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JEL Code: G11
2,580,767 Total downloads
Showing Papers 1,251 - 1,300 of 7,224
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Relative Strength and Portfolio Management Dorsey Wright Money Management, January 2012
John Lewis
Date Posted: February 04, 20121894 downloads
A User’s Guide to the Cornish Fisher Expansion
Didier Maillard
Date Posted: February 02, 2012Last Revised: February 08, 2012587 downloads
On the Smoothness of Value Functions and the Existence of Optimal Strategies
Bruno H. Strulovici
and
Martin Szydlowski
Date Posted: February 02, 2012Last Revised: October 05, 201235 downloads
Value Added from Asset Managers in Private Markets? An Examination of Pension Fund Investments in Real Estate
Aleksandar Andonov
,
Piet M. A. Eichholtz and
Nils Kok
Date Posted: February 02, 2012Last Revised: February 14, 2013442 downloads
Do Liquidity and Idiosyncratic Risk Matter?: Evidence from the European Mutual Fund Market Midwest Finance Association 2013 Annual Meeting Paper
Javier Vidal
and
Marta Vidal
Date Posted: February 01, 2012Last Revised: January 22, 201385 downloads
A Higher Moment Downside Framework for Conditional and Unconditional CAPM in the the Russian Stock Market Eurasian Economic Review, Vol. 1, No. 2, pp. 157-178, 2011
Tamara Teplova
and
Evgeniya Shutova
Date Posted: February 01, 201229 downloads
Average Price Portfolio Insurance as Optimal Implementation of Life-Cycle Investment Strategies ICMA Centre Discussion Paper No. 2012-05
Jacques Pezier
and
Johanna Scheller
Date Posted: February 01, 2012Last Revised: April 15, 2012148 downloads
Effective Number of Scenarios in Fully Flexible Probabilities GARP Risk Professional, pp. 32-35, February 2012
Attilio Meucci
Date Posted: February 01, 2012346 downloads
Investing in Stock Market Anomalies
Turan G. Bali ,
Stephen J. Brown and
K. Ozgur Demirtas
Date Posted: February 01, 2012Last Revised: February 27, 2012113 downloads
Mixing Probabilities, Priors and Kernels via Entropy Pooling GARP Risk Professional, pp. 32-36, December 2011
Attilio Meucci
Date Posted: February 01, 2012460 downloads
Pricing of Real Estate Specific Market Risks for Worldwide 66 Countries IESE Business School Working Paper No. 940
Karsten Lieser
Date Posted: February 01, 201281 downloads
The Persistence of European Mutual Fund Performance Research in International Business and Finance. Volume 28, May 2013, p. 45–67.,
Javier Vidal
Date Posted: February 01, 2012Last Revised: November 08, 2012132 downloads
The Two-Block Covariance Matrix and the CAPM International Journal of Portfolio Analysis & Management, Forthcoming
David Disatnik and
Simon Benninga
Date Posted: February 01, 2012
Animal Spirits and Volatility of the Trading Volume in International Financial Markets between 2002 and 2011
Abderrazak Dhaoui
and
Imen Quetat
Date Posted: January 31, 201244 downloads
Human Capital and Asset Pricing
Jianhua Yuan
Date Posted: January 31, 2012Last Revised: April 10, 201272 downloads
Drift Dependence of Optimal Trade Execution Strategies Under Transient Price Impact Finance Stochastics, Forthcoming
Christopher Lorenz
and
Alexander Schied
Date Posted: January 30, 2012Last Revised: March 04, 201380 downloads
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Turan G. Bali and
Scott Murray
Date Posted: January 30, 2012Last Revised: April 25, 2012159 downloads
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Turan G. Bali ,
Nusret Cakici and
Robert Whitelaw
Date Posted: January 30, 201256 downloads
Systematic Risk and the Cross-Section of Hedge Fund Returns
Turan G. Bali ,
Stephen J. Brown and
Mustafa O. Caglayan
Date Posted: January 29, 201264 downloads
An Analysis of Risk-Taking Behavior for Public Defined Benefit Pension Plans Upjohn Institute Working Paper No. 12-179
Nancy Mohan and
Ting Zhang
Date Posted: January 27, 2012236 downloads
Asset Pricing and Liquidity: A Glance at Europe and the Financial Crisis
Elisabeth Winter
Date Posted: January 27, 2012160 downloads
Frontier Markets: Punching Below Their Weight? A Risk Parity Perspective on Asset Allocation
Jorge A. Chan-Lau
Date Posted: January 27, 2012
Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original Measure
Massimiliano Barbi
and
Silvia Romagnoli
Date Posted: January 27, 201269 downloads
The Interactions between Direct and Securitized Infrastructure Investments and Its Relationship to Real Estate
Konrad Finkenzeller
and
Benedikt Fleischmann
Date Posted: January 27, 201279 downloads
Infrastructure Investments in a Multi-Asset Portfolio – A Drawdown Risk Perspective
Tobias Dechant
and
Konrad Finkenzeller
Date Posted: January 26, 2012148 downloads
The Role of Infrastructure Investments in a Multi-Asset Portfolio – Answers from Dynamic Asset Allocation
Tobias Dechant
and
Konrad Finkenzeller
Date Posted: January 26, 2012172 downloads
A General Approach to Real Option Valuation with Application to Real Estate Investments University of Reading, ICMA Centre Discussion Paper No. DP2012-04
Carol Alexander and
Xi Chen
Date Posted: January 25, 2012Last Revised: February 28, 2013155 downloads
Individual Financial Risk Tolerance and the Global Financial Crisis 25th Australasian Finance and Banking Conference 2012
Paul Gerrans ,
Robert W. Faff and
Neil Hartnett
Date Posted: January 25, 2012Last Revised: October 09, 2012289 downloads
Risk Measures and Capital Requirements with Multiple Eligible Assets
Walter Farkas
,
Pablo Koch Medina
and
Cosimo-Andrea Munari
Date Posted: January 25, 2012Last Revised: September 13, 2012216 downloads
The Information Content of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads
Georgios Angelopoulos
,
Daniel Giamouridis
and
Georgios Nikolakakis
Date Posted: January 25, 2012Last Revised: February 17, 2013168 downloads
Use of the Pearson System of Frequency Curves for the Analysis of Stock Return Distributions: Evidence and Implications for the Italian Market Economics Bulletin, Vol. 32, No. 1, pp. 272-281, 2011
Fabio Pizzutilo
Date Posted: January 25, 2012Last Revised: February 05, 201234 downloads
Implications for Risk Management and Regulation: A Study of Long-Term Dependence in the Credit Default Swap (CDS) Indices Market
Vinodh Madhavan
and
Henry O. Pruden
Date Posted: January 23, 201243 downloads
Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
Andrew Ellul
,
Pab Jotikasthira ,
Christian T. Lundblad and
Yihui Wang
Date Posted: January 23, 2012Last Revised: September 22, 2012100 downloads
Sustainable Investment in Turkey 2010
Melsa Ararat
,
B. Burcin Yurtoglu
,
Esra Suel
and
Deniz Tura
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: January 23, 201263 downloads
The Seasonality of Gold - The Autumn Effect
Dirk G. Baur
Date Posted: January 23, 2012Last Revised: October 09, 2012693 downloads
Black Swans are Not that Black
Valentyn Khokhlov
affiliation not provided to SSRN
Date Posted: January 22, 201261 downloads
New 'Stylized Facts' About Hedge Funds and Database Selection Bias
Juha Joenväärä ,
Robert Kosowski and
Pekka Tolonen
Date Posted: January 22, 2012Last Revised: November 22, 2012580 downloads
Fluctuations of Social Influence: Evidence from the Behaviour of Mutual Fund Managers During the Economic Crisis 2008/09
Frederik König
Date Posted: January 21, 201245 downloads
Saving and Portfolio Allocation Before and After Job Loss Statistics Norway Discussion Paper No. 672
Christoph Carl Basten
,
Andreas Fagereng and
Kjetil Telle
Date Posted: January 21, 201218 downloads
Home Bias in Open Economy Financial Macroeconomics CEPR Discussion Paper No. DP8746
Nicolas Coeurdacier
and
Helene Rey
Date Posted: January 20, 20124 downloads
Individual Investor Activity and Performance CEPR Discussion Paper No. DP8744
Magnus Dahlquist ,
Jose Vicente Martinez
and
Paul Söderlind
Date Posted: January 20, 20128 downloads
Why Do Institutional Investors Chase Return Trends? CEPR Discussion Paper No. DP8773
Aydogan Alti ,
Ron Kaniel and
Uzi Yoeli
Date Posted: January 20, 20122 downloads
Does the Stock Market Ignore Information Contained in the Tails of the Analyst Forecast Distribution?
Abhiroop Mukherjee
Date Posted: January 20, 2012Last Revised: December 26, 201243 downloads
What is the True Cost of Active Management? A Comparison of Hedge Funds and Mutual Funds
Jussi Keppo and
Antti Petajisto
Date Posted: January 19, 2012Last Revised: February 19, 2013339 downloads
Portfolio Restriction to Impose on Defined Benefit Pension Plans
Katarzyna Romaniuk
Date Posted: January 19, 2012Last Revised: April 14, 201247 downloads
Evaluating Covariance Forecasts Via Mean-Variance Portfolio Decisions
Markus Franke
Date Posted: January 18, 2012102 downloads
Simplified Mean-Variance Portfolio Optimisation Swiss Finance Institute Research Paper No. 11-68
Claudio Fontana
and
Martin Schweizer
Date Posted: January 18, 2012Last Revised: June 13, 2012215 downloads
It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management? Accounting & Finance, Vol. 52, Issue 1, pp. 95-116, 2012
Michael McAleer
Date Posted: January 17, 20122 downloads
The Historical Equity Risk Premium in Australia: Post‐GFC and 128 Years of Data Accounting & Finance, Vol. 52, Issue 1, pp. 237-247, 2012
Tim Brailsford ,
John C. Handley and
Krishnan Maheswaran
affiliation not provided to SSRN
and
University of Melbourne - Department of Finance
Date Posted: January 17, 20123 downloads
Analytical Pricing of CDOs in a Multi-Factor Setting by a Moment Matching Approach
Antonio Castagna ,
Fabio Mercurio and
Paola Mosconi
affiliation not provided to SSRN
Date Posted: January 17, 201284 downloads
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