SSRN JEL Code: C62

1.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015

Working Paper Series

Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu

Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University

Downloads 1,660

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 1,590

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

Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Downloads 1,497

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 1,338

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 1,130

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 777

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 760

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

There are 2 versions of this paper

Downloads 693

9.

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 660

10.

BKK the EZ Way: International Long-Run Growth News and Capital Flows

Number of pages: 75 Posted: 18 Nov 2012 Last Revised: 10 Mar 2017

Working Paper Series

Riccardo Colacito, Mariano Massimiliano Croce, Steven Wei Ho and Philip Howard

University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Wake Forest University - School of Business

Downloads 653

11.

Portfolio Generating Functions

Number of pages: 20 Posted: 19 Nov 1998

Working Paper Series

E. Robert Fernholz

Enhanced Investment Technologies, Inc. (INTECH)

Downloads 626

12.

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

Université d'Évry - Departement de Mathematiques and University of California, Berkeley - Department of Economics

Downloads 590

13.

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

Riccardo Colacito and Mariano Massimiliano Croce

University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School

There are 2 versions of this paper

Downloads 543

14.

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 533

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

Riccardo Colacito and Mariano Massimiliano Croce

University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School

There are 2 versions of this paper

Downloads 492

16.

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 - Strategy & Business Policy and University of Waterloo - Department of Management Sciences

Downloads 419

17.

Currency Risk Factors in a Recursive Multi-Country Economy

INSEAD Working Paper No. 2015/40/FIN, Simon Business School Working Paper No. FR 15-10

Number of pages: 77 Posted: 24 Dec 2014 Last Revised: 16 May 2017

Working Paper Series

Riccardo Colacito, Mariano Massimiliano Croce, Federico Gavazzoni and Robert C. Ready

University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, INSEAD and University of Rochester - Simon Business School

Downloads 412

18.

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 380

19.

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 370

20.

The Term Structures of Co-Entropy 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: 77 Posted: 24 Oct 2013 Last Revised: 31 Jan 2017

Working Paper Series

Fousseni Chabi-Yo and Riccardo Colacito

University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School

Downloads 367

21.

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 Pampa (Unipampa - Campus Alegrete), 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 355

22.

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 352

23.

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: 05 Jun 2011

Accepted Paper Series

Juan Gabriel Brida and Juan Sebastián Pereyra

Universidad de la República and Universidad de la República - Facultad de Ciencias Económicas

Downloads 352

24.

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 350

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 338

26.

Equity Portfolios Generated by Functions of Ranked Market Weights

Number of pages: 17 Posted: 15 Jan 1999

Working Paper Series

E. Robert Fernholz

Enhanced Investment Technologies, Inc. (INTECH)

There are 2 versions of this paper

Downloads 334

27.

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

Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management

Downloads 326

28.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012

Working Paper Series

Riccardo Colacito and Mariano Massimiliano Croce

University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School

Downloads 326

29.

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 311

30.

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

Number of pages: 58 Posted: 23 Jul 2010 Last Revised: 30 May 2017

Working Paper Series

Riccardo Colacito, Mariano Massimiliano Croce and Zhao Liu

University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School and Duke University, Department of Economics, Students

Downloads 310

31.

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 309

32.

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 300

33.

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 293

34.

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 289

35.

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 - Cowles Foundation

Downloads 289

36.

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 271

37.

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

Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management

Downloads 271

38.

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 269

39.

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 257

40.

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

Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University

Downloads 253

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 245

42.

Dynamics of International Financial Networks with Risk Management

Number of pages: 43 Posted: 28 Sep 2003

Working Paper Series

Anna Nagurney and José M. Cruz

University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management and University of Massachusetts at Amherst

Downloads 237

43.

Inequality, Social Discounting, and Estate Taxation

MIT Department of Economics Working Paper No. 05-13

Number of pages: 42 Posted: 29 Apr 2005

Working Paper Series

Emmanuel Farhi and Iván Werning

Harvard University - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics

There are 2 versions of this paper

Downloads 235

44.

On the Indeterminacy of New-Keynesian Economics

ECB Working Paper No. 323

Number of pages: 51 Posted: 16 May 2004

Working Paper Series

Andreas Beyer and Roger E. A. Farmer

European Central Bank (ECB) and University of California, Los Angeles (UCLA) - Department of Economics

Downloads 228

45.

Single Crossing Properties And The Existence Of Pure Strategy Equilibria In Games Of Incomplete Information

MIT Dept. of Economics Working Paper No. 97-11

Number of pages: 51 Posted: 02 Dec 1998

Working Paper Series

Susan Athey

Stanford Graduate School of Business

Downloads 228

46.

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Operations Research, Forthcoming, Swiss Finance Institute Research Paper No. 14-63

Number of pages: 22 Posted: 01 Nov 2014 Last Revised: 18 Jan 2016

Accepted Paper Series

Hamed Amini, Damir Filipović and Andreea Minca

Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Downloads 222

47.

The Solow Model With Logistic Manpower: A Stability Analysis

Journal of World Economics Review, Vol. 3, No. 2, pp. 161-166, 2008

Number of pages: 7 Posted: 24 Aug 2005 Last Revised: 05 Jun 2011

Accepted Paper Series

Daniele Ritelli, Giovanni Mingari Scarpello and Juan Gabriel Brida

University of Bologna - Department of Mathematics for Economic and Social Sciences, Free University of Bozen-Bolzano and Universidad de la República

Downloads 217

48.

Inequality, Growth and the Environment: A Steady-State Analysis of the Kuznets Curve and the Environmental Kuznets Curve

U of Siena Dept. of Economics Working Paper No. 290

Number of pages: 29 Posted: 09 Aug 2000

Working Paper Series

Simone Borghesi

University of Siena - Dept. Government, Law and Economics

Downloads 215

49.

Statics and Dynamics of Global Supply Chain Networks with Environmental Decision-Making

Number of pages: 43 Posted: 30 Dec 2003

Working Paper Series

Anna Nagurney, José M. Cruz and Fuminori Toyasaki

University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management, University of Massachusetts at Amherst and Eugene M. Isenberg School of Management - Department of Finance & Operations Management

Downloads 215

50.

Chaos and Bifurcation in 2007-08 Financial Crisis

Number of pages: 21 Posted: 13 Dec 2009 Last Revised: 08 Oct 2010

Working Paper Series

Youngna Choi and Raphael Douady

Montclair State University - Department of Mathematical Sciences and Riskdata

Downloads 210

Quick Links

Rankings

About