Social Science Research Network
QuickSearch SSRN eLibrary

Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 592,608
Full Text Papers: 492,698
Authors: 274,327
Papers Received in
  Last 12 months:
62,516

Paper Downloads:
To date: 83,522,370
Last 12 months: 10,483,137
Last 30 days: 1,034,667

CiteReader:  What's this?
Papers with
  Resolved
  References:
281,784
Total References: 9,075,779
Papers with Cites: 246,067
Total Citation
  Links:
6,036,513
Papers with
  Resolved
  Footnotes:
94,530
Total Footnotes: 9,189,957


SSRN eLibrary Search Results
Advanced Risk & Portfolio Management Research Paper Series
664,896 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 1,434
Sort By
1 2 3 4 ... 29 | Next >
   


Incl. Electronic Paper Optimal Non-Life Reinsurance under Solvency II Regime
Alexandru V. Asimit , Yichun Chi and Junlei Hu
Cass Business School , China Institute for Actuarial Science, Central University of Finance and Economics and Cass Business School, City University London
Date Posted: February 23, 2015
Last Revised: February 24, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Portfolio Insurance with Adaptive Protection (PIWAP)
François Soupé , Thomas Heckel and Raul Leote de Carvalho
THEAM, BNP Paribas Investment Partners , BNP Paribas Asset Management and BNP Paribas Investment Partners
Date Posted: February 22, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper Metodología Contable De Registro Inicial Y Valoración Posterior De Instrumentos Financieros De Renta Fija Y Renta Variable Para Empresas De Seguros Y Reaseguros En Ecuador En Base a Normas Internacionales De Información Financiera Niif (Accountant Methodology for Initial Recognition and Posterior Valuation of Financial Instruments of Fixed Income and Equity for Insurance and Reinsurance Companies from Ecuador under International Financial Reporting Standards IFRS)
Fernando Romero
Instituto de Desarrollo Profesional IDEPRO
Date Posted: February 16, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Modeling Information Theory Effects on Price Uncertainty Using Multiple Agents with Heterogeneous Volatility
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: February 15, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Rebalancing Multiple Assets with Mutual Price Impact
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Date Posted: February 15, 2015
Working Paper Series
36 downloads

On Quantitative Easing and High Frequency Exchange Rate Dynamics
Research in International Business and Finance, Vol. 34 (2015), pp. 110-125
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: February 08, 2015
Accepted Paper Series

Incl. Electronic Paper Wrong Way Risk Done Right
Shinghoi (Jacky) Lee and Luca Capriotti
Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Date Posted: February 02, 2015
Working Paper Series
86 downloads

Incl. Electronic Paper An Arithmetic Analysis of Bangladeshi Sending Migrants Stock and Remittance Per Capita in Malaysia
Kazi Abdul Mannan and Khandaker Mursheda Farhana
Southern Cross University, Australia and Migration Research, Development and Society of Bangladesh
Date Posted: February 02, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Fund Manager Performance in Emerging Market: Factor Specialization and Financial Crisis Impact
Giuseppe Galloppo and Mauro Aliano
Università degli studi della Tuscia and Universita di Cagliari - Department of Economic and Social Sciences
Date Posted: February 01, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Better Investing Through Factors, Regimes and Sensitivity Analysis
Cristian Homescu
Independent
Date Posted: January 30, 2015
Working Paper Series
416 downloads

Incl. Electronic Paper The Pan-European Holiday Effect
REFC - Spanish Journal of Finance and Accounting, Forthcoming
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Date Posted: January 30, 2015
Accepted Paper Series
17 downloads

Incl. Electronic Paper Rank-Dependent Utility and Risk Taking in Complete Markets
Xue Dong He , Roy Kouwenberg and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research , Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Oxford - Nomura Centre for Mathematical Finance
Date Posted: January 27, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper How Robust Is Robust Covariance? Evidence from International Portfolio Selection
Tsung-Wu Ho
Shih Hsin University
Date Posted: January 23, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Minimum Risk vs. Capital and Risk Diversification Strategies for Portfolio Construction
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and Symphonia Sgr
Date Posted: January 21, 2015
Last Revised: February 12, 2015
Working Paper Series
142 downloads

Incl. Electronic Paper Optimal Trading Strategies Based on Multivariate Regression Results
Hamed Khaledi
Michigan State University
Date Posted: January 21, 2015
Last Revised: January 22, 2015
Working Paper Series
113 downloads

Incl. Electronic Paper Exploration of the Impact of Basel III on the Performance of Commercial Banks
Alain Ndedi and Henry Jong Ketuma
Saint Monica University and Independent
Date Posted: January 19, 2015
Last Revised: January 28, 2015
Working Paper Series
45 downloads

Incl. Electronic Paper CAPM with Sentiment: The Efficient Market Hypothesis Spiced Up with Sentiment
Claudio Boido and Antonio Fasano
University of Siena and Universita di Salerno
Date Posted: January 19, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper A Random Forests Based Structural Performance Ratio for Credit Portfolio Management and Optimisation
Boris Waelchli
University of Zurich - Department of Banking and Finance
Date Posted: January 16, 2015
Working Paper Series
37 downloads

Incl. Electronic Paper Risk-Shifting and Optimal Asset Allocation in Life Insurance: The Impact of Regulation
An Chen and Peter Hieber
University of Ulm and University of Ulm - Department of Mathematics and Economics
Date Posted: January 13, 2015
Working Paper Series
55 downloads

Incl. Electronic Paper Robust Inference of Risks of Large Portfolios
Jianqing Fan , Fang Han , Han Liu and Byron Vickers
Princeton University - Bendheim Center for Finance , Johns Hopkins University , Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Date Posted: January 12, 2015
Working Paper Series
48 downloads

Incl. Electronic Paper The Fractal Nature of Bitcoin: Evidence from Wavelet Power Spectra
Rafael Delfin Vidal
University of the Americas, Puebla
Date Posted: January 11, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper A Conditional Regression-Tree Analysis for Predicting Portfolio at Risk in Profit Microfinance Institutions
Roy Bou Kheir , Mehdi Nekhili , Octave Jokung , Tawhid Chtioui and Mondher Bellalah
University of Reims Champagne-Ardenne , Université de Reims , University of Valenciennes , ICD International Business School and Universite de Cergy-Pontoise
Date Posted: January 10, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper The Mispricing of Socially Ambiguous Grey Stocks
Swee Sum Lam , Weina Zhang and Gabriel Henry Jacob
National University of Singapore - NUS Business School , Department of Finance, National University of Singapore and National University of Singapore (NUS)
Date Posted: January 08, 2015
Last Revised: February 14, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Hedging Under Generalized Good-Deal Bounds and Model Uncertainty
Dirk Becherer and Klebert Kentia
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Humboldt University of Berlin - Department of Mathematics
Date Posted: January 08, 2015
Last Revised: January 11, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper Relationship between Price-Earnings Ratios and Stock Value in an Emerging Market
Manas Mayur
Goa Institute of Management
Date Posted: January 07, 2015
Working Paper Series
75 downloads

Incl. Electronic Paper Superhedging Under Ratio Constraint
Yingshan Chen , Min Dai , Jing Xu and Mingyu Xu
National University of Singapore (NUS) - Department of Mathematics , National University of Singapore (NUS) - Department of Mathematics , National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Date Posted: December 31, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Comparison of Sampling Methods for Dynamic Stochastic Programming
M. A. H. Dempster , Elena Medova and Yee Sook
University of Cambridge - Centre for Financial Research , University of Cambridge - Centre for Financial Research and Credit Suisse AG, Singapore
Date Posted: December 31, 2014
Last Revised: January 03, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)
Wouter J. Keller and Adam Butler
Flex Capital BV and BPG and Associates
Date Posted: December 31, 2014
Last Revised: January 21, 2015
Working Paper Series
980 downloads

Incl. Electronic Paper Fees Eat Diversification's Lunch
William W. Jennings and Brian C Payne
U.S. Air Force Academy - Department of Management and US Air Force Academy
Date Posted: December 28, 2014
Working Paper Series
792 downloads

Incl. Electronic Paper Augmenting the Intertemporal CAPM with Macro Risk and Alternative Momentum Proxy
Qi Shi , Ali F. Darrat , Jung Chul Park , Bin Li and Richard Chung
Griffith University , Louisiana Tech University - College of Business , Auburn University , Griffith University - Department of Accounting, Finance and Economics and Griffith University - Department of Accounting, Finance and Economics
Date Posted: December 24, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Analysis of Default Probability: A Comparative Theoretical Approach between the Credit Portfolio View Model and the Creditrisk Model
International Journal of Business Management & Research (IJBMR), Vol. 3, Issue 1, March 2013, 157-170
Abdelkader Derbali and Slaheddine Hallara
University of Tunis - Institut Supérieur de Gestion (ISG), Tunis and University of Tunis - Institut Supérieur de Gestion (ISG), Tunis
Date Posted: December 21, 2014
Accepted Paper Series
50 downloads

Incl. Electronic Paper The Predictive Power of Portfolio Characteristics
Barry Gillman , Erianna Khusainova and Juan Mier
Brandes Investment Partners , Lazard Asset Management and Lazard Asset Management
Date Posted: December 20, 2014
Working Paper Series
156 downloads

Incl. Electronic Paper Hypercube in the Kitchen: Reading a Menu of Active Investment Strategies
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: December 12, 2014
Last Revised: February 02, 2015
Working Paper Series
144 downloads

Incl. Electronic Paper Robust Portfolio Choice with Derivatives Trading Under Stochastic Volatility
Marcos Escobar , Sebastian Ferrando and Alexey Rubtsov
Ryerson University , Ryerson University and Ryerson University
Date Posted: December 09, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Liquidity Risk Premium: A Comparative Analysis
Yuping Huang and Vasilios I. Sogiakas
University of Glasgow and University of Glasgow
Date Posted: December 03, 2014
Last Revised: February 28, 2015
Working Paper Series
206 downloads

Incl. Electronic Paper Return Forecast Models and Out-of-Sample Portfolio Optimization: Evidence for Industry Portfolios
Wolfgang Bessler and Dominik Wolff
Justus-Liebig-University Giessen and Justus Liebig University Giessen
Date Posted: December 03, 2014
Last Revised: December 11, 2014
Working Paper Series
123 downloads

Incl. Electronic Paper Smart Beta ETF Portfolios: Cloning Beta Active Hedge Funds
Jun Duanmu , Yongjia Li and Alexey Malakhov
University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance , University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance and University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance
Date Posted: December 02, 2014
Last Revised: January 08, 2015
Working Paper Series
218 downloads

Incl. Electronic Paper Two Examples of Non Strictly Convex Large Deviations
Stefano De Marco , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London and Imperial College London - Department of Mathematics
Date Posted: November 28, 2014
Last Revised: February 02, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Algorithmic Trading Model for Manifold Learning in FX
Zee Fernandez
Modus Operandi, Inc.
Date Posted: November 26, 2014
Working Paper Series
78 downloads

Incl. Electronic Paper A Level Dependent Proportional Strategy for Zero-Edge Games
Muhammed Bashiru
Independent
Date Posted: November 26, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper An Analytical Justification for Asset Allocation
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: November 25, 2014
Working Paper Series
87 downloads

Incl. Electronic Paper Two Maxentropic Approaches to Determine the Probability Density of Compound Risk Losses
Erika Gomes-Gonçalves , Henryk Gzyl and Silvia Mayoral
Universidad Carlos III de Madrid - Department of Business Administration , IESA and Universidad Carlos III de Madrid
Date Posted: November 22, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Linear Factor Models: Theory, Applications and Pitfalls
Attilio Meucci
SYMMYS
Date Posted: November 21, 2014
Last Revised: December 08, 2014
Working Paper Series
1034 downloads

Incl. Electronic Paper Illiquid Claim Valuation Under Robust Portfolio Choice
Alexey Rubtsov
Ryerson University
Date Posted: November 19, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability
Marcos Escobar , Alexey Rubtsov and Sebastian Ferrando
Ryerson University , Ryerson University and Ryerson University
Date Posted: November 19, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement
Adrian Fernandez-Perez , Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology , Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Date Posted: November 17, 2014
Last Revised: November 18, 2014
Working Paper Series
82 downloads

On the Holy Grail of 'Upside Participation and Downside Protection'
Journal of Portfolio Management, Forthcoming
Edward E. Qian
PanAgora Asset Management
Date Posted: November 17, 2014
Last Revised: February 01, 2015
Accepted Paper Series

Incl. Electronic Paper Braided and Knotted Stocks in the Stock Market: Anticipating the Flash Crashes
Ovidiu Sorin Racorean
Academy of Economic Studies
Date Posted: November 17, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Facts and Fantasies About Factor Investing
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Lyxor Asset Management
Date Posted: November 16, 2014
Last Revised: November 28, 2014
Working Paper Series
1056 downloads

Incl. Electronic Paper Tail Risk Protection in Asset Management
Cristian Homescu
Independent
Date Posted: November 16, 2014
Working Paper Series
666 downloads


 

1 2 3 4 ... 29 | Next >
   


 

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 1.063 seconds