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Advanced Risk & Portfolio Management® Research Paper Series

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The Advanced Risk and Portfolio Management® Research Paper Series has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. Areas of emphasis include
  • Asset allocation: portfolio construction, optimization, robustness, tactical allocation, asset & liability management, dynamic strategies, alternative alpha/exotic beta, index construction, risk budgeting, hedging, risk & performance attribution
  • Liquidity: market impact, optimal execution, algorithmic trading
  • Risk management: VaR and risk measures, diversification, market risk, credit risk, counterparty risk, operational risk, drawdown control
  • Model construction: estimation and forecasting, factor models, copulas, simulations, trees, lattices
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Viewing: 1 - 50 of 2,017 papers

1.

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 23,525
2.

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 19,311
3.

Where the Black Swans Hide & the 10 Best Days Myth

Cambria – Quantitative Research Monthly, August 2011,
Number of pages: 17 Posted: 14 Aug 2011
Accepted Paper Series
Cambria Investment Management
Downloads 17,365
4.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads 16,839
5.

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 16,645
6.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads 12,583
7.

‘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 12,178
8.

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 11,338
9.

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 11,299
10.

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 10,823
11.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 10,572
12.

'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 9,895
13.

Review of Discrete and Continuous Processes in Finance: Theory and Applications

Number of pages: 33 Posted: 05 Apr 2009 Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 9,880
14.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

Multiple version iconThere are 3 versions of this paper

Downloads 9,583
15.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 9,273
16.

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 - Olin School of Business
Downloads 8,685
17.

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 8,328
18.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,224
19.

The Siren Song of Factor Timing

Journal of Portfolio Management, Vol. Special Issue, No. 1, 2016
Number of pages: 9 Posted: 18 Apr 2016 Last Revised: 23 Jun 2016
Working Paper Series
AQR Capital Management, LLC
Downloads 8,151
20.

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 SOM
Downloads 8,112
21.

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Risk, Vol. 23, No.7, p. 84-89
Number of pages: 28 Posted: 08 Mar 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 8,073
22.

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

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 7,474
23.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 7,131
24.

Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets

Number of pages: 15 Posted: 29 Dec 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 6,759
25.

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: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 6,659
26.

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 6,626
27.

A Short, Comprehensive, Practical Guide to Copulas

GARP Risk Professional, p. 22-27, October 2011
Number of pages: 12 Posted: 09 Sep 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 6,054
28.

My Factor Philippic

Number of pages: 30 Posted: 25 Jun 2016 Last Revised: 15 Jul 2016
Working Paper Series
AQR Capital Management, LLC
Downloads 5,974
29.

The Global Multi-Asset Market Portfolio 1959-2012

Financial Analysts Journal, Forthcoming
Number of pages: 32 Posted: 12 Nov 2013 Last Revised: 03 Dec 2014
Accepted Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 5,917
30.

Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile

Quantitative Finance, Forthcoming
Number of pages: 5 Posted: 18 Dec 2013 Last Revised: 15 Feb 2014
Accepted Paper Series
NYU-Tandon School of Engineering
Downloads 5,757
31.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 18 Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,730
32.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads 5,725
33.

Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011

Number of pages: 22 Posted: 03 Nov 2012
Working Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 5,718
34.

Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 5,664
35.

Time Series Momentum

Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62 Posted: 23 Jun 2012
Working Paper Series
Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,460
36.

Momentum Has Its Moments

Journal of Financial Economics (JFE), vol. 116, Issue 1, 2015, 111-120
Number of pages: 39 Posted: 18 Apr 2012 Last Revised: 20 Nov 2015
Accepted Paper Series
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 5,431
37.

Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors

Number of pages: 11 Posted: 10 Aug 2008 Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,397
38.

Behavioral Portfolio Management

Journal of Behavioral Finance & Economics, Forthcoming
Number of pages: 37 Posted: 02 Feb 2013 Last Revised: 03 Feb 2015
Accepted Paper Series
University of Denver - Daniels College of Business
Downloads 5,030
39.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Working Paper Series
ARPM - Advanced Risk and Portfolio Management, affiliation not provided to SSRN and Fundvisory
Downloads 4,891
40.

Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids

GARP Risk Professional, pp. 52-53, February 2010
Number of pages: 4 Posted: 04 Feb 2010 Last Revised: 14 May 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,668
41.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 4,591
42.

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
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,571
43.

Mean-Variance Investing

Columbia Business School Research Paper No. 12/49
Number of pages: 62 Posted: 19 Aug 2012
Working Paper Series
BlackRock, Inc
Downloads 4,538
44.

Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management

Number of pages: 24 Posted: 23 Sep 2010 Last Revised: 12 Feb 2013
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,493
45.

Is Portfolio Theory Harming Your Portfolio?

Number of pages: 14 Posted: 15 May 2011 Last Revised: 10 Jun 2011
Working Paper Series
Green River Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,469
46.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,464
47.

All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms

Number of pages: 19 Posted: 09 Apr 2016
Working Paper Series
Quantopian Inc, Quantopian Inc., Quantopian Inc and Quantopian Inc
Downloads 4,459
48.

What if 8% is Really 0%? Pension Funds Investing with Fingers-Crossed and Eyes Closed

Cambria Quantitative Research Monthly, Issue 2, June 2011
Number of pages: 9 Posted: 13 Jun 2011 Last Revised: 20 Jun 2011
Accepted Paper Series
Cambria Investment Management
Downloads 4,401
49.

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics

Multiple version iconThere are 2 versions of this paper

Downloads 4,395
50.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 4,392