1.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads
20,921
2.
Mathematical Finance Introduction to Continuous Time Financial Market Models
Number of pages: 129
Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads
12,315
3.
Kelly Criterion for Multivariate Portfolios: A Model-Free Approach
Number of pages: 15
Posted: 02 May 2013
Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads
11,700
4.
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Number of pages: 42
Posted: 12 Aug 2010
Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads
9,433
5.
Machine Learning for Trading
Number of pages: 19
Posted: 14 Aug 2017
Last Revised: 04 Dec 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
8,433
6.
Discrete Time Finance
Number of pages: 104
Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads
6,118
7.
Price Theory
Journal of Economic Literature, Forthcoming
Number of pages: 80
Posted: 02 Jun 2014
Last Revised: 18 Apr 2017
Accepted Paper Series
Microsoft
Downloads
6,078
8.
Buy Low Sell High: A High Frequency Trading Perspective
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of pages: 37
Posted: 26 Nov 2011
Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads
5,446
9.
Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37
Posted: 08 Aug 2011
Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
5,395
10.
Implied Binomial Trees in Excel Without Vba
Number of pages: 21
Posted: 08 May 2004
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads
4,646
11.
A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45
Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance
There are 5 versions of this paper
A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45
Posted: 21 Mar 2001
Downloads
4,409
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-03-047
Number of pages: 46
Posted: 11 Nov 2008
Downloads
97
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. S-CDM-03-20
Number of pages: 46
Posted: 05 Nov 2008
Downloads
78
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-00-029
Number of pages: 41
Posted: 04 Nov 2008
Downloads
60
A Model of Credit Risk, Optimal Policies and Asset Prices
CEPR Discussion Paper No. 3413
Number of pages: 43
Posted: 31 Jul 2002
Downloads
32
Downloads
4,409
12.
Machine Learning in Asset Management
Number of pages: 53
Posted: 18 Jul 2019
Last Revised: 09 Aug 2019
Working Paper Series
FirmAI, UoA, NYU FRE
Downloads
3,897
13.
Local Stochastic Volatility Models: Calibration and Pricing
Number of pages: 57
Posted: 11 Jun 2014
Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads
3,853
14.
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
Number of pages: 42
Posted: 07 Jan 2007
Last Revised: 29 Jun 2018
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,646
15.
Dynamic Mean-Variance Asset Allocation
EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46
Posted: 27 Feb 2007
Last Revised: 09 Apr 2009
Working Paper Series
London Business School and London School of Economics and Political Science
There are 2 versions of this paper
Dynamic Mean-Variance Asset Allocation
EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46
Posted: 27 Feb 2007
Last Revised: 09 Apr 2009
Downloads
3,378
Dynamic Mean-Variance Asset Allocation
CEPR Discussion Paper No. DP7256
Number of pages: 48
Posted: 19 May 2009
Downloads
2
Downloads
3,378
16.
Technical Analysis and Theory of Finance
EFA 2007 Ljubljana Meetings Paper
Number of pages: 54
Posted: 05 Mar 2007
Working Paper Series
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads
3,358
17.
Balanced Baskets: A New Approach to Trading and Hedging Risks
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44
Posted: 24 May 2012
Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
3,278
18.
Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation
Number of pages: 35
Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads
3,097
19.
Financial Statement Analysis: A Data Envelopment Analysis Approach
Number of pages: 11
Posted: 08 Aug 2008
Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads
2,903
20.
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
Number of pages: 46
Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads
2,823
21.
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
2,606
22.
Implied Volatility Surface: Construction Methodologies and Characteristics
Number of pages: 38
Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads
2,569
23.
Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments
Number of pages: 16
Posted: 21 Mar 2006
Working Paper Series
Bloomberg L.P. and Banca IMI
Downloads
2,560
24.
Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning
Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14
Posted: 30 May 2019
Last Revised: 02 Jan 2020
Working Paper Series
JP Morgan, ETH Zürich, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads
2,554
25.
Honey, I Shrunk the Sample Covariance Matrix
UPF Economics and Business Working Paper No. 691
Number of pages: 21
Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads
2,513
26.
Managing Risks in a Risk-On/Risk-Off Environment
Number of pages: 50
Posted: 23 Sep 2012
Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
2,463
27.
Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs
Number of pages: 25
Posted: 03 Jan 2000
Working Paper Series
Bloomberg Financial Markets (BFM)
Downloads
2,419
28.
Algorithmic Trading of Co-Integrated Assets
International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17
Posted: 01 Aug 2015
Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads
2,409
29.
Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).,
Number of pages: 37
Posted: 26 Feb 2012
Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
There are 2 versions of this paper
Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).,
Number of pages: 37
Posted: 26 Feb 2012
Last Revised: 27 Apr 2015
Downloads
2,396
Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
Number of pages: 36
Posted: 09 Jun 2015
Downloads
2,396
30.
Why do Investors Buy Structured Products?
EFA 2009 Bergen Meetings Paper
Number of pages: 31
Posted: 16 Feb 2009
Last Revised: 18 Aug 2011
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Trier
Downloads
2,390
31.
Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions: A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching
Number of pages: 29
Posted: 03 Jun 2011
Working Paper Series
University College London
Downloads
2,310
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
2,227
33.
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
Number of pages: 34
Posted: 04 Feb 2008
Last Revised: 12 Oct 2013
Accepted Paper Series
University of Zurich - Department of Banking and Finance and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads
2,109
34.
An Algorithm for Computing Risk Parity Weights
Number of pages: 6
Posted: 24 Jul 2013
Last Revised: 13 Jan 2020
Working Paper Series
affiliation not provided to SSRN
Downloads
2,093
35.
Measuring National Innovation Systems Efficiency – A Review of DEA Approach
Higher School of Economics Research Paper No. WP BRP 16/STI/2013
Number of pages: 24
Posted: 03 Aug 2013
Last Revised: 23 Sep 2013
Working Paper Series
National Research University - Higher School of Economics
Downloads
2,079
36.
A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation
Number of pages: 42
Posted: 16 Mar 2005
Working Paper Series
Nanyang Technological University
Downloads
2,058
37.
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
Univ. of Southern Switzerland Working Paper
Number of pages: 42
Posted: 08 Nov 2001
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads
1,983
38.
The Big Data Newsvendor: Practical Insights from Machine Learning
Published in Operations Research 67(1):90-108. https://doi.org/10.1287/opre.2018.1757
Number of pages: 55
Posted: 03 Feb 2015
Last Revised: 22 Aug 2019
Accepted Paper Series
London Business School and Duke University - Pratt School of Engineering
Downloads
1,957
39.
Multiperiod Portfolio Selection and Bayesian Dynamic Models
Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8
Posted: 28 Jul 2014
Last Revised: 04 Dec 2017
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
1,947
40.
A Monte Carlo Method for Optimal Portfolios
Number of pages: 52
Posted: 16 Nov 2000
Working Paper Series
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University
There are 2 versions of this paper
A Monte Carlo Method for Optimal Portfolios
Journal of Finance, Vol. 58, pp. 401-446, 2003
Posted: 04 Aug 2003
Downloads
1,855
41.
Calibrating Option Pricing Models with Heuristics
NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39
Posted: 08 Mar 2010
Last Revised: 30 Dec 2013
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads
1,846
42.
Constrained Optimization Approaches to Estimation of Structural Models
Econometrica Forthcoming
Number of pages: 21
Posted: 13 Feb 2008
Last Revised: 14 Jan 2012
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads
1,837
43.
Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions
Number of pages: 41
Posted: 18 Nov 2013
Working Paper Series
Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads
1,833
44.
Asset Allocation and Long-Term Returns: An Empirical Approach
Number of pages: 53
Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads
1,807
45.
Algorithmic Trading with Model Uncertainty
Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47
Posted: 15 Aug 2013
Last Revised: 05 Apr 2017
Accepted Paper Series
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads
1,793
46.
Dynamic Type Matching
Rotman School of Management Working Paper No. 2592622
Number of pages: 68
Posted: 11 Apr 2015
Last Revised: 11 Apr 2019
Working Paper Series
University of Toronto - Rotman School of Management and McMaster University - Michael G. DeGroote School of Business
Downloads
1,791
47.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
1,791
48.
Fourier Space Time-Stepping for Option Pricing With Levy Models
Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30
Posted: 10 Oct 2007
Last Revised: 01 Jul 2009
Working Paper Series
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads
1,778
49.
Dynamic Hedging in Incomplete Markets: A Simple Solution
AFA 2012 Chicago Meetings Paper
Number of pages: 49
Posted: 07 Nov 2008
Last Revised: 12 May 2011
Working Paper Series
London Business School and London School of Economics and Political Science
There are 2 versions of this paper
Dynamic Hedging in Incomplete Markets: A Simple Solution
AFA 2012 Chicago Meetings Paper
Number of pages: 49
Posted: 07 Nov 2008
Last Revised: 12 May 2011
Downloads
1,777
Dynamic Hedging in Incomplete Markets: A Simple Solution
CEPR Discussion Paper No. DP8402
Number of pages: 51
Posted: 26 May 2011
Downloads
6
Downloads
1,777
50.
Drawdown Measure in Portfolio Optimization
Number of pages: 41
Posted: 13 May 2004
Working Paper Series
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads
1,702
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