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SSRN eLibrary Search Results
JEL Code: C61
587,752 Total downloads
An Elementary Exposition of the No Strong Arbitrage Principle for Financial MarketsCAEPR Working Paper 2017-005 Robert A. Becker Indiana University Bloomington - Department of Economics Date Posted: June 22, 2017 Working Paper Series 7 downloads
Computing Moment Inequality Models using Constrained OptimizationBaiyu Dong, Yu-Wei Hsieh and Matthew Shum University of Southern California - Department of Economics, University of Southern California - Department of Economics and California Institute of Technology Date Posted: June 21, 2017 Last Revised: June 28, 2017 Working Paper Series 18 downloads
Optimizing Objective Functions Determined from Random ForestsMax Biggs and Rim Hariss Massachusetts Institute of Technology (MIT) - Operations Research Center and Massachusetts Institute of Technology (MIT) - Operations Research Center Date Posted: June 16, 2017 Working Paper Series 17 downloads
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial InformationSühan Altay, Katia Colaneri and Zehra Eksi Vienna University of Technology - Financial and Actuarial Mathematics Research Group, University of Perugia, Department of Economics and Vienna University of Economics and Business, Institute for Statistics and Mathematics Date Posted: June 15, 2017 Working Paper Series 39 downloads
Hybrid IS-VWAP Dynamic Algorithmic Trading via LQRJackie Shen Goldman Sachs, USA Date Posted: June 13, 2017 Working Paper Series 46 downloads
Quantitative Modeling of Trust and Trust Management Protocols in Next-Generation Social Networks-Based Wireless Mobile AD HOC NetworksIUP Journal of Computer Sciences, Vol. XI, No. 2, pp. 7-28. April 2017 Yogesh Malhotra Global Risk Management Network, LLC Date Posted: June 10, 2017 Last Revised: June 12, 2017 Accepted Paper Series 9 downloads
Locally Adapt Risks MinimizingSiyabonga Goodwill Chule Mathematical Sciences (MS) centre, the African Institute for MS Date Posted: June 08, 2017 Last Revised: June 10, 2017 Working Paper Series 14 downloads
Linear ProgrammingPalgrave Encyclopedia of Strategic Management, Eds. Mie Augier, David J. Teece, ISBN 978-1-137-49190-9, Palgrave Macmillan UK, 2016 Rajeev R. Bhattacharya Georgetown University Date Posted: June 08, 2017 Accepted Paper Series 4 downloads
To Guide or Not to Guide? Quantitative Monetary Policy Tools and Macroeconomic Dynamics in ChinaHKIMR Working Paper No. 09/2017 Hongyi Chen, Michael Funke, Ivan Lozev and Andrew Tsang Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Hamburg - Department of Economics, University of Hamburg - Department of Economics and Hong Kong Monetary Authority Date Posted: June 06, 2017 Working Paper Series 5 downloads
Volatility Skews Implied by a Multi-Technology Bid Stack Model for Electricity MarketsThomas Wottka RWE Group - RWE Supply & Trading GmbH Date Posted: June 05, 2017 Working Paper Series 6 downloads
Assessment of Policy Changes to Means-Tested Age Pension Using Expected Utility Model: Implication for Decisions in RetirementJohan G. Andreasson and Pavel Shevchenko University of Technology Sydney (UTS) and Macquarie University Date Posted: June 05, 2017 Working Paper Series 7 downloads
SupercomputersElectronic version of a book chapter forthcoming in High-Performance Computing in Finance: Problems, Methods, and Solutions, M.A.H. Dempster, J. Kanniainen, J. Keane, and E. Vynckier (Eds), Chapman and Hall/CRC, London, 2017. ISBN 9781482299663 Peter Schober Goethe University Frankfurt - Department of Finance Date Posted: June 05, 2017 Accepted Paper Series 24 downloads
Forecasting with Many Predictors Using Message Passing AlgorithmsDimitris Korobilis University of Essex - Essex Business School Date Posted: June 01, 2017 Working Paper Series 7 downloads
A Multilevel Model of the European Entry-Exit Gas MarketVeronika Grimm, Lars Schewe, Martin Schmidt and Gregor Zöttl University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Friedrich Alexander Universität Erlangen Nürnberg Date Posted: June 01, 2017 Working Paper Series 6 downloads
Solving Asset Pricing Models with Stochastic VolatilityFEDS Working Paper No. 2014-71 Oliver de Groot Board of Governors of the Federal Reserve System Date Posted: May 31, 2017 Working Paper Series 10 downloads
Calibration of Discrete Time Short Rate Term Structure Models from Coupon Bond PricesErika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid Date Posted: May 31, 2017 Last Revised: June 11, 2017 Working Paper Series 37 downloads
A Survey on Risk-Averse and Robust Revenue ManagementEuropean Journal of Operational Research (EJOR), doi: 10.1016/j.ejor.2017.05.033, Forthcoming Jochen Gönsch University of Duisburg-Essen - Mercator School of Management Date Posted: May 26, 2017 Accepted Paper Series 9 downloads
Portfolio Rho-presentativityTristan Froidure, Khalid Jalalzai and Yves Choueifaty TOBAM, TOBAM and TOBAM Date Posted: May 25, 2017 Last Revised: May 31, 2017 Working Paper Series 89 downloads
General Optimization Concept in Designing Supply Chain Network for a ManufacturerNilaish Nilaish BML Munjal University Date Posted: May 19, 2017 Working Paper Series 10 downloads
Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal PolicyJean-Bernard Chatelain and Kirsten Ralf Paris School of Economics, Université Paris 1 Panthéon Sorbonne and Ecole Supérieure du Commerce Extérieur (ESCE) Date Posted: May 19, 2017 Working Paper Series 8 downloads
Lifetime Investment and Consumption with Recursive Preferences and Small Transaction CostsYaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Michigan at Ann Arbor and University of Trier Date Posted: May 18, 2017 Working Paper Series 33 downloads A Discrete Mathematical Model for Chaotic Dynamics in Economics: Kaldor's Model on Business Cycle Mathematics and Computers in Simulation, Volume 125, Pages 83–98, July 2016, Giuseppe Orlando University of Bari - Department of Economics and Mathematical Methods Date Posted: May 17, 2017 Accepted Paper Series
Random Geometric Analysis in the Stochastic Volatility: Financial Markets States DegeneracyAnalysis and Computations Journal, Forthcoming Siyabonga Goodwill Chule Mathematical Sciences (MS) centre, the African Institute for MS Date Posted: May 15, 2017 Last Revised: May 22, 2017 Accepted Paper Series 32 downloads
Определяне рейтинга на кандидатите за вакантните длъжности в организацията (Rating Determination of the Candidates for Vacant Positions in Organization)Bulgarian Journal of Business Research, issue 2, 2008, p. 33-47 Margarita Harizanova and Maya Lambovska University of National and World Economy, Department of Management and University of National and World Economy, Department of Management Date Posted: May 15, 2017 Accepted Paper Series 4 downloads
Dynamic Matching in Overloaded Waiting ListsJacob D. Leshno Columbia University Date Posted: May 13, 2017 Working Paper Series 6 downloads
A Note on the Impact of Management Fees on the Pricing of Variable Annuity GuaranteesJin Sun, Pavel Shevchenko and Man Chung Fung University of Technology Sydney (UTS), Macquarie University and CSIRO Date Posted: May 13, 2017 Working Paper Series 7 downloads
Public Debt Sustainability Under Uncertainty: An Invariant Set ApproachIMF Working Paper No. 17/57 Rossen Rozenov International Monetary Fund (IMF) Date Posted: May 12, 2017 Working Paper Series 22 downloads
Stochastic Debt Sustainability Analysis for Sovereigns and the Scope for Optimization ModelingOptimization and Engineering special issue on Financial Engineering, Forthcoming, Working Paper 17-07, The Wharton Financial Institutions Center, The Wharton School, University of Pennsylvania, PA. Andrea Consiglio and Stavros A. Zenios Università degli Studi della Calabria and University of Cyprus Date Posted: May 12, 2017 Accepted Paper Series 10 downloads
Flexible Demand and Flexible Supply As Enablers of Variable Energy IntegrationHannu Huuki, Santtu Karhinen, Maria Kopsakangas-Savolainen and Rauli Svento University of Oulu - Department of Economics, Government of the Republic of Finland - Finnish Environment Institute, Finnish Environment Institute and University of Oulu - Department of Economics Date Posted: May 11, 2017 Working Paper Series 14 downloads
An Algorithm for Evaluating Candidates for Vacant Positions in Organizations (Алгоритъм за оценяване на кандидатите за вакантните длъжности в организациите)Business Management Journal of Tsenov Academy, Volume 18, Issue 3, p. 5-34, 2008 Margarita Harizanova and Maya Lambovska University of National and World Economy, Department of Management and University of National and World Economy, Department of Management Date Posted: May 11, 2017 Accepted Paper Series 5 downloads
Pricing and Hedging GDP-Linked Bonds in Incomplete MarketsAndrea Consiglio and Stavros A. Zenios University of Palermo and University of Cyprus Date Posted: May 11, 2017 Working Paper Series 23 downloads
Political Myopia, Public Debt, and Economic GrowthOhad Raveh and Yacov Tsur Hebrew University of Jerusalem and Hebrew University of Jerusalem - Department of Agricultural Economics and Management Date Posted: May 10, 2017 Last Revised: June 18, 2017 Working Paper Series 7 downloads
The Coordination of Centralised and Distributed GenerationRené Aïd, Matteo Basei and Huyên Pham Université Paris-Dauphine, Université Paris Diderot and Université Paris VII Denis Diderot Date Posted: May 09, 2017 Working Paper Series 4 downloads
Time-Consistent Investment Strategy with Only Risky Assets and Its Link with Myopic Strategy in High DimensionsChi Seng Pun Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University Date Posted: May 09, 2017 Working Paper Series 16 downloads
Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth DriversMasaaki Fujii and Akihiko Takahashi University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics Date Posted: May 08, 2017 Last Revised: May 24, 2017 Working Paper Series 15 downloads
Compressing Over-the-Counter MarketsMarco D'Errico and Tarik Roukny University of Zurich - Department of Banking and Finance and Massachusetts Institute of Technology (MIT) Date Posted: May 04, 2017 Working Paper Series 32 downloads
Portfolio Choice with Small Temporary and Transient Price ImpactIbrahim Ekren and Johannes Muhle-Karbe ETH Zurich and University of Michigan at Ann Arbor Date Posted: May 02, 2017 Working Paper Series 21 downloads
Portfolio Management with Drawdown Constraint: An Analysis of Optimal InvestmentMaxime Bonelli and Mireille Bossy INRIA and Institut National de Recherche en Informatique et Automatique (INRIA) Date Posted: April 29, 2017 Working Paper Series 85 downloads
Implementing Maximum Likelihood Estimation of Empirical Matching Models: MPEC v.s. NFXPUSC-INET Research Paper No. 17-16 Baiyu Dong, Yu-Wei Hsieh and Xing Zhang University of Southern California - Department of Economics, University of Southern California - Department of Economics and University of Southern California Date Posted: April 27, 2017 Working Paper Series 34 downloads
Equilibrium Analysis of Expected ShortfallPengyu Wei University of Oxford - Mathematical Institute Date Posted: April 24, 2017 Working Paper Series 48 downloads
A Spatial Electricity Market Model for the Power System of KazakhstanDIW Berlin Discussion Paper No. 1659 Makpal Assembayeva, Jonas Egerer, Roman Mendelevitch and Nurkhat Zhakiyev Nazarbayev University, German Institute for Economic Research (DIW Berlin) - Department of International Economics, Resource Economics Group and Nazarbayev University Date Posted: April 24, 2017 Working Paper Series 2 downloads
МОДЕЛ НА УПРАВЛЕНСКИЯ ПРОЦЕС НА НАБИРАНЕ И ПОДБОР НА ЧОВЕШКИТЕ РЕСУРСИ (A Model for the Management Process of Human Resources Recruitment and Selection)Research Papers of University of National and World Economy (Научни трудове на УНСС), Issue 1, p. 53-100, 2008, Margarita Harizanova and Maya Lambovska University of National and World Economy, Department of Management and University of National and World Economy, Department of Management Date Posted: April 24, 2017 Accepted Paper Series 9 downloads
The Information Content of Option Implied Moments and Co-Moments: Extended AbstractJulian M. Williams and Yang Zhang Durham Business School and Durham Business School Date Posted: April 24, 2017 Working Paper Series 46 downloads
Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio ChoiceC. Kenneth Jones PortfolioNetworks.com Date Posted: April 22, 2017 Working Paper Series 125 downloads
Distributionally Robust Mechanism DesignÇağıl Koçyiğit, Garud Iyengar, Daniel Kuhn and Wolfram Wiesemann Ecole Polytechnique Fédérale de Lausanne, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), École polytechnique fédérale de Lausanne and Imperial College Business School Date Posted: April 21, 2017 Working Paper Series 20 downloads
Pairs Trading Under Drift Uncertainty and Risk PenalizationSühan Altay, Katia Colaneri and Zehra Eksi Vienna University of Technology - Financial and Actuarial Mathematics Research Group, University of Perugia, Department of Economics and Vienna University of Economics and Business, Institute for Statistics and Mathematics Date Posted: April 20, 2017 Working Paper Series 157 downloads
Cybersecurity Budget Allocation to Address Multiple Areas of Vulnerability and Multiple Segments of Data AssetsShaun Wang Nanyang Technological University Date Posted: April 19, 2017 Last Revised: April 23, 2017 Working Paper Series 6 downloads
A Variational Approach to Network GamesEmerson Melo Indiana University Bloomington Date Posted: April 19, 2017 Last Revised: May 06, 2017 Working Paper Series 44 downloads
Risk Management with Weighted VaRPengyu Wei University of Oxford - Mathematical Institute Date Posted: April 17, 2017 Last Revised: May 25, 2017 Working Paper Series 221 downloads
Strategic Experimentation with Erlang BanditsSvetlana Boyarchenko University of Texas at Austin - Department of Economics Date Posted: April 17, 2017 Working Paper Series 18 downloads |
