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Advanced Risk & Portfolio Management Research Paper Series
587,572 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 1,343
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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: September 01, 2014
Working Paper Series
116 downloads

Incl. Electronic Paper Exploring Irregular Time Series Through the Non-Uniform Fourier Transform
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
Working Paper Series
26 downloads

Incl. Electronic Paper Do Top Brands Beat the Market? (The Brand Dynamics, Abnormal Returns, and Market Efficiency)
Yhlas Sovbetov
Fatih University
Date Posted: August 26, 2014
Working Paper Series
8 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 Dublin City University Business School
Date Posted: August 21, 2014
Working Paper Series
25 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
Working Paper Series
138 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
27 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
46 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
15 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
29 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
831 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
488 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
14 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
46 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
36 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
25 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
29 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
117 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
38 downloads

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

Incl. Electronic Paper A Regression Method Based on Characteristic Functions for Numerical Solutions of Forward-Backward Stochastic Differential Equations
Deng Ding , Yiqi Liu , Zhijie Cao and Qiang Liu
University of Macau , University of Macau , University of Macau and University of Macau
Date Posted: July 29, 2014
Working Paper Series
11 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
Working Paper Series
49 downloads

Incl. Electronic Paper 'Activist' Hedge Funds: Creators of Lasting Wealth? What Do the Empirical Studies Really Say?
Yvan Allaire and Francois Dauphin
Institute for Governance of Private and Public Organizations (IGOPP) and Institute for Governance of Private and Public Organizations (IGOPP)
Date Posted: July 25, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper Calendar Anomalies and the Financial Trends’ Role: An Empirical Research for the Day of the Week and the Reverse Weekend Effect in the S&P 500
Evangelos Vasileiou
University of the Aegean
Date Posted: July 23, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Estimation of the Hurst Exponent by Randomizing Portfolio Coefficients
Aram Gushchyan
Russian Academy of National Economy and Public Administration under the President of the Russian Federation
Date Posted: July 21, 2014
Last Revised: August 18, 2014
Working Paper Series
66 downloads

Incl. Electronic Paper Deriving the Equity/ZC Bond Implied Correlation Using Market Observables
Gilbert Eid
GMIV
Date Posted: July 16, 2014
Last Revised: July 22, 2014
Working Paper Series
70 downloads

Incl. Electronic Paper Deflating the Sharpe Ratio
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: July 14, 2014
Last Revised: July 28, 2014
Working Paper Series
266 downloads

Incl. Electronic Paper The Benefits of Socially Responsible Investing: An Active Manager's Perspective
Indrani De and Michelle Clayman
New Amsterdam Partners, LLC and New Amsterdam Partners, LLC
Date Posted: July 11, 2014
Last Revised: August 06, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Comparing Performance Attribution Linking Methods: An Empirical Study
Yindeng Jiang and Joseph F Saenz
University of Washington - Investment Management and University of Washington - Investment Management
Date Posted: July 09, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Components of Portfolio Variance: Systematic, Selection and Timing
Anders G. Ekholm
Hanken School of Economics - Department of Finance and Statistics
Date Posted: July 09, 2014
Last Revised: August 08, 2014
Working Paper Series
193 downloads

Incl. Electronic Paper Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas
UNSW Australian School of Business Research Paper No. 2014ACTL05
Benjamin Avanzi , Jamie Tao , Bernard Wong and Xinda Yang
University of Montreal - Department of Mathematics and Statistics , Westpac Bank , University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: July 04, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Journal of Portfolio Management, Forthcoming
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: July 01, 2014
Last Revised: August 08, 2014
Accepted Paper Series
488 downloads

Incl. Electronic Paper Evaluation of Short-Run Market Performance and Its Determinants using Binary Models: Evidence from Australian IPOs
Wasantha Perera and Nada Kulendran
University of Victoria and Victoria University of Technology - Faculty of Business and Law
Date Posted: June 28, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Toward a Greater Understanding of Buy-Side Analysts
Lawrence D. Brown , Andrew C. Call , Michael B. Clement and Nathan Y. Sharp
Temple University - Department of Accounting , Arizona State University (ASU) - School of Accountancy , University of Texas at Austin - Department of Accounting and Texas A&M University (TAMU) - Department of Accounting
Date Posted: June 25, 2014
Working Paper Series
580 downloads

Incl. Electronic Paper Semiclassical Approximation in Stochastic Optimal Control: I. Portfolio Construction Problem
Sakda Chaiworawitkul , Patrick S Hagan and Andrew Lesniewski
J.P. Morgan Chase & Co. , University of Oxford and CUNY Baruch College
Date Posted: June 25, 2014
Working Paper Series
60 downloads

Incl. Electronic Paper On a Portfolio of Illiquid Assets
Avi Messica
Colman College of Management
Date Posted: June 24, 2014
Working Paper Series
110 downloads

Incl. Electronic Paper Risk Adjusted Time Series Momentum
Martin Dudler , Bruno Gmuer and Semyon Malamud
Quantica Capital , Quantica Capital and Ecole Polytechnique Federale de Lausanne
Date Posted: June 23, 2014
Working Paper Series
648 downloads

Incl. Electronic Paper Practical Considerations for Factor-Based Asset Allocation
Xiaowei Kang and Daniel Ung
Standard & Poor's and Chartered Alternative Investment Analyst Association (CAIA)
Date Posted: June 22, 2014
Working Paper Series
144 downloads

Incl. Electronic Paper Stress Testing of Non Performing Assets in Priority Sector Lending: An Impact Assessment of SBI Portfolios
Maheswaran Mahalingam and D. N. Rao
Suresh Gyan Vihar University and Suresh Gyan Vihar University
Date Posted: June 15, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper Coherent CVA and FVA with Liability Side Pricing of Derivatives
Wujiang Lou
HSBC
Date Posted: June 15, 2014
Last Revised: August 23, 2014
Working Paper Series
92 downloads

Incl. Electronic Paper Behavioural Finance: A User-Oriented Procedure to Assessing Preferences Under Risk
Robert F Bordley , Luisa Tibiletti and Mariacristina Uberti
University of Michigan at Ann Arbor , University of Turin - Department of Management and University of Turin
Date Posted: June 14, 2014
Working Paper Series
61 downloads

An Empirical Examination of the Process of Information Transmission in India's Agriculture Futures Markets
Forthcoming in Journal of Quantitative Economics (New Series)
Sanjay Sehgal , Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies , University of Delhi - Department of Financial Studies and ESC PAU
Date Posted: June 13, 2014
Accepted Paper Series

Incl. Electronic Paper Taking the Right Course Navigating the ERC Universe
Roberto Savona and Cesare Orsini
University of Brescia and Epsilon Associati Sgr S.p.A.
Date Posted: June 13, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Linking the Problems of Estimating and Allocating Unconditional Capital
Alex Ferrer , José Casals and Sonia Sotoca
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) , Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Date Posted: June 12, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Conditional Coverage and Its Role in Determining and Assessing Long-Term Capital Requirements
Alex Ferrer , José Casals and Sonia Sotoca
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) , Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Date Posted: June 12, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper A New Approach to the Unconditional Measurement of Default Risk
Alex Ferrer , José Casals and Sonia Sotoca
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) , Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics) and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Date Posted: June 12, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Tactic Asset Allocation and Conditional Return Expectations
Journal of Statistical and Econometric Methods, vol. 3, no. 2, 2014, 1-14
Marcus Davidsson
Independent
Date Posted: June 12, 2014
Accepted Paper Series
81 downloads

Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
Journal of Portfolio Management, Vol. 39, No. (4), 36-48, 2013
Dave Berger , Kuntara Pukthuanthong and J. Jimmy Yang
Oregon State University , University of Missouri, Columbia and Oregon State University
Date Posted: June 09, 2014
Working Paper Series

Incl. Electronic Paper Reconciling Factor Optimization with Portfolio Constraints
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: June 06, 2014
Last Revised: June 27, 2014
Working Paper Series
180 downloads

Incl. Electronic Paper Regime Shifts and Stock Return Predictability
Regina Hammerschmid and Harald Lohre
University of Zurich and Deka Investment GmbH
Date Posted: June 04, 2014
Working Paper Series
449 downloads


 

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