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Advanced Risk & Portfolio Management Research Paper Series
595,973 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 1,355
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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
2 downloads

Incl. Electronic Paper Portfolio Level FVA Under Pefect Collateralization and Re-Hypothecation
Yupeng Jiang
University College London
Date Posted: September 18, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Discount Rates, Market Frictions, and the Mystery of the Size Premium
Thiago de Oliveira Souza
University of Bradford - School of Management
Date Posted: September 17, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper The Impact of Financialization on the Benefits of Incorporating Commodity Futures in Actively Managed Portfolios
Ramesh K Adhikari , Kyle J Putnam and Neal Maroney
University of New Orleans - College of Business Administration , University of New Orleans - College of Business Administration - Department of Economics and Finance and University of New Orleans - College of Business Administration
Date Posted: September 16, 2014
Working Paper Series
14 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
19 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
19 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
21 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
11 downloads

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
23 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
17 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
23 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: September 01, 2014
Working Paper Series
245 downloads

Incl. Electronic Paper Exploring Irregular Time Series Through 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
Last Revised: September 05, 2014
Working Paper Series
78 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
21 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
63 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
199 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
45 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
61 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
16 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
31 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
1144 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
556 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
17 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
57 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
46 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
27 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
127 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
46 downloads

Incl. Electronic Paper Many Risks, One (Optimal) Portfolio
Cristian Homescu
Independent
Date Posted: July 30, 2014
Working Paper Series
520 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
18 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
61 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
44 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
28 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
74 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
73 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
301 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
251 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
42 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
207 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
28 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
551 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
27 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
590 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
64 downloads

Incl. Electronic Paper On a Portfolio of Illiquid Assets
Avi Messica
Colman College of Management
Date Posted: June 24, 2014
Working Paper Series
112 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
688 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
161 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
48 downloads


 

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