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Advanced Risk & Portfolio Management Research Paper Series
699,914 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 1,467
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Incl. Electronic Paper European Government Bond Dynamics and Stability Policies: Taming Contagion Risks
Peter Schwendner , Martin Schüle , Thomas Ott and Martin Hillebrand
Zurich University of Applied Sciences, Center for Alternative Investments and Risk Management , Zurich University of Applied Sciences, Institute for Applied Simulation , Zurich University of Applied Sciences, Institute for Applied Simulation and Frankfurt University of Applied Sciences
Date Posted: May 04, 2015
Working Paper Series
8 downloads

Optimising Macro-Economic Investment Decisions: A Lesson from Nigeria
Akintoye, I.R. & Olowolaju P.S. (2007) “Optimising Macro-Economic Investment Decisions: A Lesson from Nigeria”. European Journal of Scientific Research(EJSR), Austria. Vol 22 Issue 4 Pp469-479 ,
Ishola Rufus Akintoye and Phillip Olowolaju
Ogun State University and Independent
Date Posted: April 30, 2015
Accepted Paper Series

Incl. Electronic Paper Historical Simulation with Component Weight and Ghosted Scenarios
Journal of Risk and Uncertainty, Forthcoming
Liu Xinyi
China Investment Corporation (CIC)
Date Posted: April 28, 2015
Last Revised: May 04, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Illegitimate Science: Why Most Empirical Discoveries in Finance Are Likely Wrong, and What Can Be Done About It
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: April 27, 2015
Last Revised: May 05, 2015
Working Paper Series
113 downloads

Incl. Electronic Paper Backtest Overfitting Demonstration Tool: An Online Interface
David H. Bailey , Jonathan M. Borwein , Amir Salehipour , Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory , University of Newcastle (Australia) , University of Newcastle, Australia , Guggenheim Partners, LLC and Western Michigan University
Date Posted: April 23, 2015
Working Paper Series
108 downloads

Incl. Electronic Paper Forecasting Coherent Volatility Breakouts
Alexander Didenko , Michael Dubovikov and Boris Poutko
Government of the Russian Federation - Financial University under the Government of the Russian Federation , Independent and Government of the Russian Federation - Financial University under the Government of the Russian Federation
Date Posted: April 21, 2015
Last Revised: April 22, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks
Jozef Barunik and Barbora Malinská
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Faculty of Social Sciencies
Date Posted: April 20, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Fact, Fiction, and Value Investing
Clifford S. Asness , Andrea Frazzini , Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC , AQR Capital Management, LLC , AQR Capital Management, LLC and University of Chicago - Booth School of Business
Date Posted: April 19, 2015
Working Paper Series
2704 downloads

Incl. Electronic Paper Measuring Risk When Expected Losses are Unbounded
Risks 2014, 2(4), 411-424
Alejandro Balbás , Iván Blanco and José Garrido
Universidad Carlos III de Madrid - Department of Business Administration , Universidad Carlos III de Madrid and Concordia University, Quebec - Department of Mathematics & Statistics
Date Posted: April 19, 2015
Accepted Paper Series
51 downloads

Incl. Electronic Paper Smart Beta: Managing Diversification of Minimum Variance Portfolios
Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management and Lyxor Asset Management
Date Posted: April 18, 2015
Last Revised: April 20, 2015
Working Paper Series
137 downloads

Incl. Electronic Paper Optimal Portfolio for Terminal Wealth Under Inflation
Gajah Mada International Conference on Economic and Business by University of Gajah Mada Indonesia, December 2014
Ashri Putri Rahadi and Budhi Arta Surya
Bandung Institute of Technology - School of Business and Management and Bandung Institute of Technology - School of Business and Management
Date Posted: April 12, 2015
Last Revised: April 20, 2015
Working Paper Series
16 downloads

Dynamic Optimal Lifetime Portfolio Selection in Discrete Framework
JUST, 2015 Forthcoming
Ashri Putri Rahadi , Nora A. Rizal and Budhi Arta Surya
Bandung Institute of Technology - School of Business and Management , Bandung Institute of Technology - School of Business and Management, Bandung Institute of Technology and Bandung Institute of Technology - School of Business and Management
Date Posted: April 12, 2015
Last Revised: April 21, 2015
Working Paper Series

Incl. Electronic Paper Advanced Idiosyncratic Risk and Multi-Factor Models
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg LP
Date Posted: April 07, 2015
Working Paper Series
50 downloads

Incl. Electronic Paper Utilizing Topographic Finance to Understand Volatility
Paul E. Cottrell and Francesco Ungolo
Independent and Independent
Date Posted: April 07, 2015
Working Paper Series
130 downloads

Incl. Electronic Paper Skewness and Investors' Decisions
Journal of Financial and Quantitative Analysis (JFQA), 1975
Jack Clark Francis
Zicklin School of Business
Date Posted: April 04, 2015
Accepted Paper Series
21 downloads

Incl. Electronic Paper Contrasting Real Estate with Comparable Investments, 1978-2008
Journalof Portfolio Management, Vol. 35, No. 5, p. 141, 2009
Jack Clark Francis and Roger G. Ibbotson
Zicklin School of Business and Yale School of Management
Date Posted: April 04, 2015
Accepted Paper Series
15 downloads

Incl. Electronic Paper Intertemporal Differences in Systematic Stock Price Movements
Journal of Financial and Quantitative Analysis (JFQA), 1975
Jack Clark Francis
Zicklin School of Business
Date Posted: April 04, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper The Implied Volatility of Greek Options and the Political Risk in Eurozone
Dimosthenis Karaflos
Athens University of Economics and Business
Date Posted: April 04, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979
Jack Clark Francis and Frank J. Fabozzi
Zicklin School of Business and EDHEC Business School
Date Posted: April 04, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Statistical Analysis of Risk Coefficients for NYSE Stocks
Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 5, p. 981, December 1979
Jack Clark Francis
Zicklin School of Business
Date Posted: April 04, 2015
Accepted Paper Series
31 downloads

Incl. Electronic Paper Predicting Large Negative Stock Returns: The Trouble Score
B. Korcan Ak
University of California, Berkeley - Haas School of Business
Date Posted: April 04, 2015
Last Revised: May 02, 2015
Working Paper Series
229 downloads

Incl. Electronic Paper Futures Convexity Adjustment with Continuously and Discretely Compounded Rates
Christian Fenger
Danske Bank
Date Posted: April 02, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Forecasting Yield Curves with Survey Information
JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163
Jack Clark Francis and Jian Hua
Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
Date Posted: April 01, 2015
Last Revised: April 03, 2015
Accepted Paper Series
16 downloads

Incl. Electronic Paper Beta as a Random Coefficient
Journal of Financial and Quantitative Analysis (JFQA), March 1978, pages 101-115
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business
Date Posted: March 31, 2015
Last Revised: April 04, 2015
Accepted Paper Series
26 downloads

Incl. Electronic Paper Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions
JOURNAL OF FINANCE, 1977 September, XXXII(4), 1093-1099.
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business
Date Posted: March 31, 2015
Last Revised: April 03, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business
Date Posted: March 30, 2015
Last Revised: April 03, 2015
Accepted Paper Series
22 downloads

Incl. Electronic Paper Dynamic Portfolio Management with Views at Multiple Horizons
Attilio Meucci and Marco Nicolosi
SYMMYS and University of Perugia - Department of Economics
Date Posted: March 24, 2015
Last Revised: April 17, 2015
Working Paper Series
231 downloads

Incl. Electronic Paper Carry and Trend in Lots of Places
Vineer Bhansali , Josh Davis , Matthew P. Dorsten and Graham Rennison
Pacific Investment Management Company (PIMCO) , Pacific Investment Management Company (PIMCO) , California Institute of Technology and Pacific Investment Management Company (PIMCO)
Date Posted: March 18, 2015
Working Paper Series
462 downloads

Incl. Electronic Paper Fixing the VIX: An Indicator to Beat Fear
Journal of Technical Analysis, Forthcoming
Amber Hestla-Barnhart
Independent
Date Posted: March 17, 2015
Last Revised: March 19, 2015
Accepted Paper Series
140 downloads

Incl. Electronic Paper Dynamic Stress Test Diffusion Model Considering the Credit Score Performance
Ziad Fares , Benoit Genest and Arnault Gombert
Chappuis Halder & Cie. - New York Office , Chappuis Halder & Cie. - London Office and Chappuis Halder & Cie. - Global Research & Analytics Department
Date Posted: March 17, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Correlation Structure and Application In Incremental Risk Charge
Hoa Tuc Ngo
John von Neumann Institute (VNUHCM), Students
Date Posted: March 14, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Optimal Portfolios when Variances and Covariances can Jump
Nicole Branger , Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster , University of Bamberg and University of Bamberg
Date Posted: March 12, 2015
Working Paper Series
52 downloads

Incl. Electronic Paper Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: March 09, 2015
Last Revised: April 03, 2015
Working Paper Series
103 downloads

Incl. Electronic Paper Generalized Correlations and Instantaneous Causality for Data Pairs Benchmark
Hrishikesh D. Vinod
Fordham University - Department of Economics
Date Posted: March 08, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Long-Run International Diversification
Thomas Conlon , John Cotter and Ramazan Gencay
University College Dublin , University College Dublin and Simon Fraser University
Date Posted: March 05, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper High Frequency Newswire Textual Sentiment: Evidence from International Stock Markets During the European Financial Crisis
Andreas S. Chouliaras
Luxembourg School of Finance
Date Posted: March 03, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper Network Risk and Cross-Section of Expected Stock Returns
Yi-An Chen
University of Washington
Date Posted: March 03, 2015
Working Paper Series
115 downloads

Incl. Electronic Paper Investment Management: A Science to Teach or an Art to Learn
CFA Institute Research Foundation Monograph
Frank J. Fabozzi , Sergio Focardi and Caroline Jonas
EDHEC Business School , The Intertek Group and CFA Institute Research Foundation
Date Posted: March 01, 2015
Accepted Paper Series
164 downloads

Incl. Electronic Paper Optimal Non-Life Reinsurance under Solvency II Regime
Alexandru V. Asimit , Yichun Chi and Junlei Hu
Cass Business School , China Institute for Actuarial Science, Central University of Finance and Economics and Cass Business School, City University London
Date Posted: February 23, 2015
Last Revised: February 24, 2015
Working Paper Series
51 downloads

Incl. Electronic Paper Portfolio Insurance with Adaptive Protection (PIWAP)
François Soupé , Thomas Heckel and Raul Leote de Carvalho
THEAM, BNP Paribas Investment Partners , BNP Paribas Asset Management and BNP Paribas Investment Partners
Date Posted: February 22, 2015
Working Paper Series
118 downloads

Incl. Electronic Paper Modeling Information Theory Effects on Price Uncertainty Using Multiple Agents with Heterogeneous Volatility
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: February 15, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Rebalancing Multiple Assets with Mutual Price Impact
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Date Posted: February 15, 2015
Working Paper Series
55 downloads

On Quantitative Easing and High Frequency Exchange Rate Dynamics
Research in International Business and Finance, Vol. 34 (2015), pp. 110-125
Dimitris Kenourgios , Stephanos Papadamou and Dimitrios I. Dimitriou
University of Athens - Faculty of Economics , University of Thessaly - Department of Economics and University of Athens
Date Posted: February 08, 2015
Accepted Paper Series

Incl. Electronic Paper Fund Manager Performance in Emerging Market: Factor Specialization and Financial Crisis Impact
Giuseppe Galloppo and Mauro Aliano
Università degli studi della Tuscia and Universita di Cagliari - Department of Economic and Social Sciences
Date Posted: February 01, 2015
Working Paper Series
44 downloads

Incl. Electronic Paper Better Investing Through Factors, Regimes and Sensitivity Analysis
Cristian Homescu
Independent
Date Posted: January 30, 2015
Working Paper Series
665 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
51 downloads

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
32 downloads

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
35 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
Last Revised: February 12, 2015
Working Paper Series
189 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
150 downloads


 

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