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JEL Code: C61
366,782 Total downloads
Showing Papers 81 - 130 of 2,265
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Using Investment Portfolio Return to Combine Forecasts: A Multi-objective Approach
Mark T. Leung ,
Hazem Daouk and
An-Sing Chen
Date Posted: November 21, 2000741 downloads
Portfolio Optimization with Respect to Risk Diversification
Thomas Neukirch
Date Posted: November 16, 2008734 downloads
Portfolios from Sorts
Neil A Chriss and
Robert Almgren
Date Posted: May 12, 2005732 downloads
Inter-temporal Pricing and Consumer Stockpiling
Xuanming Su
Date Posted: August 31, 2007Last Revised: May 08, 2012714 downloads
On Leland's Option Hedging Strategy with Transaction Costs Sauder School of Business Working Paper
Yonggan Zhao
and
William T. Ziemba
Date Posted: September 17, 2004702 downloads
An Empirical Analysis of Alternative Portfolio Selection Criteria Swiss Finance Institute Research Paper No. 09-06
Manfred Gilli and
Enrico Schumann
Date Posted: March 19, 2009Last Revised: April 22, 2010694 downloads
Stock Options and Chief Executive Officer Compensation Operations Research, Vol. 58, No. 4, Part 2 of 2, July–August 2010, pp. 1090–1106, Rock Center for Corporate Governance Working Paper No. 27,
Chris Armstrong ,
David F. Larcker and
Che-Lin Su
Date Posted: May 21, 2007Last Revised: November 06, 2012685 downloads
Learning and Asset Prices under Ambiguous Information University of St.Gallen Economics Discussion Paper No. 2005-03
Paolo Vanini ,
Markus Leippold and
Fabio Trojani
Date Posted: September 23, 2004683 downloads
Hedge Fund Allocation with Survival Uncertainty and Investment Constraints EFMA 2002 London Meetings
Pierre-Antoine Bares ,
Rajna Gibson and
Sebastien Gyger
affiliation not provided to SSRN
,
University of Geneva - Graduate School of Business (HEC-Geneva)
and
Lombard Odier Darier Hentsch & Cie
Date Posted: January 28, 2002681 downloads
The Liquidity Discount Mathematical Finance, Vol. 11, No. 4, pp. 447-474, October 2001
Ajay Subramanian and
Robert A. Jarrow
Date Posted: February 16, 2004Last Revised: March 31, 2009675 downloads
International Portfolio Formation, Skewness and the Role of Gold
Brian M. Lucey and
Edel Tully
Date Posted: November 04, 2003674 downloads
Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments IMF Working Paper No. 06/283
Miguel Segoviano Basurto and
Pablo Padilla
Date Posted: January 12, 2007673 downloads
Pricing Exotic Barrier Options with Finite Differences
Guanghua Cao
Date Posted: May 30, 2007672 downloads
Option Pricing Using Fourier Space Time-Stepping Framework
Vladimir Surkov
affiliation not provided to SSRN
Date Posted: September 28, 2009669 downloads
Corporate Bond Portfolio Optimization with Transaction Costs
Peter J Meindl and
James Primbs
Date Posted: March 15, 2006667 downloads
Models and Techniques for Hotel Revenue Management Using a Roling Horizon ERIM Report Series Reference No. ERS-2001-80-LIS
Paul Goldman
,
Richard Freling (deceased) ,
Kevin Pak
and
Nanda Piersma
Date Posted: February 20, 2003663 downloads
Firm Characteristics and Dynamic Capital Structure Adjustment
Wolfgang Drobetz
,
Pascal Pensa
and
Gabrielle Wanzenried
Date Posted: December 19, 2006651 downloads
Efficient Fund of Hedge Funds Construction Under Downside Risk Measures Journal of Banking and Finance, Forthcoming
David Morton
,
Ivilina Popova
and
Elmira Popova
Date Posted: May 04, 2006641 downloads
Detecting Informed Trading Activities in the Options Markets Swiss Finance Institute Research Paper No. 11-42
Marc Chesney ,
Remo Crameri
and
Loriano Mancini
Date Posted: January 13, 2010Last Revised: July 04, 2012639 downloads
Optimal Advertising and Promotion Budgets in Dynamic Markets with Brand Equity as a Mediating Variable Management Science, Forthcoming
S. Sriram and
Manohar U. Kalwani
Date Posted: July 03, 2006637 downloads
Stochastic Nonparametric Envelopment of Data: Combining Virtues of SFA and DEA in a Unified Framework
MTT Discussion Paper No. 3/2006
Timo Kuosmanen
Date Posted: June 02, 2006633 downloads
Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
David Ardia ,
Kris Boudt
,
Peter Carl
,
Katharine Mullen
and
Brian G. Peterson
Date Posted: April 05, 2010Last Revised: June 24, 2011625 downloads
Practical Guide to Real Options in Discrete Time
Svetlana Boyarchenko and
Sergei Levendorskii
Date Posted: March 06, 2004621 downloads
Contingent Claims Analysis and Life-Cycle Finance MIT Sloan Research Paper No. 4676-08
Zvi Bodie ,
Doriana Ruffino and
Jonathan Treussard
Date Posted: December 27, 2007Last Revised: November 16, 2008609 downloads
Real Options in an Asymmetric Duopoly: Who Benefits from Your Competitive Disadvantage? EFA 2002 Berlin Meetings Presented Paper; EFMA 2002 London Meetings; CentER Discussion Paper No. 2001-95
Grzegorz Pawlina and
Peter M. Kort
Date Posted: March 22, 2002609 downloads
Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities
Kangwhee Kim
affiliation not provided to SSRN
Date Posted: August 21, 2011607 downloads
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets UPF, Economics and Business Working Paper No. 578
Olivier Ledoit ,
Pedro Santa-Clara and
Michael Wolf
Date Posted: October 15, 2002602 downloads
Genetic Algorithms: A Tool for Optimization in Econometrics - Basic Concept and an Example for Empirical Applications ZEW Discussion Paper No. 02-41
Dirk Czarnitzki
and
Thorsten Doherr
Date Posted: October 12, 2002602 downloads
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: February 08, 2010Last Revised: February 26, 2011595 downloads
On the Aggregation of Firm-Wide Market and Credit Risks ISMA Centre Discussion Paper No. DP2003-13
Carol Alexander and
Jacques Pezier
Date Posted: February 26, 2004595 downloads
Dynamic Analysis of an Institutional Conflict: Copyright Owners Against Online File Sharing Journal of Economic Issues, Vol. 39, No. 3, pp. 633-663, 2005
Oleg V. Pavlov
Date Posted: August 25, 2005592 downloads
Volatility of Volatility of Financial Markets DRW-98-1-VVFM
Jennifer K. Wilson
Date Posted: April 22, 1998591 downloads
Building Brand Awareness in Dynamic Oligopoly Markets Management Science, Vol. 54, No. 1, pp. 129-138, January 2008
Prasad A. Naik
,
Ashutosh Prasad
and
Suresh Sethi
Date Posted: February 06, 2008Last Revised: September 25, 2010585 downloads
Simulation in the Textile Industry: Production Planning Optimization WOA 2004: Dagli Oggetti agli Agenti. 5th AI*IA/TABOO Joint Workshop
Gianluigi Ferraris
and
Matteo Morini
Date Posted: January 03, 2005572 downloads
Geometric Mean Reversion: Formulas for the Equilibrium Density and Analytic Moment Matching
Christian-Oliver Ewald
and
Zhaojun Yang
Date Posted: July 11, 2007563 downloads
Testing Efficiency of the Latvian Stock Market: An Evolutionary Perspective
Timur Mihailov
and
Dirk Linowski
Date Posted: March 11, 2002562 downloads
Country Default Risk: An Empirical Assessment CESifo Working Paper Series No. 469
Jerome L. Stein and
Giovanna Paladino
Date Posted: June 18, 2001561 downloads
Joint Production and Financing Decisions: Modeling and Analysis
Xiaodong Xu
and
John R. Birge
Date Posted: January 23, 2005561 downloads
Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Daniel Egloff
,
Markus Leippold ,
Stephan Joehri
and
Curdin Dalbert
Date Posted: April 07, 2005561 downloads
Managerial Preferences, Corporate Governance, and Financial Structure
Hong Liu and
Jianjun Miao
Date Posted: March 17, 2006553 downloads
Optimal Consumption and Investment with Bankruptcy Suresh Sethi, OPTIMAL CONSUMPTION AND INVESTMENT WITH BANKRUPTCY, Kluwer Academic Publishers, Boston MA, 1997, 428 pages.
Suresh Sethi
Date Posted: April 10, 2008Last Revised: March 06, 2009553 downloads
The Evolution of Portfolio Rules and the Capital Asset Pricing Model
Emanuela Sciubba
Date Posted: March 17, 2002553 downloads
An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: September 08, 2010Last Revised: April 02, 2011552 downloads
Cash Management Using Multi-Stage Stochastic Programming Quantitative Finance, Forthcoming
Robert Ferstl
and
Alex Weissensteiner
Date Posted: September 06, 2007Last Revised: October 21, 2009549 downloads
Dynamic Kidney Exchange Review of Economic Studies, Forthcoming
M. Utku Ünver
Date Posted: March 11, 2007Last Revised: December 17, 2009547 downloads
Generic Computing Alternatives for Better Greeks
Cristian Homescu
affiliation not provided to SSRN
Date Posted: September 03, 2011Last Revised: September 12, 2011545 downloads
Implied Volatility from Asian Options Via Monte Carlo Methods
Christian-Oliver Ewald
,
Zhaojun Yang
and
Yajun Xiao
Date Posted: January 19, 2007Last Revised: January 03, 2008545 downloads
Rise in German Wholesale Electricity Prices: Fundamental Factors, Exercise of Market Power, or Both? IWE Working Paper No. 02
Christoph Lang
Date Posted: August 30, 2006543 downloads
A Sharper Angle on Optimization
Maxim Golts
and
Gregory C. Jones
Date Posted: October 07, 2009Last Revised: November 19, 2009541 downloads
A General Multivariate Threshold GARCH Model for Dynamic Correlations NCCR FINRISK Working Paper
Francesco Audrino
and
Fabio Trojani
Date Posted: January 21, 2004539 downloads
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