronic Paper The Predictive Power of Portfolio Characteristics
Barry Gillman , Erianna Khusainova and Juan Mier
Brandes Investment Partners , Lazard Asset Management and Lazard Asset Management
Date Posted: December 20, 2014
Working Paper Series
95 downloads

Incl. Electronic Paper A Behavioral Theory of Real Options
Hart E. Posen , Michael J. Leiblein and John S. Chen
University of Wisconsin-Madison , Ohio State University (OSU) - Department of Management & Human Resources and University of Florida
Date Posted: December 20, 2014
Last Revised: January 30, 2015
Working Paper Series
65 downloads

Incl. Electronic Paper Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method
Cornelis S.L. de Graaf , Drona Kandhai and Peter M.A. Sloot
University of Amsterdam , University of Amsterdam and University of Amsterdam
Date Posted: December 19, 2014
Working Paper Series
60 downloads

Incl. Electronic Paper The Contemporary Art Market in Poland - Paintings
Journal of Management and Financial Sciences, Vol. 17, Issue 15, 2014, pp. 63-80
Krzysztof Borowski and Weronika Kosmala II
Warsaw School of Economics and Warsaw School of Economics
Date Posted: December 16, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Hypercube in the Kitchen: Reading a Menu of Active Investment Strategies
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: December 12, 2014
Last Revised: January 27, 2015
Working Paper Series
110 downloads

Incl. Electronic Paper Robust Portfolio Choice with Derivatives Trading Under Stochastic Volatility
Marcos Escobar , Sebastian Ferrando and Alexey Rubtsov
Ryerson University , Ryerson University and Ryerson University
Date Posted: December 09, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper A Comparative Analysis of Liquidity Measures
Yuping Huang and Vasilios I. Sogiakas
University of Glasgow and University of Glasgow
Date Posted: December 03, 2014
Working Paper Series
187 downloads

Incl. Electronic Paper Return Forecast Models and Out-of-Sample Portfolio Optimization: Evidence for Industry Portfolios
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Justus Liebig University Giessen
Date Posted: December 03, 2014
Last Revised: December 11, 2014
Working Paper Series
97 downloads

Incl. Electronic Paper Smart Beta ETF Portfolios: Cloning Beta Active Hedge Funds
Jun Duanmu , Yongjia Li and Alexey Malakhov
University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance , University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance and University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance
Date Posted: December 02, 2014
Last Revised: January 08, 2015
Working Paper Series
189 downloads

Incl. Electronic Paper Asymptotic Behaviour of the Fractional Heston Model
Hamza Guennoun , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: November 30, 2014
Working Paper Series
63 downloads

Incl. Electronic Paper Motion Forecasting of Share Quotation of the Ukrainian Companies on the Basis of the Elliott Wave Theory
Alexander V. Zaporozhchenko
Odessa Mariinskaya High School
Date Posted: November 30, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Two Examples of Non Strictly Convex Large Deviations
Stefano De Marco , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: November 28, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Impact of Firm's Characteristics on Determining the Financial Structure on the Insurance Sector Firms in Pakistan
Ahmed Muhammed Khan
Iqra University Karachi
Date Posted: November 28, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Algorithmic Trading Model for Manifold Learning in FX
Zee Fernandez
Modus Operandi, Inc.
Date Posted: November 26, 2014
Working Paper Series
67 downloads

Incl. Electronic Paper A Level Dependent Proportional Strategy for Zero-Edge Games
Muhammed Bashiru
Independent
Date Posted: November 26, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 25, 2014
Last Revised: December 16, 2014
Working Paper Series
88 downloads

Incl. Electronic Paper An Analytical Justification for Asset Allocation
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: November 25, 2014
Working Paper Series
79 downloads

Incl. Electronic Paper Sovereign Ratings Implied by Coupled CDS-Bond Market Data
Stefano Marmi , Aldo Nassigh and Daniele Regoli
Scuola Normale Superiore , UniCredit Group and Scuola Normale Superiore
Date Posted: November 25, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Two Maxentropic Approaches to Determine the Probability Density of Compound Risk Losses
Erika Gomes-Gonçalves , Henryk Gzyl and Silvia Mayoral
Universidad Carlos III de Madrid - Department of Business Administration , IESA and Universidad Carlos III de Madrid
Date Posted: November 22, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Linear Factor Models: Theory, Applications and Pitfalls
Attilio Meucci
SYMMYS
Date Posted: November 21, 2014
Last Revised: December 08, 2014
Working Paper Series
982 downloads


 

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