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JEL Code: C00

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Viewing: 1 - 50 of 918 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 200,138
2.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner
Number of pages: 16 Posted: 31 Mar 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 13,250
3.

Pitching Research®

Number of pages: 35 Posted: 04 Jul 2014 Last Revised: 17 Aug 2017
Working Paper Series
University of Queensland
Downloads 11,337
4.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads 6,289
5.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 18 Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,853
6.

Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 5,835
7.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 5,280
8.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,601
9.

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics

Multiple version iconThere are 2 versions of this paper

Downloads 4,445
10.

Cryptofinance

Number of pages: 141 Posted: 19 May 2014 Last Revised: 16 Jan 2016
Working Paper Series
Duke University - Fuqua School of Business
Downloads 4,268
11.

Stress Testing the Banking System: Methodologies and Applications

STRESS TESTING THE BANKING SYSTEM, M. Quagliariello, ed., Cambridge University Press, Forthcoming
Number of pages: 67 Posted: 10 Jan 2009 Last Revised: 01 May 2009
Accepted Paper Series
European Banking Authority
Downloads 3,839
12.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 3,714
13.

Markov Representation of the Heath-Jarrow-Morton Model

Number of pages: 13 Posted: 26 Mar 2001
Working Paper Series
Loomis Sayles
Downloads 3,709
14.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads 3,646
15.

Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Wagner Award Winner
Number of pages: 18 Posted: 11 May 2015 Last Revised: 03 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,538
16.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Quant Advisory Ltd
Downloads 3,531
17.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,422
18.

Bitcoin Myths and Facts

Number of pages: 10 Posted: 16 Aug 2014 Last Revised: 20 Nov 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 3,412
19.

Analytic Solutions for Optimal Statistical Arbitrage Trading

Number of pages: 16 Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads 3,327
20.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 2,940
21.

A Simple Macroeconomic Model of Bitcoin

Number of pages: 3 Posted: 12 Feb 2014
Working Paper Series
Bitquant Research Laboratories
Downloads 2,901
22.

A Resolution to the NPV - IRR Debate?

Number of pages: 22 Posted: 05 Apr 2004 Last Revised: 04 Jan 2010
Working Paper Series
University of Sussex
Downloads 2,702
23.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,452
24.

Credit-Informed Tactical Asset Allocation

Number of pages: 13 Posted: 26 Jun 2011
Working Paper Series
Capital Context
Downloads 2,436
25.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads 2,190
26.

VIX Option Pricing in a Jump-Diffusion Model

Risk Magazine, pp. 84-89, April 2008
Number of pages: 10 Posted: 01 Jun 2009
Accepted Paper Series
Julius Baer
Downloads 2,162
27.

Asymptotic Approximations to CEV and SABR Models

Number of pages: 38 Posted: 25 May 2011
Working Paper Series
Intercontinental Exchange Inc., Quantitative Analytics Group and Illinois Institute of Technology
Downloads 2,154
28.

When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs

Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59
Number of pages: 37 Posted: 19 Jun 2011 Last Revised: 08 Dec 2015
Accepted Paper Series
Julius Baer
Downloads 2,009
29.

Liquidity Risk Theory and Coherent Measures of Risk

Number of pages: 22 Posted: 03 Dec 2007
Working Paper Series
Abaxbank and University of Verona - Department of Economics
Downloads 1,975
30.

CreditRisk+ by Fast Fourier Transform

YieldCurve, August 2004
Number of pages: 30 Posted: 23 Apr 2008 Last Revised: 19 Dec 2008
Working Paper Series
Universidad Nacional del Litoral
Downloads 1,766
31.

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility

Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008
Number of pages: 37 Posted: 21 May 2009 Last Revised: 05 Oct 2010
Accepted Paper Series
Julius Baer
Downloads 1,761
32.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 1,708
33.

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Number of pages: 41 Posted: 19 Oct 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 1,708
34.

Option Pricing under the Variance Gamma Process

Number of pages: 380 Posted: 08 Jun 2009
Working Paper Series
Merrill Lynch & Co.
Downloads 1,656
35.

A Mean-Variance Capital Asset Pricing Model for Long Short Equity Hedge Fund Portfolios

Number of pages: 28 Posted: 16 Dec 2007 Last Revised: 06 Sep 2011
Working Paper Series
DE Hampton
Downloads 1,639
36.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 1,591
37.

An Analytical Theory of Project Investment: A Comparison with Real Option Theory

Number of pages: 15 Posted: 11 Nov 2002
Working Paper Series
University of Northern British Columbia - School of Business
Downloads 1,575
38.

Online Learning in Practice: An Introduction to Statistics Course

Number of pages: 3 Posted: 03 May 2013
Working Paper Series
City University of New York (CUNY) - Department of Business Management and Baruch College, CUNY - Zicklin School of Business
Downloads 1,563
39.

Happiness, Economics and Public Policy

Institute of Economic Affairs, Research Monograph 62, 2007
Number of pages: 60 Posted: 09 Oct 2007
Accepted Paper Series
affiliation not provided to SSRN and Volterra Consulting
Downloads 1,547
40.

Deviation Measures in Risk Analysis and Optimization

University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27 Posted: 22 Jan 2003
Working Paper Series
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,479
41.

Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry

Number of pages: 12 Posted: 23 Jan 2006
Working Paper Series
Société Générale - Paris, France
Downloads 1,479
42.

Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory

Number of pages: 21 Posted: 14 Jun 2014 Last Revised: 02 Jan 2015
Working Paper Series
VU University Amsterdam
Downloads 1,461
43.

Volatility Modelling and Trading

Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164 Posted: 19 Jul 2016
Accepted Paper Series
Julius Baer
Downloads 1,438
44.

An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?

Quantf Research Working Paper Series No. WP02/2014
Number of pages: 45 Posted: 14 Nov 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 1,430
45.

Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market

Number of pages: 4 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
Working Paper Series
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads 1,416
46.

Tactical MPT and Momentum: The Modern Asset Allocation (MAA)

Number of pages: 47 Posted: 31 Dec 2013
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 1,348
47.

Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences

Number of pages: 12 Posted: 21 Jan 2016 Last Revised: 30 Jan 2016
Working Paper Series
Elm Partners and Elm Partners
Downloads 1,336
48.

Doing Quantitative Field Research in Management Accounting

Number of pages: 47 Posted: 02 Nov 2005
Working Paper Series
University of California, Davis - Graduate School of Management and Clemson University
Downloads 1,314
49.

Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 27 Feb 2002
Working Paper Series
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Copenhagen Business School - Department of Finance
Downloads 1,309
50.

Random Walks, Non-Cooperative Games, and the Complex Mathematics of Patent Pricing

Number of pages: 109 Posted: 10 Jun 2003
Working Paper Series
Independent and University of Illinois College of Law
Downloads 1,307