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Advanced Risk & Portfolio Management® Research Paper Series
1,091,818 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Advanced Risk & Portfolio Management® Logo

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
Showing Papers 1 - 50 of 1,960
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1 2 3 4 ... 40 | Next >
   

Incl. Electronic Paper Credit Market Freezes
Efraim Benmelech and Nittai Bergman
Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: June 22, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Distance and Beyond. What Drives Financial Flows to Emerging Economies?
Eleonora Cavallaro and Eleonora Cutrini
Sapienza Univeristy of Rome and University of Macerata
Date Posted: June 22, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Simulation of a Limit Order Driven Market
Julian Lorenz and Joerg Osterrieder
Independent and Zurich University of Applied Sciences
Date Posted: June 13, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR
Jackie Shen
Goldman Sachs, USA
Date Posted: June 13, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading Volume
Yu, Geungu, Phillip Fuller and Patricia A. Freeman. “The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading Volume.” Southwestern Economic Review (Spring 2015):125-34.,
Geungu Yu, Phillip Fuller and Patricia A Freeman
Jackson State University, Jackson State University and Jackson State University
Date Posted: June 13, 2017
Accepted Paper Series
10 downloads

Incl. Electronic Paper Modeling the Short Rate as a Levy Process and Option Pricing with the FFT
Roy Zywina
TD Bank
Date Posted: June 12, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Can Reinvestment Risk Explain the Dividend and Bond Term Structures?
Charles A. Dice Center Working Paper No. 2017-14, Fisher College of Business Working Paper No. 2017-03-014
Andrei S. Gonçalves
Ohio State University (OSU), Fisher College of Business, Department of Finance
Date Posted: June 06, 2017
Working Paper Series
80 downloads

Incl. Electronic Paper Which Matters: Demand of Bond or Supply of Bond?
Wenzhi Wang
Boston College, Department of Finance
Date Posted: June 05, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Historical Returns of the Market Portfolio
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Date Posted: June 02, 2017
Working Paper Series
1198 downloads

Incl. Electronic Paper The Impact of Yield Slope on Stock Performance
Yu, Geungu, Phillip Fuller and Dal Didia. “The Impact of Yield Slope on Stock Performance” Southwestern Economic Review (Spring 2013) 40 (1): 1-10.,
Geungu Yu, Phillip Fuller and Dal O. Didia
Jackson State University, Jackson State University and Jackson State University
Date Posted: June 01, 2017
Accepted Paper Series
31 downloads

Incl. Electronic Paper Using a Modified Dividend Discount Model for Stock Market Games
Yu, Geungu, Jean-Claude Assad, and Phillip Fuller. “Using A Modified Dividend Discount Model For Stock Market Games.” Southwestern Economic Review, (Spring 2017) 44 (1) :29-42 ,
Geungu Yu, Jean-Claude Assad and Phillip Fuller
Jackson State University, Jackson State University - Economics and Finance and Jackson State University
Date Posted: June 01, 2017
Accepted Paper Series
29 downloads

Incl. Electronic Paper Rebalancing for Long Term Investors
Joost Driessen and Ivo Kuiper
Tilburg University - Department of Finance and CentER Tilburg University
Date Posted: June 01, 2017
Working Paper Series
86 downloads

Incl. Electronic Paper Risk Parity with Fractal Model of Risk
Sergey Kamenshchikov and Ilia Drozdov
Moscow State University and Independent
Date Posted: May 31, 2017
Last Revised: June 04, 2017
Working Paper Series
112 downloads

Incl. Electronic Paper Calibration of Discrete Time Short Rate Term Structure Models from Coupon Bond Prices
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Date Posted: May 31, 2017
Last Revised: June 11, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Extracting Latent States from High Frequency Option Prices
Diego Amaya, Jean-François Bégin and Geneviève Gauthier
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Date Posted: May 30, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper Macroeconomic Factors and Foreign Portfolio Investment Volatility: A Case of South Asian Countries
Future Business Journal, Volume 1, Issues 1–2, Pages 65–74, December 2015,
Yahya Waqas, Shujahat Haider Hashmi and Muhammad Imran Nazir
CUST, CUST and Mohammad Ali Jinnah University (MAJU)
Date Posted: May 26, 2017
Accepted Paper Series
56 downloads

Incl. Electronic Paper Portfolio Rho-presentativity
Tristan Froidure, Khalid Jalalzai and Yves Choueifaty
TOBAM, TOBAM and TOBAM
Date Posted: May 25, 2017
Last Revised: May 31, 2017
Working Paper Series
84 downloads

Incl. Electronic Paper Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs
Yaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Michigan at Ann Arbor and University of Trier
Date Posted: May 18, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Asset Correlation, Diversification and the Basel Accord: A Comparative Study
Oliver Blümke
Raiffeisen Bank International
Date Posted: May 18, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Date Posted: May 18, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Optimising Cross-Asset Carry
"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Nick Baltas
Imperial College Business School
Date Posted: May 17, 2017
Accepted Paper Series
246 downloads

Incl. Electronic Paper Efficient Estimation of Distributional Tail Shape and the Extremal Index With Applications to Risk Management
Journal of Mathematical Finance,Vol. 6, pp. 626-659, 2016
Travis Sapp
Iowa State University - Department of Finance
Date Posted: May 16, 2017
Accepted Paper Series
40 downloads

Incl. Electronic Paper Optimal Rényi Entropy Portfolios
Nathan Lassance and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Louvain School of Management, Université catholique de Louvain
Date Posted: May 16, 2017
Last Revised: June 14, 2017
Working Paper Series
53 downloads

Incl. Electronic Paper Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy
Analysis and Computations Journal, Forthcoming
Siyabonga Goodwill Chule
Mathematical Sciences (MS) centre, the African Institute for MS
Date Posted: May 15, 2017
Last Revised: May 22, 2017
Accepted Paper Series
31 downloads

Incl. Electronic Paper Investing for the Long Run
Dietmar Leisen and Eckhard Platen
University of Mainz - Department of Banking and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: May 11, 2017
Working Paper Series
93 downloads

Incl. Electronic Paper News and Social Media Emotions in the Commodity Market
Review of Behavioral Finance, Forthcoming
Jiancheng Shen, Mohammad Najand, Feng Dong and Wu He
Regent University - Finance, Old Dominion University - Finance, Old Dominion University - College of Business & Public Administration and Old Dominion University - College of Business & Public Administration
Date Posted: May 11, 2017
Accepted Paper Series
104 downloads

Incl. Electronic Paper Factors vs. Sectors in Asset Allocation: Stronger Together?
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: May 10, 2017
Working Paper Series
462 downloads

Incl. Electronic Paper The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis
Advances in Data Analysis and Classification (2016) 10:351–373 DOI 10.1007/s11634-015-0216-8 ,
Tiziano Bellini
Ernst & Young, UK
Date Posted: May 05, 2017
Accepted Paper Series
24 downloads

Incl. Electronic Paper Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative Study
Oliver Blümke
Raiffeisen Bank International
Date Posted: May 04, 2017
Working Paper Series
47 downloads

A New Government Bond Volatility Index Predictor for the U.S. Equity Premium
Pacific Basin Finance Journal, Forthcoming
Zheyao Pan and Kam Fong Chan
University of Queensland, Business School and University of Queensland - Faculty of Business, Economics and Law
Date Posted: April 29, 2017
Accepted Paper Series

Incl. Electronic Paper Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice
C. Kenneth Jones
PortfolioNetworks.com
Date Posted: April 22, 2017
Working Paper Series
124 downloads

Incl. Electronic Paper Modifying Tail Dependence of Gaussian Copula with CA,B Copula by Distorted Mix Method
Hui Shao, Yuming Wang and Jingping Yang
Peking University - School of Mathematical Sciences, Peking University and Peking University - School of Mathematical Sciences
Date Posted: April 21, 2017
Last Revised: May 24, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper Investment Portfolio Evaluation by Fuzzy Approach
Journal of Competitiveness, Issue 3, p. 13-26, 2011
Maya Lambovska and Angel Marchev Jr.
University of National and World Economy, Department of Management and University of National and World Economy, Sofia
Date Posted: April 20, 2017
Accepted Paper Series
58 downloads

Incl. Electronic Paper Размито оценяване на инвестиционни портфейли (Fuzzy Evaluation of Investment Portfolios)
Bulgarian Journal of Business Research (списание "Бизнес посоки"), issue 1, 2011, p. 25-35,
Maya Lambovska and Angel Marchev Jr.
University of National and World Economy, Department of Management and University of National and World Economy, Sofia
Date Posted: April 20, 2017
Last Revised: April 25, 2017
Accepted Paper Series
15 downloads

Incl. Electronic Paper From Failure to Success: Replacing the Failure Rate
Javier Estrada
IESE Business School
Date Posted: April 19, 2017
Working Paper Series
47 downloads

Managerial Sentiment, Consumer Confidence and Sector Returns
International Review of Financial Analysis, Volume 47, Pages 24–38, October 2016,
Ahmed Salhin, Mo Sherif and Edward A.E. Jones
Heriot Watt University, Heriot-Watt University - Department of Accountancy and Finance and Heriot-Watt University, Edinburgh
Date Posted: April 18, 2017
Accepted Paper Series

Incl. Electronic Paper Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered''
Franziska Becker, Marc Gürtler and Martin Thomas Hibbeln
NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Date Posted: April 14, 2017
Working Paper Series
91 downloads

Incl. Electronic Paper Fast LP Algorithms for Portfolio Optimization
Andrzej Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Date Posted: April 13, 2017
Working Paper Series
101 downloads

Incl. Electronic Paper The Alpha Engine: Designing an Automated Trading Algorithm
High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Anton Golub, James Glattfelder and Richard B. Olsen
Lykke Corp, Department of Banking and Finance, UZH and Lykke Corp
Date Posted: April 12, 2017
Last Revised: May 03, 2017
Working Paper Series
2234 downloads

Incl. Electronic Paper Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility
Dirk Becherer and Klebert Kentia
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Goethe-University Frankfurt am Main - Institute of Mathematics
Date Posted: April 12, 2017
Last Revised: June 11, 2017
Working Paper Series
52 downloads

Volatility Measures as Predictors of Extreme Returns
Review of Financial Economics, Forthcoming
Lorne N. Switzer, Cagdas Tahaoglu and zhao yun
Concordia University, Quebec - Department of Finance, Concordia University, Quebec - Department of Finance and Independent
Date Posted: April 11, 2017
Accepted Paper Series

Incl. Electronic Paper Forecasting a Volatility Tsunami
Andrew Thrasher, CMT
Independent
Date Posted: April 11, 2017
Working Paper Series
3182 downloads

Incl. Electronic Paper Mean-Reverting Statistical Arbitrage in Crude Oil Markets
Viviana Fanelli
University of Bari
Date Posted: April 10, 2017
Working Paper Series
252 downloads

Incl. Electronic Paper Trading Lightly: Cross-Impact and Optimal Portfolio Execution
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Date Posted: April 10, 2017
Working Paper Series
52 downloads

Incl. Electronic Paper A Statistical Analysis of Cryptocurrencies
Joerg Osterrieder, Stephen Chan, Jeffrey Chu and Saralees Nadarajah
Zurich University of Applied Sciences, University of Manchester - School of Mathematics, University of Manchester - School of Mathematics and University of Manchester
Date Posted: April 08, 2017
Working Paper Series
215 downloads

Incl. Electronic Paper Asset Allocation with Correlation: A Composite Trade-Off
European Journal of Operational Research, Forthcoming
Rachael Carroll, Thomas Conlon, John Cotter and Enrique Salvador
Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I
Date Posted: April 08, 2017
Accepted Paper Series
169 downloads

Incl. Electronic Paper Risk-Based Currency Management
Risk & Reward, 2017, 1st issue, pp. 20-24
Martin Kolrep and Harald Lohre
Invesco and Invesco
Date Posted: April 07, 2017
Accepted Paper Series
107 downloads

The Conditional Beta in the CAPM
Fabrizio Di Sciorio
Università di Cassino e del Lazio Meridionale
Date Posted: April 07, 2017
Working Paper Series

Incl. Electronic Paper Optimal Selection of Large Portfolios: Aggregation is Better Than Ignoring the Return Constraint
Gah‐Yi Ban and Christopher J Chen
London Business School and London Business School
Date Posted: April 05, 2017
Working Paper Series
129 downloads

Incl. Electronic Paper The Idiosyncratic Momentum Anomaly
David Blitz, Matthias X. Hanauer and Milan Vidojevic
Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance
Date Posted: April 05, 2017
Working Paper Series
788 downloads


 

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