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JEL Code: G11

8,114,104 Total downloads

Viewing: 1 - 50 of 17,383 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 253,474
2.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 75,068
3.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 66,774
4.

Pulling the Goalie: Hockey and Investment Implications

Number of pages: 13 Posted: 08 Mar 2018 Last Revised: 08 Oct 2018
Working Paper Series
AQR Capital Management, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 56,863
5.

The Best Strategies for Inflationary Times

Number of pages: 32 Posted: 29 Mar 2021 Last Revised: 25 May 2021
Working Paper Series
Man Group, Man Group, affiliation not provided to SSRN, Duke University - Fuqua School of Business and Man AHL
Downloads 37,694
6.

Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37 Posted: 19 Apr 2012 Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads 37,415
7.

An Analysis of the Financial Crisis of 2008: Causes and Solutions

Number of pages: 28 Posted: 04 Nov 2008 Last Revised: 16 Dec 2008
Working Paper Series
Oakland University - School of Business Administration
Downloads 33,664
8.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 33,542
9.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 31,969
10.

Deep Reinforcement Learning for Portfolio Allocation

Risk Magazine Global Quant Network 2021
Number of pages: 26 Posted: 12 Aug 2021
Accepted Paper Series
Societe Generale and Université Paris Dauphine
Downloads 27,973
11.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition

Number of pages: 114 Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads 27,698
12.

Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code

Number of pages: 281 Posted: 11 Aug 2009 Last Revised: 08 Mar 2016
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 27,635
13.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads 26,891
14.

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 26,741
15.

The Black-Litterman Model in Detail

Number of pages: 65 Posted: 28 Jan 2009 Last Revised: 23 Jun 2014
Working Paper Series
blacklitterman.orgBoston University - Metropolitan College - Department of Computer Science
Downloads 26,537
16.

A Survey of Behavioral Finance

Number of pages: 77 Posted: 04 Oct 2002
Working Paper Series
National Bureau of Economic Research (NBER)Yale School of Management and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 24,507
17.

The Black-Litterman Approach: Original Model and Extensions

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17 Posted: 08 Apr 2008 Last Revised: 13 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 24,430
18.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

2016 Charles H. Dow Award Updated Through December 31, 2020
Number of pages: 24 Posted: 07 Mar 2016 Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 22,836
19.

Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Founders Award Winner Updated Through November 30, 2020
Number of pages: 20 Posted: 11 May 2015 Last Revised: 14 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 21,400
20.

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

Number of pages: 20 Posted: 15 May 2009 Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 19,604
21.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner Updated Through October 31, 2020
Number of pages: 18 Posted: 31 Mar 2014 Last Revised: 11 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 19,603
22.

Risk Management Lessons from Long-Term Capital Management

Number of pages: 27 Posted: 02 Aug 1999
Working Paper Series
University of California, Irvine - Paul Merage School of Business
Downloads 19,180
23.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads 18,882
24.

Value Investing: Investing for Grown Ups?

Number of pages: 79 Posted: 20 Apr 2012 Last Revised: 27 Jun 2012
Working Paper Series
New York University - Stern School of Business
Downloads 18,432
25.

Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Number of pages: 51 Posted: 26 Sep 2005 Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 18,210
26.

Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes

Number of pages: 33 Posted: 20 May 2019 Last Revised: 20 May 2019
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management, Independent and Rabobank

Multiple version iconThere are 2 versions of this paper

Downloads 17,766
27.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 17,579
28.

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 17,537
29.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 16,985
30.

Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010
Number of pages: 5 Posted: 09 Apr 2010 Last Revised: 15 Nov 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 16,175
31.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 15,965
32.

Managing Diversification

Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper
Number of pages: 23 Posted: 13 Mar 2009 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 15,108
33.

Safe Withdrawal Rates: A Guide for Early Retirees

Number of pages: 47 Posted: 11 Mar 2017
Working Paper Series
Independent
Downloads 14,687
34.

'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance

GARP Risk Professional, pp. 47-50, February 2011
Number of pages: 8 Posted: 23 Jan 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 14,597
35.

Fully Flexible Views: Theory and Practice

Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Number of pages: 26 Posted: 10 Aug 2008 Last Revised: 06 Dec 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 14,341
36.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 14,122
37.

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 14,098
38.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 14,012
39.

The Behavior of Individual Investors

Number of pages: 54 Posted: 27 Jun 2011 Last Revised: 06 Jan 2012
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business
Downloads 13,837
40.

Valuing ESG: Doing Good or Sounding Good?

NYU Stern School of Business
Number of pages: 29 Posted: 19 Mar 2020
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads 13,611
41.

What is the Riskfree Rate? A Search for the Basic Building Block

Number of pages: 33 Posted: 18 Dec 2008 Last Revised: 01 Jul 2009
Working Paper Series
New York University - Stern School of Business
Downloads 13,577
42.

Buffett's Alpha

Financial Analysts Journal, 2018, 74 (4): 35-55
Number of pages: 34 Posted: 30 Jun 2018 Last Revised: 10 Jan 2019
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 13,082
43.

Global Factor Premiums

Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69 Posted: 06 Feb 2019 Last Revised: 24 Nov 2021
Accepted Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 12,969
44.

A Simplified Perspective of the Markowitz Portfolio Theory

Global Journal of Business Research, v. 7 (1) pp. 59-70, 2013
Number of pages: 12 Posted: 29 Jan 2013
Accepted Paper Series
Swiss Management Centre University (Switzerland)
Downloads 12,870
45.

Adaptive Asset Allocation: A Primer

Number of pages: 32 Posted: 21 Sep 2013 Last Revised: 05 Apr 2016
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Independent
Downloads 12,772
46.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 12,563
47.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49 Posted: 02 Sep 2012 Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads 12,199
48.

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 12,155
49.

Attention Induced Trading and Returns: Evidence from Robinhood Users

Journal of Finance, Forthcoming
Number of pages: 73 Posted: 23 Oct 2020 Last Revised: 13 Oct 2021
Accepted Paper Series
University of California, Davis, Washington University in St. Louis - Olin Business School, University of California, Berkeley - Haas School of Business and University of California at Irvine
Downloads 12,078
50.

Fact, Fiction, and Value Investing

Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1
Number of pages: 31 Posted: 05 Jul 2017 Last Revised: 07 Jul 2017
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 11,701