1.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Unaffiliated Authors - Independent and Kepos Capital
Downloads
19,013
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
12,080
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
9,617
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
8,964
5.
Discrete Time Finance
Number of pages: 104
Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads
6,003
6.
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
5,106
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 Research
Downloads
4,915
8.
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
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
4,802
9.
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
4,728
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
4,542
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
4,379
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
91
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
73
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
57
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
4,379
12.
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: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,489
13.
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
3,299
14.
Local Stochastic Volatility Models: Calibration and Pricing
Number of pages: 57
Posted: 11 Jun 2014
Last Revised: 15 Jul 2014
Working Paper Series
Unaffiliated Authors - Independent
Downloads
3,263
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
3,174
Dynamic Mean-Variance Asset Allocation
CEPR Discussion Paper No. DP7256
Number of pages: 48
Posted: 19 May 2009
Downloads
2
Downloads
3,174
16.
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
2,728
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 Lawrence Berkeley National Laboratory
Downloads
2,689
18.
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
2,665
19.
FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach
Number of pages: 11
Posted: 08 Aug 2008
Last Revised: 20 Feb 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
2,652
20.
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
2,472
21.
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
2,457
22.
Implied Volatility Surface: Construction Methodologies and Characteristics
Number of pages: 38
Posted: 10 Jul 2011
Working Paper Series
Unaffiliated Authors - Independent
Downloads
2,380
23.
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
2,355
24.
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
2,268
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
2,204
26.
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
2,194
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
2,194
27.
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
2,183
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
2,115
29.
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 - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads
2,085
30.
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
2,006
31.
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
1,944
32.
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 University of Geneva
Downloads
1,928
33.
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
Lawrence Berkeley National Laboratory
Downloads
1,889
34.
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
1,813
35.
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
1,809
36.
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
1,785
37.
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
1,763
38.
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
1,694
Dynamic Hedging in Incomplete Markets: A Simple Solution
CEPR Discussion Paper No. DP8402
Number of pages: 51
Posted: 26 May 2011
Downloads
6
Downloads
1,694
39.
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
1,677
40.
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
1,626
41.
Strategic Asset Allocation in Money Management
Journal of Finance, Forthcoming
Number of pages: 52
Posted: 03 Feb 2009
Last Revised: 31 May 2012
Accepted Paper Series
London Business School and ICEF, Higher School of Economics
There are 2 versions of this paper
Strategic Asset Allocation in Money Management
Journal of Finance, Forthcoming
Number of pages: 52
Posted: 03 Feb 2009
Last Revised: 31 May 2012
Downloads
1,615
Strategic Asset Allocation in Money Management
CEPR Discussion Paper No. DP8457
Number of pages: 46
Posted: 20 Jul 2011
Downloads
2
Downloads
1,615
42.
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
1,594
43.
Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis
International Journal of Operations Research, Forthcoming
Number of pages: 36
Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara - Department of Economics and Cranfield University - School of Management
Downloads
1,586
44.
An Algorithm for Computing Risk Parity Weights
Number of pages: 6
Posted: 24 Jul 2013
Last Revised: 07 May 2016
Working Paper Series
OMERS Capital Markets
Downloads
1,570
45.
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
Geneva School of Economics and Management (GSEM) and Unaffiliated Authors - Independent
Downloads
1,563
46.
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, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads
1,555
47.
Global Supply Chain Networks and Risk Management
Number of pages: 41
Posted: 27 Oct 2003
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management, University of Massachusetts at Amherst and SUNY at Oswego - Management and Marketing
Downloads
1,555
48.
Optimal Liquidity Trading
EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21
Number of pages: 59
Posted: 11 Dec 2000
Working Paper Series
Columbia Business School - Finance and Economics and Yale University - International Center for Finance
There are 2 versions of this paper
Optimal Liquidity Trading
EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21
Number of pages: 59
Posted: 11 Dec 2000
Downloads
1,552
Downloads
1,552
49.
Optimal Liquidation in Dark Pools
EFA 2009 Bergen Meetings Paper
Number of pages: 59
Posted: 17 Feb 2009
Last Revised: 18 Apr 2014
Working Paper Series
Humboldt University of Berlin and AHL (Man Investments)
There are 2 versions of this paper
Optimal Liquidation in Dark Pools
EFA 2009 Bergen Meetings Paper
Number of pages: 59
Posted: 17 Feb 2009
Last Revised: 18 Apr 2014
Downloads
1,536
Optimal Liquidation in Dark Pools
Quantitative Finance, Forthcoming
Number of pages: 33
Posted: 05 Dec 2015
Downloads
73
Downloads
1,536
50.
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 - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
1,520
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