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JEL Code: C61

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Viewing: 1 - 50 of 3,464 papers

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Working Paper Series
Guangliang He and Robert Litterman
Independent and Kepos Capital
Downloads 17,671
2.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
Christian-Oliver Ewald
University of Glasgow
Downloads 11,930
3.

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
Yufeng Han, Ke Yang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - Olin School of Business
Downloads 8,636
4.

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
Vasily Nekrasov
letYourMoneyGrow.com
Downloads 8,178
5.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
Christian-Oliver Ewald
University of Glasgow
Downloads 5,938
6.

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
Marcos Lopez de Prado and David Leinweber
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,543
7.

Implied Binomial Trees in Excel without VBA

Number of pages: 21 Posted: 08 May 2004
Working Paper Series
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
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 4,489
8.

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
Suleyman Basak and Alex Shapiro
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,357
9.

Price Theory

Journal of Economic Literature, Forthcoming
Number of pages: 80 Posted: 02 Jun 2014 Last Revised: 18 Apr 2017
Accepted Paper Series
E. Glen Weyl
Microsoft Research
Downloads 4,279
10.

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
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 4,219
11.

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
Harvey J. Stein, Alexander L. Belikoff, Kirill Levin and Xusheng Tian
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,410
12.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Working Paper Series
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - Olin School of Business
Downloads 3,251
13.

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
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 3,049
14.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Cristian Homescu
Independent
Downloads 2,824
15.

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
John Anderson
Queensland University of Technology - School of Economics and Finance
Downloads 2,601
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
Z. George Yang and Liang Zhong
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 2,526
17.

FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 26 Aug 2014
Accepted Paper Series
Ehsan H. Feroz, Sungsoo Kim and Raymond L. Raab
University of Washington, Tacoma - Milgard School of Business, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 2,430
18.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,423
19.

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
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,408
20.

Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Working Paper Series
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Banca IMI
Downloads 2,382
21.

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

Number of pages: 25 Posted: 03 Jan 2000
Working Paper Series
Alexander Vigodner
Bloomberg Financial Markets (BFM)
Downloads 2,319
23.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Cristian Homescu
Independent
Downloads 2,214
24.

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
Marc Chesney and Luca Taschini
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 2,074
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
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 2,059
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
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,042
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
Thorsten Hens and Marc Oliver Rieger
University of Zurich - Department of Banking and Finance and University of Trier
Downloads 2,034
28.

A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation

Number of pages: 42 Posted: 16 Mar 2005
Working Paper Series
Yonggan Zhao
Nanyang Technological University
Downloads 1,967
29.

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
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,901
30.

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
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 1,875
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
Maxim Nikolaevich Kotsemir
National Research University - Higher School of Economics
Downloads 1,862
32.

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
Che-Lin Su and Kenneth L. Judd
University of Chicago - Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 1,802
33.

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Working Paper Series
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

Multiple version iconThere are 2 versions of this paper

Downloads 1,792
34.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Stephen Coggeshall and Guowei Wu
Morgan Stanley and Morgan Stanley
Downloads 1,754
35.

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
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 1,693
36.

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
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 1,656
37.

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
Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,630
38.

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
Dave Walton
StatisTrade
Downloads 1,603
39.

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
Suleyman Basak and Dmitry Makarov
London Business School and ICEF, Higher School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,568
40.

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
Biresh K. Sahoo, Jati Sengupta and Anandadeep Mandal
Amrita University - Amrita School of Business, University of California, Santa Barbara - Department of Economics and Cranfield University - School of Management
Downloads 1,550
41.

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
Gur Huberman and Werner Stanzl
Columbia Business School - Finance and Economics and Yale University - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,540
42.

Global Supply Chain Networks and Risk Management

Number of pages: 41 Posted: 27 Oct 2003
Working Paper Series
Anna Nagurney, José M. Cruz and June Dong
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 1,530
43.

Drawdown Measure in Portfolio Optimization

Number of pages: 41 Posted: 13 May 2004
Working Paper Series
Alexei Chekhlov, Stanislav P. Uryasev and Michael Zabarankin
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,526
44.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013
Working Paper Series
Romain Deguest, Lionel Martellini and Attilio Meucci
Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 1,496
45.

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
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)

Multiple version iconThere are 2 versions of this paper

Downloads 1,477
46.

Dynamic Stochastic Programming For Asset-liability Management

Number of pages: 42 Posted: 19 Mar 1998
Working Paper Series
Giorgio Consigli and M. A. H. Dempster
Credito Italiano and University of Cambridge - Centre for Financial Research
Downloads 1,456
47.

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund

Multiple version iconThere are 2 versions of this paper

Downloads 1,442
48.

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
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and Independent
Downloads 1,421
49.

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Working Paper Series
Kangwhee Kim
affiliation not provided to SSRN
Downloads 1,390
50.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Igor Skachkov
Independent
Downloads 1,390
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