Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 624,784
Full Text Papers: 520,775
Authors: 288,218
Papers Received in
  Last 12 months:
62,713

Paper Downloads:
To date: 89,530,549
Last 12 months: 11,757,666
Last 30 days: 860,507

CiteReader:  What's this?
Papers with
  Resolved
  References:
293,435
Total References: 9,075,589
Papers with Cites: 247,592
Total Citation
  Links:
5,864,310
Papers with
  Resolved
  Footnotes:
94,263
Total Footnotes: 9,164,813


SSRN eLibrary Search Results
Advanced Risk & Portfolio Management Research Paper Series
760,235 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 1,561
Sort By
1 2 3 4 ... 32 | Next >
   


Incl. Electronic Paper Computations and Performance Analysis of Self-Financing Fixed-Mix Investment Portfolio Strategies in a South African Financial Market
Siya Goodwill Chule , Marie de Beer Sr. and Sibusiso Moyo
DUT Research and Postgraduate Support , Durban University of Technology and Durban University of Technology
Date Posted: September 04, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper The Coming Inflection in Quant Portfolios
Rasheed Sabar
Ellington Management Group
Date Posted: September 03, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Orthant Probabilities for Robust Correlation and Structural Performance Enhancement
Marty Anderson , Shan Chen , Jennifer Eichholz , Marc Lieberman , Mark Lundin , Vaida Maleckaite , Ryan Parham , Stephen E. Satchell and Mark Steed
Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Kutak Rock, LLP , Charles Schwab Investment Management , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , University of Cambridge - Faculty of Economics and Politics and Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust
Date Posted: September 02, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Predicted Institutional Trades and the Cross-Section of Returns
James Bulsiewicz
University of Utah
Date Posted: September 02, 2015
Working Paper Series
50 downloads

Incl. Electronic Paper Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver
Andrew Urquhart , Jonathan A. Batten , Brian M. Lucey , Frank McGroarty and Maurice Peat
University of Southampton , Monash University - Department of Accounting and Finance , Trinity College, Dublin - School of Business , University of Southampton - School of Management and University of Sydney
Date Posted: August 29, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper Implied Risk Aversion: An Alternative Rating System for Retail Structured Products
Holger Fink , Sebastian Geissel , Jörn Sass and Frank Thomas Seifried
Chair of Financial Econometrics, Institute of Statistics, Ludwig-Maximilians-Universität München , University of Kaiserslautern , University of Kaiserslautern - Department of Mathematics and University of Trier
Date Posted: August 28, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Portfolio Construction Using Risk Parity
Mohsen Mazaheri
Independent
Date Posted: August 28, 2015
Working Paper Series
57 downloads

Incl. Electronic Paper Persistency of the Momentum Effect: The Role of Consistent Winners and Losers
Hong-Yi Chen , Pin-Huang Chou and Chia-Hsun Hsieh
National Chengchi University , National Central University and National Central University at Taiwan
Date Posted: August 28, 2015
Working Paper Series
284 downloads

Incl. Electronic Paper Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
Gili Rosenberg , Poya Haghnegahdar , Phil Goddard , Peter Carr , Kesheng Wu and Marcos Lopez de Prado
1QBit , 1QBit , 1QBit , New York University (NYU) - Courant Institute of Mathematical Sciences , Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: August 24, 2015
Last Revised: August 29, 2015
Working Paper Series
52 downloads

Incl. Electronic Paper Performance Evaluation of Selected Open Ended Mutual Funds in Pakistan
Mohammad Ali
University of Lahore (UOL)
Date Posted: August 23, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Money Market Funds and the Prospect of a U.S. Treasury Default
Emily Gallagher and Sean Collins
Paris School of Economics (PSE) and Investment Company Institute - Research
Date Posted: August 23, 2015
Working Paper Series
73 downloads

Incl. Electronic Paper Talking Numbers: Technical versus Fundamental Recommendations
Doron Avramov , Guy Kaplanski and Haim Levy
Hebrew University of Jerusalem , Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Date Posted: August 22, 2015
Last Revised: September 01, 2015
Working Paper Series
366 downloads

Incl. Electronic Paper The Financial Leverage Paradox – Is Leverage About Risk, Risk Reward or Something Else?
Tomasz S. Berent
Warsaw School of Economics (SGH)
Date Posted: August 19, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Comprehensive Theory of a Cross Currency Basis Spread Formula
Eulogio Cuesta Yustas
Area of Model Risk, Banco Santander
Date Posted: August 18, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper An Empirical Study of Asset Liability Management Approach by Indian Banks
Suman Chakraborty and Subhalaxmi Mohapatra
M S Ramaiah University of Applied Sciences, Bangalore and The Icfai Business School
Date Posted: August 18, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Marginal Contribution to Risk and Generalized Effective Number of Bets
Xiang Shi
State University of New York (SUNY) - Stony Brook, Students
Date Posted: August 18, 2015
Working Paper Series
24 downloads

Impact of Weather on Return and Volatility: Evidence from Indian Stock Market
International Journal of Financial Management, Vol. 5, No.2 pp.44-51 (April, 2015)
N. Vijayakumar , M. Dharani and Muruganandan S
PSG Institute of Management , Institute of Chartered Financial Analysts of India (ICFAI) - ICFAI University, Hyderabad and Sri Dharmasthala Manjunatheshwara College (Autonomous), Ujire
Date Posted: August 14, 2015
Last Revised: August 15, 2015
Accepted Paper Series

Incl. Electronic Paper An Investigation for Implementation of Random Walk Theory in Banking Industry with Special Reference to NSE of India
Kadakia International Journal of Research in Multidiscipline, Volume 1, Issue 2, September 2014
Dr. Kaushal Bhatt
Gujarat Technological University
Date Posted: August 14, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper A Design and Implementation of a Decision Support System for the Real Estate Industry
Raul Valverde
Concordia University
Date Posted: August 12, 2015
Last Revised: August 14, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Does Using Firefly Algorithm to Find Effective Optimized Trading Rules Produce Greater Results Compared to a Simple B&H Strategy?
Russo Vincenzo
Reims Management School
Date Posted: August 12, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Fund Flows Inducing Mispricing of Risk in Competitive Financial Markets
Axel Stahmer
ESMT European School of Management and Technology, Students
Date Posted: August 12, 2015
Last Revised: August 13, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Tracking Hedge Funds Using Linear Models
Kay Eichhorn-Schott , Margherita Giuzio , Sandra Paterlini and Vincent Weber
EBS Universität für Wirtschaft und Recht , EBS Universität für Wirtschaft und Recht , EBS Universität für Wirtschaft und Recht and Prime Capital AG
Date Posted: August 10, 2015
Last Revised: August 21, 2015
Working Paper Series
74 downloads

Incl. Electronic Paper Large-Scale Loan Portfolio Selection
Justin Sirignano , Gerry Tsoukalas and Kay Giesecke
Stanford University - Management Science & Engineering , University of Pennsylvania - The Wharton School and Stanford University - Management Science & Engineering
Date Posted: August 08, 2015
Last Revised: August 17, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Cross-Hedging on the Milk-Derived Product Market
Jan Koeman and Jedrzej Pawel Bialkowski
University of Canterbury - Economics and Finance and University of Canterbury - Department of Economics and Finance
Date Posted: August 06, 2015
Working Paper Series
19 downloads

Socially Responsible Stocks: A Boon for Investors in India
Journal of Advances in Management Research, Vol. 12, No. 02, pp. 209-225
Vanita Tripathi and Varun Bhandari
University of Delhi India - Delhi School of Economics - Department of Commerce and University of Delhi - Department of Commerce
Date Posted: August 05, 2015
Accepted Paper Series

Incl. Electronic Paper An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'
Matthew Ames , Guillaume Bagnarosa and Gareth William Peters
University College London - Department of Statistical Science , ESC RennesUniversity College London and University College London
Date Posted: August 04, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Recent Trends in Empirical Finance
Journal of Portfolio Management, Vol. 41, No. 4, 2015 Forthcoming
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: August 03, 2015
Last Revised: August 04, 2015
Accepted Paper Series
312 downloads

Incl. Electronic Paper Pitfalls in Valuing Hybrid Bonds: Impact of Bank Bailout Regulation on Subordination Component Pricing.
Piotr Jaworski , Kamil Liberadzki and Marcin Liberadzki
Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego , Warsaw School of Economics and Warsaw School of Economics
Date Posted: August 02, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Regulatory and Economic Incentives for Issuing Contingent Convertibles
Piotr Jaworski , Kamil Liberadzki and Marcin Liberadzki
Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego , Warsaw School of Economics and Warsaw School of Economics
Date Posted: August 02, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences
Matthew Ames , Guillaume Bagnarosa and Gareth William Peters
University College London - Department of Statistical Science , ESC RennesUniversity College London and University College London
Date Posted: August 01, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Systematic Multi-Period Stress Scenarios with an Application to CCP Risk Management
Alan De Genaro
University of Sao Paulo (USP) - Department of Economics
Date Posted: July 31, 2015
Last Revised: August 03, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Non-Traditional Risk Sources and Financial System Resilience
Duisenberg Strategy Series No. 201501
Tim Drost and Bernd Jan Sikken
Duisenberg School of Finance and Duisenberg School of Finance
Date Posted: July 30, 2015
Last Revised: July 31, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper Expected Loss and Impact of Risk: Backtesting Parameter-Based Expected Loss in a Basel II Framework
Journal of Risk Model Validation 7(3), 59-84, Fall 2013, Incisive Media
Wolfgang Reitgruber
UniCredit S.p.A.
Date Posted: July 29, 2015
Last Revised: August 13, 2015
Accepted Paper Series
35 downloads

Incl. Electronic Paper A Simulation-Based Methodology for Evaluating Hedge Fund Investments
Marat Molyboga and Christophe L'Ahelec
Efficient Capital Management, LLC and Ontario Teachers' Pension Plan (OTPP)
Date Posted: July 26, 2015
Working Paper Series
426 downloads

Incl. Electronic Paper Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums
Kris Boudt , Steven Vanduffel and Kristof Verbeken
Free University of Brussels (VUB) , Vrije Universiteit Brussel (VUB) and Free University of Brussels (VUB)
Date Posted: July 24, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper A Tale of Two Consequences
Institutional Investor Journals, Journal of Trading, Vol. 10, No. 4 (Fall 2015), Forthcoming
Ravi Kashyap
Gain Knowledge Group
Date Posted: July 23, 2015
Last Revised: September 04, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Carry and Trend Following Returns in the Foreign Exchange Market
Andrew Clare , James Seaton , Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School , City University London - Sir John Cass Business School , University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Date Posted: July 22, 2015
Working Paper Series
448 downloads

Intraday Exchange Rate Volatility Transmissions Across QE Announcements
Finance Research Letters, Forthcoming
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: July 19, 2015
Working Paper Series

Incl. Electronic Paper Execution of Pairs Trading Strategy: Some Propositions
Tamal Datta Chaudhuri and Priyam Singh
Calcutta Business School and HDFC Ltd.
Date Posted: July 16, 2015
Working Paper Series
252 downloads

Incl. Electronic Paper Factor Attribution and the Impact of Investment Constraints
Sanne De Boer and Vishv Jeet
QS Investors and Axioma Inc
Date Posted: July 14, 2015
Working Paper Series
119 downloads

Incl. Electronic Paper Dynamic Balance Sheet Model with Liquidity Risk
Grzegorz Halaj
European Central Bank (ECB)
Date Posted: July 14, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Economic Capital for Market Risk
Silvan Ebnöther
Zurich Cantonal Bank
Date Posted: July 11, 2015
Working Paper Series
52 downloads

Incl. Electronic Paper How to Reduce Risk and Capital Charges of Solvency II Regulated Equity Portfolios Using Options
Benoit Vaucher
Lombard Odier & Cie
Date Posted: July 10, 2015
Working Paper Series
69 downloads

Incl. Electronic Paper A New Sector Rotation Strategy and its Performance Evaluation: Based on a Principal Component Regression Model
Bo Gao and Ruo-En Ren
North China University of Technology and Beihang University (BUAA) - School of Economic and Management Science
Date Posted: July 09, 2015
Working Paper Series
135 downloads

Incl. Electronic Paper Enhancing Multi-Asset Portfolio Construction Under Modern Portfolio Theory with a Robust Co-Movement Measure
Sander Gerber , Harry Markowitz and Punit Pujara
Hudson Bay Capital Management, LP , University of California at San Diego and Hudson Bay Capital Management, LP
Date Posted: July 09, 2015
Last Revised: July 13, 2015
Working Paper Series
669 downloads

Incl. Electronic Paper Optimal Linear Combinations of Portfolios Subject to Estimation Risk
Robin Lars Jonsson
Malardalen University - Malardalen University, Students
Date Posted: July 08, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper Revealed Institutional Risk Preferences in Thrifts
Paul Borochin , Walter Dolde , John D. Knopf and Norman Moore
University of Connecticut - School of Business , University of Connecticut - Department of Finance , University of Connecticut - Department of Finance and University of Connecticut - School of Business
Date Posted: July 05, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Empirical Comparison of Extreme Value Theory Vis-À-Vis Other Methods of VaR Estimation Using ASEAN+3 Exchange Rates
DLSU Business & Economics Review, 20.2 (2011), pp. 9-22
Cesar C. Rufino and Emmanuel G. de Guia
School of Economics, De La Salle University and De La Salle University
Date Posted: June 30, 2015
Accepted Paper Series
12 downloads

Incl. Electronic Paper Metaheuristic Construction of Long-Only Risk Budgeted Futures Portfolio with Maximal Diversification Index
Vijayalakshmi G A Pai and Thierry Michel
PSG College of Technology and Lombard Odier & Cie
Date Posted: June 26, 2015
Last Revised: June 29, 2015
Working Paper Series
44 downloads

Seasonal Variation in Treasury Returns
Critical Finance Review, 4(1), 45-115, 2015, Rotman School of Management Working Paper No. 2620912
Mark J. Kamstra , Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business , University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business
Date Posted: June 21, 2015
Accepted Paper Series


 

1 2 3 4 ... 32 | Next >
   


 

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.640 seconds