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Advanced Risk & Portfolio Management Research Paper Series
743,788 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 1,535
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1 2 3 4 ... 31 | Next >
   


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
21 downloads

Incl. Electronic Paper Optimum Weighting for the Least Squares Monte Carlo Approach to American Options Under the CEV Model
Jason Barden and Karl Jenkins
Cranfield University and Independent
Date Posted: July 25, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses
Natalie Oh , Jerry T. Parwada and Kian M. E. Tan
University of New South Wales (UNSW) , UNSW Australia Business School, School of Banking and Finance and University of Otago - Department of Accountancy and Finance
Date Posted: July 24, 2015
Working Paper Series
7 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
9 downloads

Incl. Electronic Paper Accelerating American Option Pricing in Lattices
Mike Curran
Bank of Montreal
Date Posted: July 23, 2015
Working Paper Series
11 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
155 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 VaR and CVaR Based on Put Option Formula and Tail Volatilities & Correlations: 'The Need for New Valuation, Risk and Policy Making Models'
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: July 19, 2015
Working Paper Series
19 downloads

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
154 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
48 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
17 downloads

Incl. Electronic Paper Economic Capital for Market Risk
Silvan Ebnöther
Zurich Cantonal Bank
Date Posted: July 11, 2015
Working Paper Series
40 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
23 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
89 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
510 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
24 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
22 downloads

Incl. Electronic Paper Inteligentna Beta (ang. Smart Beta) Jako Nowa Strategia Inwestycyjna Państwowych Funduszy Majątkowych ((ang. Sovereign Wealth Funds) Smart Beta as a New Investment Strategy by Sovereign Wealth Funds (SWFs))
Piotr Wisniewski
Warsaw School of Economics - Corporate Finance Unit, Institute of Finance, College of Management and Finance
Date Posted: July 02, 2015
Working Paper Series
10 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
11 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
37 downloads

Incl. Electronic Paper Relevance of Efficient Market Hypothesis with Special Reference to BSE India
Amity Business Review, Vol. 15, No. 1, January- June 2014, ISSN: 0972-2343
Dr. Anurag Pahuja and Gurpreet Singh
Institute of Management Studies and Lovely Professional University
Date Posted: June 25, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Capital Structure and Firm Performance of Listed Non-Financial Companies in Bangladesh
The International Journal of Applied Economics and Finance, 9(1):25-32, 2015
Md. Abdur Rouf
City University
Date Posted: June 22, 2015
Accepted Paper Series
26 downloads

Incl. Electronic Paper A Bayesian Time-Varying Approach to Risk Neutral Density Estimation
Roberto Casarin , German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics , Idalion Capital US LP and IESA
Date Posted: June 21, 2015
Working Paper Series
38 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

Incl. Electronic Paper Structured Products: Performance, Costs and Investments
Dietmar Maringer , Walter Pohl and Paolo Vanini
University of Basel , University of Zurich and Zurich Cantonal Bank
Date Posted: June 20, 2015
Working Paper Series
109 downloads

Incl. Electronic Paper Firm-Specific Triggers of LBO Defaults
Daniel Ilg
Catholic University of Eichstaett-Ingolstadt
Date Posted: June 19, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper How Much Illiquidity Affects Corporate Debt Yield Spread?
Menachem (Meni) Abudy and Alon Raviv
Bar-Ilan University - Graduate School of Business Administration and Brandeis University - International Business School
Date Posted: June 19, 2015
Last Revised: July 01, 2015
Working Paper Series
68 downloads

Incl. Electronic Paper Dynamic Asset Allocation with Predictable Returns and Transaction Costs
Pierre Collin-Dufresne , Kent D. Daniel , Ciamac C. Moallemi and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , Columbia Business School - Finance and Economics , Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Date Posted: June 17, 2015
Working Paper Series
96 downloads

Incl. Electronic Paper Crowded Spaces and Copycat Risk Management
Salvatore Bruno , Ludwig B. Chincarini and Jesse Davis
IndexIQ , University of San Francisco School of Management and Independent
Date Posted: June 14, 2015
Working Paper Series
305 downloads

Incl. Electronic Paper Incorporating Estimates of Error into Linear Factor Covariance Models
Anish R. Shah
Investment Grade Modeling
Date Posted: June 09, 2015
Last Revised: July 11, 2015
Working Paper Series
67 downloads

Incl. Electronic Paper The Use of Listed Real Estate Securities In Asset Management
Alex Moss and Andrew Baum
University of Reading - Henley Business School and University of Oxford - Said Business School
Date Posted: June 09, 2015
Last Revised: June 29, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper A Study of the Impact of Call Auction on Price Discovery and Market Quality
AIMS International Journal of Management, Volume 9, Number 2, May 2015, pp. 133-142
S N Harish and T. Mallikarjunappa
Mngalore University and Mangalore University
Date Posted: June 09, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper Factor-Based v. Industry-Based Asset Allocation: The Contest
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: June 08, 2015
Last Revised: July 11, 2015
Working Paper Series
196 downloads

Incl. Electronic Paper Trend Following and Momentum Strategies for Global REITs
Alex Moss , Andrew Clare , Steve Thomas and James Seaton
University of Reading - Henley Business School , City University London - Sir John Cass Business School , City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Date Posted: June 08, 2015
Working Paper Series
160 downloads

Incl. Electronic Paper The Dimensions of Mutual Funds Performance and Persistence
Philippe Cogneau and Georges Hubner
University of Liege - HEC Management School and HEC Management School - University of Liège
Date Posted: June 08, 2015
Working Paper Series
36 downloads

Incl. Electronic Paper Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method
Imma Valentina Curato
University of Ulm
Date Posted: June 07, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Reinsurance Optimal Design with Distortion Risk Measures and Risk Premiums
Hirbod Assa
University of Liverpool
Date Posted: June 06, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Robust Stochastic Optimisation with Indistinguishable Models
Anne Balter and Antoon Pelsser
Maastricht University and Maastricht University
Date Posted: June 06, 2015
Working Paper Series
36 downloads

Incl. Electronic Paper Time-Consistent Actuarial Valuations
Ahmad Salahnejhad Ghalehjooghi and Antoon Pelsser
Maastricht University - Department of Quantitative Economics and Maastricht University
Date Posted: June 05, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper The Right and Wrong of Ranks
Armin Grueneich
Independent
Date Posted: June 04, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Performance of Socially Responsible Portfolios - Do Economic Conditions Matter?
Journal of Commerce & Accounting Research, Vol. 04 No. 01, pp. 14-30, 2015
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: June 04, 2015
Accepted Paper Series
48 downloads

Incl. Electronic Paper What is Capital? (Again) Contributions from Finance and Economics
Peter Lewin and Nicolas Cachanosky
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Metropolitan State University of Denver
Date Posted: June 03, 2015
Last Revised: June 14, 2015
Working Paper Series
88 downloads

Incl. Electronic Paper The Return and Volatility Spillover between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets
Ziran Li , Mengchen Ji , Han Qiao and Shouyang Wang
Chinese Academy of Sciences (CAS) - Center for Forecasting Science , Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences , Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Date Posted: June 02, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Nonlinear Price Impact and Portfolio Choice
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Date Posted: June 02, 2015
Working Paper Series
52 downloads

Incl. Electronic Paper Post Earnings Announcement Drift, a Price Signal?
Julien Messias
Université Paris Dauphine
Date Posted: May 31, 2015
Working Paper Series
46 downloads

Incl. Electronic Paper Upside and Downside Beta Portfolio Construction: A Different Approach to Risk Measurement and Portfolio Construction
Austin Guy
Independent
Date Posted: May 31, 2015
Working Paper Series
69 downloads

Incl. Electronic Paper Portfolio Performance Contributions
Rodolphe Barbanneau
Ecofi Investissements
Date Posted: May 30, 2015
Working Paper Series
44 downloads

Incl. Electronic Paper The Most Dangerous Model: A Natural Benchmark for Assessing Model Risk
Society of Actuaries Monograph: Enterprise Risk Management Symposium, 2015
John A Major , Ruodu Wang and Micah G Woolstenhulme
Guy Carpenter & Company, LLC , University of Waterloo - Department of Statistics and Actuarial Science and Guy Carpenter & Company, LLC
Date Posted: May 30, 2015
Last Revised: June 27, 2015
Accepted Paper Series
113 downloads

Incl. Electronic Paper Asset Management and Systemic Risk
Thierry Roncalli and Guillaume Weisang
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE) and Clark University - Graduate School of Management
Date Posted: May 29, 2015
Working Paper Series
227 downloads

Incl. Electronic Paper DARM and DALM, Generalized Portfolio Insurance for Asset Only and Asset Liability Approaches
Adina Grigoriu
Active Asset Allocation
Date Posted: May 28, 2015
Working Paper Series
48 downloads


 

1 2 3 4 ... 31 | Next >
   


 

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