Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 653,078
Full Text Papers: 546,629
Authors: 301,330
Papers Received in
  Last 12 months:
64,863

Paper Downloads:
To date: 95,044,283
Last 12 months: 12,174,627
Last 30 days: 1,162,013

CiteReader:  What's this?
Papers with
  Resolved
  References:
300,323
Total References: 8,829,354
Papers with Cites: 243,764
Total Citation
  Links:
5,713,264
Papers with
  Resolved
  Footnotes:
92,038
Total Footnotes: 9,004,648


SSRN eLibrary Search Results
Advanced Risk & Portfolio Management® Research Paper Series
833,339 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 1,664
Sort By
1 2 3 4 ... 34 | Next >
   


Posterior Inference for Portfolio Weights
Christoph Frey , Winfried Pohlmeier and Stefan Voigt
University of Konstanz , University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE) and WU Wien
Date Posted: February 10, 2016
Working Paper Series

Asset Allocation and Stock Selection: Evidence from Static and Dynamic Strategies in Turkish Markets
Iktisat Isletme ve Finans, 29 (344), p.73-94
Tolgahan Yilmaz and Sema Dube
Independent and Yeditepe University
Date Posted: February 08, 2016
Accepted Paper Series

Incl. Electronic Paper A Conditional Equity Risk Model for Regulatory Assessment
Anthony Floryszczak , Jacques Lévy Véhel and Mohamed Majri
SMABTP , Regularity Team Inria Saclay and SMABTP
Date Posted: February 08, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Impact of Financial Literacy, Financial Knowledge, Moderating Role of Risk Perception on Investment Decision
Shadnan Nan Khan Jr.
Mohammad Ali Jinnah University (MAJU), Students
Date Posted: February 08, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Harmonic Analysis for Mathematical Finance
Silika Prohl
Princeton University
Date Posted: February 06, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper Liquidity Risk Contagion in the Interbank Market
Andrea Eross , Andrew Urquhart and Simon Wolfe
Southampton Business School and University of Southampton - Southampton Business School
Date Posted: February 03, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Fourier Analysis for Mathematical Finance
Silika Prohl
Princeton University
Date Posted: February 02, 2016
Working Paper Series
106 downloads

Incl. Electronic Paper On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor
Fei Cong and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM) and Center for Mathematics and Computer Science (CWI)
Date Posted: February 01, 2016
Last Revised: February 07, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper A Taxonomy of Beta Based on Investment Outcomes
Sanne De Boer , Michael J. LaBella and Sarah Reifsteck
QS Investors , QS Investors and QS Investors
Date Posted: February 01, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Shadow Banks and Systemic Risks
Rui Gong and Frank H. Page Jr.
Indiana University and Indiana University, Bloomington - Department of Economics
Date Posted: January 31, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Feynman Path Integrals and Asymptotic Expansions for Transition Probability Densities of Some Levy Driven Financial Markets
Aziz Issaka and Indranil SenGupta
North Dakota State University and North Dakota State University
Date Posted: January 31, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Using Altman's Model and Current Ratio to Assess the Financial Distress of Listed Companies in the Default Board of Colombo Stock Exchange
Scientific Research Journal (SCIRJ), Volume III, Issue XII, December 2015
Rajkumar Perinpanathan
University of Jaffna
Date Posted: January 29, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Omega-CVaR Portfolio Optimization and Its Worst Case Analysis
Amita Sharma , Sebastian Utz and Aparna Mehra
Indian Institute of Technology Delhi - Department of Mathematics , University of Regensburg - Department of Finance and Department of Mathematics, Indian Institute of Technology Delhi
Date Posted: January 28, 2016
Working Paper Series
44 downloads

Incl. Electronic Paper Levy-Driven Libor Model and its Numerical Approximation
Silika Prohl
Princeton University
Date Posted: January 27, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Estimating the Parameters of the Vasicek Model with Aggregate Data and Serial Correlation
Matteo Buzzacchi and Jonathan J Forster
Barclays Investment Bank and University of Southampton
Date Posted: January 23, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper On the Profitability of Optimal Mean Reversion Trading Strategies
Peng Huang and Tianxiang Wang
Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students and Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students
Date Posted: January 22, 2016
Last Revised: January 26, 2016
Working Paper Series
201 downloads

Incl. Electronic Paper The Relationship between the Trading Volume and the Stock Returns in Small and Medium–Sized Enterprises in Egypt 'Nile Stock Exchange'
Mostafa Farag Senger Sr.
Independent
Date Posted: January 20, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper On 'A General Framework for Pricing Asian Options Under Markov Processes'
Zhenyu Cui , Chihoon Lee and Yanchu Liu
Stevens Institute of Technology , Stevens Institute of Technology and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Date Posted: January 20, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Variation of the Implied Volatility Function and Return Predictability
Paul Borochin and Yanhui Zhao
University of Connecticut - School of Business and University of Connecticut
Date Posted: January 20, 2016
Working Paper Series
70 downloads

Incl. Electronic Paper Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias
Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Date Posted: January 18, 2016
Working Paper Series
233 downloads

Incl. Electronic Paper Analysis of Random Generators in Monte Carlo Simulation: Mersenne Twister and Sobol
Kevin Noel-Koide
Tokyo
Date Posted: January 18, 2016
Working Paper Series
30 downloads

Incl. Electronic Paper Determining the Return-Maximizing Portfolio Leverage and its Limitations
Robert A. Ott and Timothy E. Zimmer
University of Indianapolis and University of Indianapolis
Date Posted: January 18, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper A Quick Tool to Forecast VaR Using Implied and Realized Volatilities
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and Symphonia Sgr
Date Posted: January 14, 2016
Working Paper Series
107 downloads

Stockholders’ Capital Gains Position and the Cross-Section of Option Returns and Volatility
Steven Wei Ho
Columbia University, Graduate School of Arts and Sciences, Department of Economics
Date Posted: January 12, 2016
Working Paper Series

Incl. Electronic Paper Market Reaction Analysis as a Result of Events Readings Complete Recordings in the Trial Court Honor Council Related PT Freeport Indonesia and the Chairman of the House of Representatives (Studies in Indonesia Stock Exchange)
Atika Lusi Tania
Nahdlatul Ulama Lampung University
Date Posted: January 08, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Risk and Risk Premia: A Cross-Asset Class Analysis
Markus Ebner
Quoniam Asset Management
Date Posted: January 07, 2016
Last Revised: February 09, 2016
Working Paper Series
100 downloads

Incl. Electronic Paper The Intervaling Effect on Higher-Order Co-Moments
Thomas Conlon , John Cotter and Chenglu Jin
University College Dublin , University College Dublin and University College Dublin (UCD) - UCD School of Business
Date Posted: January 07, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation
Tinbergen Institute Discussion Paper 15-140/III
Erik Kole , Thijs D. Markwat , Anne Opschoor and Dick J. C. van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute , Robeco Asset Management , Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Date Posted: January 06, 2016
Last Revised: January 07, 2016
Working Paper Series
53 downloads

Incl. Electronic Paper Micro-Foundation of ARCH Model
Takanobu Mizuta
SPARX Asset Management Co., Ltd.
Date Posted: January 05, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper A Review of Recent Artificial Market Simulation Studies for Financial Market Regulations and/or Rules
Takanobu Mizuta
SPARX Asset Management Co., Ltd.
Date Posted: January 04, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Impact of Crude Oil Price Volatility on World Equity Markets Behavior
Journal of Applied Research in Finance, 2011
Rakesh Kumar and Mohammad Tamimi
University of Delhi and Department of Accounting, Dezful Branch, Islamic Azad University, Dezful, Iran.
Date Posted: January 03, 2016
Accepted Paper Series
51 downloads

Incl. Electronic Paper Multi-Asset Seasonality and Trend-Following Strategies
Bankers, Markets & Investors (Forthcoming)
Nick Baltas
Imperial College Business School
Date Posted: January 03, 2016
Accepted Paper Series
291 downloads

Incl. Electronic Paper An Application of Non-Parametric Regression to Trading Futures and FX Forwards
Alex Williamson
Independent
Date Posted: December 30, 2015
Working Paper Series
146 downloads

Incl. Electronic Paper The Impact of Risk Management in Multinational Corporations Hedging
Sohail Ahmed Javed and Muhammad Salman Arshad
University of Agriculture, Faisalabad - Institute of Business Management Sciences and University of Agriculture, Faisalabad
Date Posted: December 30, 2015
Working Paper Series
29 downloads

Incl. Electronic Paper Are Copper Prices Mean Reverting? A Practitioner's Point of View.
Mariano Mendez
ESIC Business & Marketing School
Date Posted: December 28, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Building Diversified Portfolios that Outperform Out-of-Sample
Journalof Portfolio Management, 2016 (Forthcoming)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: December 28, 2015
Last Revised: January 30, 2016
Accepted Paper Series
334 downloads

Incl. Electronic Paper Commodities Prices Modeling Using Gaussian Poisson-Exponential Stochastic Processes, a Practical Implementation in the Case of Copper. Presented at ECMS 2009
Mariano Mendez and Prosper Lamothe Fernandez
ESIC Business & Marketing School and Universidad Autónoma de Madrid
Date Posted: December 26, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Higher Order Stochastic Dominance and Aggregate Investor Preferences
Yi Fang
Jilin University (JLU) - Center for Quantitative Economics
Date Posted: December 26, 2015
Last Revised: January 26, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Sectorial Asset Allocation 2006-2012
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Date Posted: December 24, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Data-Driven Optimization of Ambiguous Reward-Risk Ratio Measures
Ran Ji and Miguel Lejeune
George Washington University - School of Business and George Washington University
Date Posted: December 23, 2015
Working Paper Series
63 downloads

Incl. Electronic Paper The Affine Rational Potential Model
The Anh Nguyen and Frank Thomas Seifried
University of Kaiserslautern and University of Trier
Date Posted: December 23, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Market Risk Measures Using Finite Gaussian Mixtures
Journal of Applied Finance and Banking, November 2014, 4(6) 29-45
Jorge Rosales Contreras
LarrainVial
Date Posted: December 22, 2015
Accepted Paper Series
20 downloads

Incl. Electronic Paper Corporate Accessibility, Private Communications and Stock Price Crash Risk
Michael Firth , Sonia Man-Lai Wong and Xiaofeng Zhao
Lingnan University - Department of Finance and Insurance , Zhongshan University - Department of Finance and Insurance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Date Posted: December 22, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Why US Investing Differs a Lot from Europe Investing...
Julien Messias
Université Paris Dauphine
Date Posted: December 17, 2015
Last Revised: December 28, 2015
Working Paper Series
80 downloads

Incl. Electronic Paper Volatility Control Indices
Christian Kahl
FINCAD Corporation
Date Posted: December 12, 2015
Last Revised: December 22, 2015
Working Paper Series
120 downloads

Incl. Electronic Paper Tail-Risk Protection Trading Strategies
Natalie E. Packham , Jochen Papenbrock , Peter Schwendner and Fabian Woebbeking
Frankfurt School of Finance & Management gemeinnützige GmbH , PPI AG , Zurich University of Applied Sciences, Center for Asset Management and Goethe University Frankfurt - Department of Finance
Date Posted: December 11, 2015
Last Revised: December 15, 2015
Working Paper Series
338 downloads

Incl. Electronic Paper Benchmarking Benchmarks: Much Ado About Nothing
Yuliya Plyakha
Universite du Luxembourg - School of Finance
Date Posted: December 08, 2015
Working Paper Series
128 downloads

Incl. Electronic Paper Option Return Predictability
Rotman School of Management Working Paper No. 2698267
Jie Cao , Bing Han , Qing Tong and Xintong Zhan
Chinese University of Hong Kong - Department of Finance , University of Toronto, Rotman School of Management , Singapore Management University - Lee Kong Chian School of Business and Chinese University of Hong Kong- Department of Finance
Date Posted: December 06, 2015
Last Revised: February 01, 2016
Working Paper Series
490 downloads

Incl. Electronic Paper Ratz IRR: Performance Measurement in the Absence of Cash Flow Data
John Renkema , Rob van den Goorbergh and Carlos Garcia Rivas
APG Asset Management , APG Asset Management and PGGM Investments
Date Posted: December 06, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Solving the High-Dimensional Markowitz Optimization Problem: When Sparse Regression Meets Random Matrix Theory
Mengmeng Ao , Yingying Li and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management , Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Date Posted: December 06, 2015
Last Revised: December 12, 2015
Working Paper Series
120 downloads


 

1 2 3 4 ... 34 | Next >
   


 

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 1.813 seconds