Search Results
JEL Code: C62

67,482 Total downloads

Viewing: 1 - 50 of 735 papers

1.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 17 Posted: 07 Dec 2013 Last Revised: 03 Sep 2019
Working Paper Series
Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads 2,421
2.

Learning and Trusting Cointegration in Statistical Arbitrage

Number of pages: 27 Posted: 22 Feb 2013 Last Revised: 30 Sep 2014
Working Paper Series
Richard V. Diamond
Fitch Group
Downloads 1,965
3.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
Hamed Amini, Damir Filipović and Andreea Minca
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Multiple version iconThere are 2 versions of this paper

Downloads 1,776
4.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
Working Paper Series
Enrico G. De Giorgi, Thorsten Hens and Haim Levy
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,437
5.

Evolutionary Finance

Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60 Posted: 04 Jul 2008 Last Revised: 17 Dec 2008
Working Paper Series
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,263
6.

Random Fixed Points in a Stochastic Solow Growth Model

Zurich IEER Working Paper No. 65
Number of pages: 15 Posted: 07 Feb 2001
Working Paper Series
Bjorn Schmalfuss and Klaus Reiner Schenk-Hoppé
University of Applied Sciences Merseburg and University of Manchester - Department of Economics
Downloads 784
7.

Market Demand Functions in the CAPM

Number of pages: 15 Posted: 01 Feb 1997
Working Paper Series
Jean-Marc Bottazzi, Thorsten Hens and Andreas Loeffler
Paris School of Economics (PSE), University of Zurich - Department of Banking and Finance and Freie Universität Berlin
Downloads 772
8.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
Working Paper Series
Enrico G. De Giorgi, Thorsten Hens and Haim Levy
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 721
9.

Currency Risk Factors in a Recursive Multi-Country Economy

Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 51 Posted: 24 Dec 2014 Last Revised: 25 Aug 2018
Working Paper Series
Ric Colacito, Mariano (Max) Massimiliano Croce, Federico Gavazzoni and Robert C. Ready
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, INSEAD and University of Oregon - Department of Finance
Downloads 714
10.

Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk

Swiss Finance Institute Research Paper No. 17-63
Number of pages: 45 Posted: 21 Jun 2015 Last Revised: 13 Feb 2019
Working Paper Series
Elisabeth Proehl
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 704
11.

Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation

Number of pages: 30 Posted: 05 Nov 2006
Working Paper Series
Francesco Paolo Natale
Università degli Studi di Milano-Bicocca
Downloads 681
12.

Portfolio Generating Functions

Number of pages: 20 Posted: 19 Nov 1998
Working Paper Series
Bob Robert Fernholz
Allocation Strategies, LLC
Downloads 680
13.

Optimal Stopping with Private Information

Number of pages: 34 Posted: 10 Jul 2013 Last Revised: 08 May 2014
Working Paper Series
Thomas Kruse and Philipp Strack
University of Duisburg-Essen and Yale, Department of Economics
Downloads 678
14.

International Asset Pricing with Recursive Preferences

Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53 Posted: 23 Jul 2010 Last Revised: 10 Mar 2017
Accepted Paper Series
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University

Multiple version iconThere are 2 versions of this paper

Downloads 614
15.

International Asset Pricing with Recursive Preferences

Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 14 Mar 2012 Last Revised: 10 Mar 2017
Accepted Paper Series
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University

Multiple version iconThere are 2 versions of this paper

Downloads 566
16.

Social Behaviors, Enforcement, and Compliance Dynamics

Number of pages: 47 Posted: 02 Mar 2000
Working Paper Series
Jon S. Davis, Gary Hecht and Jon D. Perkins
University of Illinois at Urbana-Champaign - Department of Accountancy, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 540
17.

Migration in a Solow Growth Model

Number of pages: 15 Posted: 30 Mar 2010
Working Paper Series
J. P. Juchem Neto, J. C. R. Claeyssen, Daniele Ritelli and Giovanni Mingari Scarpello
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), University of Bologna - Department of Mathematics for Economic and Social Sciences and Free University of Bozen-Bolzano
Downloads 516
18.

The Term Structures of Coentropy in International Financial Markets

Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 54 Posted: 24 Oct 2013 Last Revised: 22 Sep 2017
Working Paper Series
Fousseni Chabi-Yo and Ric Colacito
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 488
19.

Recursive Equilibrium in Krusell and Smith (1998)

Journal of Economic Theory, Forthcoming
Number of pages: 106 Posted: 03 Nov 2016 Last Revised: 11 Dec 2019
Accepted Paper Series
Dan Cao
Georgetown University - Department of Economics
Downloads 487
20.

Volatility Risk Pass-Through

Number of pages: 50 Posted: 27 Nov 2015 Last Revised: 12 Nov 2018
Working Paper Series
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

Multiple version iconThere are 4 versions of this paper

Downloads 481
21.

Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

Number of pages: 44 Posted: 29 Jun 2015
Working Paper Series
Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads 466
22.

Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options

Journal of Futures Markets, 38(6):627-644, 2018
Number of pages: 25 Posted: 08 Feb 2017 Last Revised: 02 Jun 2018
Accepted Paper Series
Jaehyuk Choi
Peking University - HSBC School of Business
Downloads 466
23.

The Effectiveness of Simple Decision Heuristics: A Case Study of Experts' Forecasts of the Commercial Success of Early-Stage Ventures

Number of pages: 30 Posted: 03 Mar 2013
Working Paper Series
Thomas B. Astebro and Samir Elhedhli
HEC Paris - Economics and Decision Sciences and University of Waterloo - Department of Management Sciences
Downloads 464
24.

The Solow Model in Discrete Time and Decreasing Population Growth Rate

Economics Bulletin, Vol. 3, No. 41, pp. 1-14, 2008
Number of pages: 14 Posted: 02 Nov 2007 Last Revised: 06 Mar 2018
Accepted Paper Series
Juan Gabriel Brida and Juan Sebastián Pereyra
Universidad de la República and Universidad de la República - Facultad de Ciencias Económicas
Downloads 424
25.

Stable Group Purchasing Organizations

Marshall School of Business Working Paper No. FBE 20-10
Number of pages: 45 Posted: 02 Jun 2008 Last Revised: 23 Nov 2010
Working Paper Series
Mahesh Nagarajan, Greys Sosic and Hao Zhang
University of British Columbia (UBC) - Sauder School of Business, University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business
Downloads 404
26.

'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Number of pages: 51 Posted: 15 Aug 2018 Last Revised: 29 May 2019
Working Paper Series
Igor Halperin and Matthew Francis Dixon
New York University (NYU) - NYU Tandon School of Engineering and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 403
27.

A Proof of the Outperformance of Beta Arbitrage Strategies

Number of pages: 13 Posted: 20 Apr 2010
Working Paper Series
Reda Jürg Messikh and Gianluca Oderda
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads 399
28.

Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics

Number of pages: 62 Posted: 23 Jul 2010 Last Revised: 03 Apr 2018
Working Paper Series
Ric Colacito, Mariano (Max) Massimiliano Croce and Zhao Liu
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and Duke University, Department of Economics, Students
Downloads 388
29.

Business Cycle Phenomena in Overlapping Generations Economies with Stochastic Production

Zurich IEER Working Paper No. 30
Number of pages: 22 Posted: 06 Nov 2000
Working Paper Series
Jens-Ulrich Peter and Klaus Reiner Schenk-Hoppé
Bielefeld University and University of Manchester - Department of Economics
Downloads 373
30.

A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and Trade Algorithm

Proceedings of Foundations and Applications of Utility, Risk and Decision Theory (FUR) XV. Forthcoming
Number of pages: 51 Posted: 01 May 2012 Last Revised: 14 May 2012
Accepted Paper Series
G. Charles-Cadogan
University of Leicester
Downloads 371
31.

Geometric Arbitrage Theory and Market Dynamics

Number of pages: 72 Posted: 27 Mar 2008 Last Revised: 19 Jul 2015
Working Paper Series
Simone Farinelli
Core Dynamics GmbH
Downloads 363
32.

The Evolution of Moral Codes of Behavior

Number of pages: 47 Posted: 21 Jun 2006 Last Revised: 07 Oct 2009
Working Paper Series
Christoph Kuzmics and Carlos Rodriguez-Sickert
University of Graz - Department of Economics and Pontifical Catholic University of Chile
Downloads 363
33.

QWERTY Is Dead, Long Live Path Dependence

Research Policy, 2013
Number of pages: 4 Posted: 22 Apr 2013 Last Revised: 12 Nov 2013
Accepted Paper Series
Jean-Philippe Vergne
Western University - Ivey Business School
Downloads 355
34.

Equity Portfolios Generated by Functions of Ranked Market Weights

Number of pages: 17 Posted: 15 Jan 1999
Working Paper Series
Bob Robert Fernholz
Allocation Strategies, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 352
35.

An Approach to Evaluating Relative Effectiveness in Non-Profit Institutions

Number of pages: 36 Posted: 07 May 2006
Working Paper Series
Yaw M. Mensah, Kevin C. K. Lam and Robert Werner
Rutgers Business School - Newark & New Brunswick, Hang Seng Management College and Rutgers Business School - New Brunswick
Downloads 332
36.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012
Working Paper Series
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 330
37.

Survival and Evolutionary Stability of the Kelly Rule

Swiss Finance Institute Research Paper No. 09-32
Number of pages: 17 Posted: 07 Sep 2009
Working Paper Series
Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 330
38.

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator

Number of pages: 31 Posted: 06 Oct 2010 Last Revised: 19 Dec 2011
Working Paper Series
Youngna Choi and Raphael Douady
Montclair State University - Department of Mathematical Sciences and Riskdata
Downloads 329
39.

The Robustness of the CAPM: A Computational Approach

Tilburg University, CentER Working Paper No. 1999-54
Number of pages: 34 Posted: 14 Mar 2000
Working Paper Series
P. Jean-Jacques Herings and Felix Kubler
Maastricht University and University of Zurich
Downloads 305
40.

Nash and Walras Equilibrium

Yale Cowles Foundation Discussion Paper No. 1131RR
Number of pages: 19 Posted: 16 Jul 2001
Working Paper Series
John Geanakoplos
Yale University
Downloads 297
41.

Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria

Number of pages: 45 Posted: 04 Aug 2011
Working Paper Series
Daniel Ralph and Yves Smeers
University of Cambridge - Judge Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 297
42.

Raffles

Number of pages: 23 Posted: 15 Feb 2017
Working Paper Series
Nicole Immorlica, Brendan Lucier, Joshua Mollner and E. Glen Weyl
Microsoft Research, Microsoft Research, Northwestern University - Kellogg School of Management and Microsoft
Downloads 285
43.

Asset Price Anomalies Under Bounded Rationality

CEIS Tor Vergata Research Paper Series No. 19
Number of pages: 22 Posted: 06 Jun 2003
Working Paper Series
Emilio Barucci, Roberto Monte and Roberto Renò
University of Pisa - Department of Economics, University of Rome Tor Vergata - Dipartimento di Studi Economici, Finanziari e Metodi quantitativi (SEFEMEQ) and University of Verona - Department of Economics
Downloads 280
44.

Matching with Multilateral Contracts

Number of pages: 35 Posted: 06 Jul 2017 Last Revised: 06 Feb 2019
Working Paper Series
Marzena J. Rostek and Nathan Yoder
University of Wisconsin - Madison and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 277
45.

Representation Theory for Risk on Markowitz-Tversky-Kahneman Topology

Number of pages: 27 Posted: 11 Jun 2012 Last Revised: 12 Jun 2012
Working Paper Series
G. Charles-Cadogan
University of Leicester
Downloads 274
46.

The Ramsey Model in Discrete Time and Decreasing Population Growth Rate

Number of pages: 20 Posted: 28 Mar 2014
Working Paper Series
Juan Gabriel Brida, Gastón Cayssials and Juan Sebastián Pereyra
Universidad de la República, Universidad de la Republica and Universidad de la República - Facultad de Ciencias Económicas
Downloads 274
47.

Poverty Traps and Business Cycles in a Stochastic Overlapping Generations Economy with S-Shaped Law of Motion

U of Copenhagen, Economics Discussion Paper No. 02-13
Number of pages: 16 Posted: 03 Dec 2002
Working Paper Series
Klaus Reiner Schenk-Hoppé
University of Manchester - Department of Economics
Downloads 272
48.

Speculation and Financial Wealth Distribution Under Belief Heterogeneity

Economic Journal Forthcoming
Number of pages: 64 Posted: 02 Sep 2015 Last Revised: 27 Aug 2017
Working Paper Series
Dan Cao
Georgetown University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 265
49.

Dynamic Supernetworks for the Integration of Social Networks and Supply Chains with Electronic Commerce: Modeling and Analysis of Buyer-Seller Relationships with Computations

Number of pages: 47 Posted: 13 Jul 2004
Working Paper Series
Tina Wakolbinger and Anna Nagurney
Eugene M. Isenberg School of Management - Department of Finance & Operations Management and University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management
Downloads 263
50.

Verifiability and Group Formation in Markets

Number of pages: 68 Posted: 21 Sep 2015
Working Paper Series
Suzanne Scotchmer and Chris Shannon
University of California - Department of Economics (Deceased) and University of California, Berkeley - Department of Economics
Downloads 262