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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 556,911
Full Text Papers: 459,698
Authors: 258,523
Papers Received in
  Last 12 months:
63,914

Paper Downloads:
To date: 77,399,631
Last 12 months: 9,687,132
Last 30 days: 656,693

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Papers with
  Resolved
  References:
260,713
Total References: 9,009,750
Papers with Cites: 241,990
Total Citation
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5,937,149
Papers with
  Resolved
  Footnotes:
89,535
Total Footnotes: 9,142,891


SSRN eLibrary Search Results
JEL Code: C61
420,773 Total downloads
Showing Papers 521 - 570 of 2,600
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Incl. Electronic Paper The Intuition Behind Black-Litterman Model Portfolios
Guangliang He and Robert Litterman
Independent and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Date Posted: October 28, 2002
Working Paper Series
12383 downloads

Incl. Electronic Paper Mathematical Finance Introduction to Continuous Time Financial Market Models
Christian-Oliver Ewald
University of Glasgow
Date Posted: April 02, 2007
Working Paper Series
11078 downloads

Incl. Electronic Paper A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Yufeng Han , Ke Yang and Guofu Zhou
University of Colorado at Denver - Business School , Washington University in Saint Louis and Washington University in St. Louis - Olin School of Business
Date Posted: August 12, 2010
Last Revised: May 22, 2012
Working Paper Series
6778 downloads

Incl. Electronic Paper Discrete Time Finance
Christian-Oliver Ewald
University of Glasgow
Date Posted: March 28, 2007
Working Paper Series
5549 downloads

Incl. Electronic Paper A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Suleyman Basak and Alex Shapiro
London Business School and New York University (NYU) - Department of Finance
Date Posted: March 21, 2001
Working Paper Series
4237 downloads

Incl. Electronic Paper Implied Binomial Trees in Excel without VBA
Tom Arnold , Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business , University of Otago - Department of Finance and Quantitative Analysis and Washington and Lee University - Department of Business Administration
Date Posted: May 08, 2004
Working Paper Series
4098 downloads

Incl. Electronic Paper Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Marcos Lopez de Prado and David Leinweber
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Date Posted: August 08, 2011
Last Revised: January 31, 2014
Accepted Paper Series
3721 downloads

Incl. Electronic Paper Technical Analysis and Theory of Finance
EFA 2007 Ljubljana Meetings Paper
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - Olin School of Business
Date Posted: March 05, 2007
Working Paper Series
2946 downloads

Incl. Electronic Paper Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein , Alexander L. Belikoff , Kirill Levin and Xusheng Tian
Bloomberg L.P. , Google Inc. , Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Date Posted: January 07, 2007
Last Revised: March 16, 2011
Accepted Paper Series
2904 downloads

Incl. Electronic Paper The Black-Litterman Model Explained
Journal of Asset Management, Vol.11, No.4, pp.229-43
Wing Cheung
affiliation not provided to SSRN
Date Posted: February 12, 2009
Last Revised: July 01, 2012
Accepted Paper Series
2749 downloads

Incl. Electronic Paper Dynamic Mean-Variance Asset Allocation
EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Date Posted: February 27, 2007
Last Revised: April 09, 2009
Working Paper Series
2462 downloads

Incl. Electronic Paper Buy Low Sell High: A High Frequency Trading Perspective
SIAM Journal of Financial Mathematics, Forthcoming
Álvaro Cartea , Sebastian Jaimungal and Jason Ricci
University College London , University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Date Posted: November 26, 2011
Last Revised: April 16, 2014
Accepted Paper Series
2365 downloads

Incl. Electronic Paper Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market
QUT School of Economics and Finance Discussion Paper No. 01-01
John Anderson
Queensland University of Technology - School of Economics and Finance
Date Posted: May 08, 2001
Working Paper Series
2291 downloads

Incl. Electronic Paper Kelly Criterion for Multivariate Portfolios: A Model-Free Approach
Vasily Nekrasov
University of Duisburg-Essen - Department of Economics
Date Posted: May 02, 2013
Last Revised: October 24, 2013
Working Paper Series
2283 downloads

Incl. Electronic Paper Optimal Portfolios from Ordering Information
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Date Posted: December 25, 2004
Working Paper Series
2237 downloads

Incl. Electronic Paper Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs
Alexander Vigodner
Bloomberg Financial Markets (BFM)
Date Posted: January 03, 2000
Working Paper Series
2124 downloads

Incl. Electronic Paper Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Banca IMI
Date Posted: March 21, 2006
Working Paper Series
2065 downloads

Incl. Electronic Paper The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing
Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Marc Chesney and Luca Taschini
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics - Grantham Research Institute
Date Posted: February 04, 2008
Last Revised: October 12, 2013
Accepted Paper Series
1992 downloads

Incl. Electronic Paper The Augmented Black-Litterman Model: A Ranking-Free Approach to Factor-Based Portfolio Construction and Beyond
Quantitative Finance, DOI: 10.1080/14697688.2012.714902
Wing Cheung
affiliation not provided to SSRN
Date Posted: February 26, 2009
Last Revised: October 21, 2012
Accepted Paper Series
1844 downloads

Incl. Electronic Paper A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation
Yonggan Zhao
Nanyang Technological University
Date Posted: March 16, 2005
Working Paper Series
1777 downloads

Incl. Electronic Paper Constrained Optimization Approaches to Estimation of Structural Models
Econometrica Forthcoming
Che-Lin Su and Kenneth L. Judd
University of Chicago Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Date Posted: February 13, 2008
Last Revised: January 14, 2012
Accepted Paper Series
1752 downloads

Incl. Electronic Paper A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities
Univ. of Southern Switzerland Working Paper
Markus Leippold , Paolo Vanini and Fabio Trojani
University of Zurich - Department of Banking and Finance , Zurich Cantonal Bank and Swiss Finance Institute
Date Posted: November 08, 2001
Working Paper Series
1729 downloads

Incl. Electronic Paper A Monte Carlo Method for Optimal Portfolios
Jerome Detemple , René Garcia and Marcel Rindisbacher
Boston University - Department of Finance & Economics , EDHEC Business School and Center for Interuniversity Research and Analysis on Organization (CIRANO)
Date Posted: November 16, 2000
Working Paper Series
1706 downloads

Incl. Electronic Paper Financial Statement Analysis: A Data Envelopment Analysis Approach
Journal of the Operational Research Society, Vol. 54, pp. 48-58, 2003
Ehsan H. Feroz , Sungsoo Kim and Raymond L. Raab
University of Washington, Tacoma-Milgard School of Business , Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Date Posted: August 08, 2008
Last Revised: July 20, 2014
Accepted Paper Series
1704 downloads

Incl. Electronic Paper Asset Allocation and Long-Term Returns: An Empirical Approach
Stephen Coggeshall and Guowei Wu
Morgan Stanley and Morgan Stanley
Date Posted: January 02, 2006
Working Paper Series
1651 downloads

Incl. Electronic Paper Honey, I Shrunk the Sample Covariance Matrix
UPF Economics and Business Working Paper No. 691
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Date Posted: September 18, 2003
Working Paper Series
1600 downloads

Incl. Electronic Paper Balanced Baskets: A New Approach to Trading and Hedging Risks
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: May 24, 2012
Last Revised: September 08, 2012
Accepted Paper Series
1582 downloads

Incl. Electronic Paper Why do Investors Buy Structured Products?
EFA 2009 Bergen Meetings Paper
Thorsten Hens and Marc Oliver Rieger
University of Zurich - Department of Banking and Finance and University of Trier
Date Posted: February 16, 2009
Last Revised: August 18, 2011
Working Paper Series
1534 downloads

Incl. Electronic Paper Optimal Liquidity Trading
EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21
Gur Huberman and Werner Stanzl
Columbia Business School - Finance and Economics and Yale University - International Center for Finance
Date Posted: December 11, 2000
Working Paper Series
1506 downloads

Incl. Electronic Paper Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
Independent
Date Posted: July 10, 2011
Working Paper Series
1445 downloads

Incl. Electronic Paper Global Supply Chain Networks and Risk Management
Anna Nagurney , José M. Cruz and June Dong
University of Massachusetts Amherst - Isenberg School of Management - Department of Finance & Operations Management , University of Massachusetts at Amherst and SUNY at Oswego - Management and Marketing
Date Posted: October 27, 2003
Working Paper Series
1398 downloads

Incl. Electronic Paper Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis
International Journal of Operations Research, Forthcoming
Biresh K. Sahoo , Jati Sengupta and Anandadeep Mandal
Amrita Vishwa Vidyapeetham University - Amrita School of Business , University of California, Santa Barbara - Department of Economics and School of Management, KIIT University
Date Posted: January 12, 2007
Accepted Paper Series
1389 downloads

Incl. Electronic Paper Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation
Z. George Yang and Liang Zhong
Flexible Plan Investments, Ltd. and University of Delaware
Date Posted: May 07, 2012
Working Paper Series
1373 downloads

Incl. Electronic Paper Fourier Space Time-Stepping for Option Pricing With Levy Models
Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Kenneth R. Jackson , Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Computer Science , University of Toronto - Department of Statistics and RBC Capital Markets
Date Posted: October 10, 2007
Last Revised: July 01, 2009
Working Paper Series
1360 downloads

Incl. Electronic Paper Dynamic Hedging in Incomplete Markets: A Simple Solution
AFA 2012 Chicago Meetings Paper
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Date Posted: November 07, 2008
Last Revised: May 12, 2011
Working Paper Series
1334 downloads

Incl. Electronic Paper Return-Based Style Analysis with Time-Varying Exposures
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund
Date Posted: November 28, 2001
Working Paper Series
1315 downloads

Incl. Electronic Paper Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Forthcoming, Mathematical Finance
Álvaro Cartea and Sebastian Jaimungal
University College London and University of Toronto - Department of Statistics
Date Posted: February 26, 2012
Last Revised: October 05, 2012
Accepted Paper Series
1296 downloads

Incl. Electronic Paper Dynamic Stochastic Programming For Asset-liability Management
Giorgio Consigli and M. A. H. Dempster
Credito Italiano and University of Cambridge, Centre for Financial Research
Date Posted: March 19, 1998
Working Paper Series
1282 downloads

Incl. Electronic Paper Drawdown Measure in Portfolio Optimization

Alexei Chekhlov , Stanislav P. Uryasev and Michael Zabarankin
Columbia University - Department of Mathematics , University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Date Posted: May 13, 2004
Working Paper Series
1274 downloads

Incl. Electronic Paper Optimal Liquidation in Dark Pools
EFA 2009 Bergen Meetings Paper
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Date Posted: February 17, 2009
Last Revised: April 18, 2014
Working Paper Series
1260 downloads

Incl. Electronic Paper Strategic Asset Allocation in Money Management
Journal of Finance, Forthcoming
Suleyman Basak and Dmitry Makarov
London Business School and New Economic School
Date Posted: February 03, 2009
Last Revised: May 31, 2012
Accepted Paper Series
1228 downloads

Incl. Electronic Paper Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach
Thorsten Hens and Peter Woehrmann
University of Zurich - Department of Banking and Finance and University of Zurich
Date Posted: February 22, 2006
Working Paper Series
1190 downloads

Incl. Electronic Paper Managing Risks in a Risk-On/Risk-Off Environment
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 23, 2012
Last Revised: May 26, 2014
Working Paper Series
1167 downloads

Incl. Electronic Paper Constructing Long/Short Portfolios with the Omega Ratio
Swiss Finance Institute Research Paper No. 08-34
Manfred Gilli , Enrico Schumann , Giacomo di Tollo and Gerda Cabej
University of Geneva - Department of Economics , AQ Investment AG , affiliation not provided to SSRN and University of Geneva
Date Posted: October 27, 2008
Working Paper Series
1151 downloads

Incl. Electronic Paper Optimal Arbitrage Trading

Michael Boguslavsky and Elena Boguslavskaya
ABN-Amro Bank - Global Equity Derivatives and University of Amsterdam
Date Posted: January 13, 2004
Working Paper Series
1140 downloads

Incl. Electronic Paper Introducing CGE Models to the Classroom Using Excel
Amy Peng
Ryerson University, Faculty of Arts - Department of Economics
Date Posted: April 16, 2007
Working Paper Series
1135 downloads

Incl. Electronic Paper A Survey of Stackelberg Differential Game Models in Supply and Marketing Channels
Journal of Systems Science and Systems Engineering, Vol. 16, No. 4, pp. 385-413, December 2007
Xiuli He , Ashutosh Prasad , Suresh Sethi and Genaro Gutierrez
University of North Carolina at Charlotte , University of Texas at Dallas - Naveen Jindal School of Management , University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Austin - Red McCombs School of Business
Date Posted: December 11, 2007
Last Revised: March 27, 2014
Accepted Paper Series
1101 downloads

Incl. Electronic Paper Some Important Issues Involving Real Options
Multinational Finance Journal, Forthcoming
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Date Posted: February 02, 2005
Accepted Paper Series
1066 downloads

Incl. Electronic Paper Statistical Tests For Return-Based Style Analysis
EFMA 2001 Lugano Meetings
Rogér Otten and Dennis Bams
Maastricht University - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Date Posted: July 25, 2001
Working Paper Series
1061 downloads

Incl. Electronic Paper Mortgage Backed Valuation
Harvey J. Stein
Bloomberg L.P.
Date Posted: January 10, 2007
Working Paper Series
1041 downloads


 

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