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Econometric Modeling: Capital Markets - Portfolio Theory eJournal
508,743 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,112
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1 2 3 4 ... 43 | Next >
   

Incl. Electronic Paper Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment
Maxime Bonelli and Mireille Bossy
INRIA and Institut National de Recherche en Informatique et Automatique (INRIA)
Date Posted: April 29, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Alternative Risk Premia: What Do We Know?
Thierry Roncalli
Amundi Asset Management
Date Posted: April 29, 2017
Working Paper Series
17 downloads

Yale's Endowment Returns: Manager Skill or Risk Exposure?
The Journal of Wealth Management, Vol. 13, No. 1, Summer 2010
Peter Mladina and Jeffery Coyle
Northern Trust and Waterline Partners, LLC
Date Posted: April 27, 2017
Accepted Paper Series

Dynamic Asset Allocation with Horizon Risk: Revisiting Glide Path Construction
The Journal of Wealth Management, Vol. 16, No. 4, Spring 2014
Peter Mladina
Northern Trust
Date Posted: April 27, 2017
Accepted Paper Series

Incl. Electronic Paper The 60/40 Problem: Examining the Traditional 60/40 Portfolio in an Uncertain Rate Environment
Jon Robinson and Brandon Langley
Blueprint Investment Partners LLC and Blueprint Investment Partners
Date Posted: April 27, 2017
Working Paper Series
6 downloads

Illuminating Hedge Fund Returns to Improve Portfolio Construction
The Journal of Portfolio Management, 2015
Peter Mladina
Northern Trust
Date Posted: April 26, 2017
Accepted Paper Series

Portfolio Implications of Triple Net Returns
The Journal of Wealth Management, 2011
Peter Mladina
Northern Trust
Date Posted: April 26, 2017
Accepted Paper Series

Incl. Electronic Paper Constructing an Index of Persian Rug Prices
Andrew Clare
City University London - Sir John Cass Business School
Date Posted: April 26, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper The Systematic Risk of Short-Sale Restrictions
Gevorg Hunanyan
University of Kaiserslautern
Date Posted: April 26, 2017
Working Paper Series
11 downloads

Do Opinions on Financial Misstatement Firms Affect Analysts' Reputation with Investors? Evidence from Reputational Spillovers
Journal of Accounting Research, Volume 54, Issue 4, Pages 1111–1148, September 2016,
Lian Fen Lee and Alvis K. Lo
Boston College - Carroll School of Management and Boston College
Date Posted: April 26, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Choices in Equity Finance a Global Perspective
CEPR Discussion Paper No. DP11987
Moqi Groen-Xu, Massimo Massa, Virginie Mataigne and Theo Vermaelen
London School of Economics & Political Science (LSE), INSEAD - Finance, Ghent University-Universiteit Gent - Department of Accountancy and Corporate Finance and INSEAD - Finance
Date Posted: April 25, 2017
Working Paper Series

Incl. Fee Electronic Paper Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns
CEPR Discussion Paper No. DP11983
Philippe Bacchetta and Eric van Wincoop
University of Lausanne and University of Virginia - Department of Economics
Date Posted: April 25, 2017
Working Paper Series

Incl. Fee Electronic Paper The Unexpected Activeness of Passive Investors: A World-Wide Analysis of ETFs
CEPR Discussion Paper No. DP11988
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Date Posted: April 25, 2017
Working Paper Series

Incl. Electronic Paper Rugby Results and Investor Sentiment in New Zealand
Andrew Holmes-Galloway and Mohammed Khaled
Victoria University of Wellington and Victoria University of Wellington - School of Economics & Finance
Date Posted: April 25, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Gender Diverse Portfolios as New Asset Class
Ming-Tsung Lin and Ser-Huang Poon
De Montfort University and University of Manchester - Manchester Business School
Date Posted: April 25, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Archimedean Copulas: Aggregation, Capital Allocation and Other Applications
Hélène Cossette, Etienne Marceau, Itre Mtalai and Déry Veilleux
Laval University - Faculté des Sciences et Génie, Université Laval / Laval University, Université Laval / Laval University and Université Laval / Laval University
Date Posted: April 25, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Cash Conversion Cycle and Value-Enhancing Operations: Theory and Evidence for a Free Lunch
Journal of Corporate Finance, Forthcoming
Rodrigo M. Zeidan and Offer Moshe Shapir
NYU Shanghai and New York University (NYU) - NYU Shanghai
Date Posted: April 24, 2017
Accepted Paper Series
15 downloads

Incl. Electronic Paper Trading Bull- and Bear-Markets with a Hidden Markov Model.
Chrilly Donninger
Nimzowerkstatt OEG
Date Posted: April 24, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper One Brief Shining Moment(um): Past Momentum Performance and Momentum Reversals
Usman Ali, Kent D. Daniel and David A. Hirshleifer
MIG Capital, Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Date Posted: April 24, 2017
Last Revised: April 25, 2017
Working Paper Series
25 downloads

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
61 downloads

Incl. Electronic Paper Three Theorems on Risk Contributions
Colm A O'Cinneide
QS Investors
Date Posted: April 22, 2017
Last Revised: April 26, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Enhancing Enterprise Value by Trading Options
Dilip B. Madan and Yazid Sharaiha
University of Maryland - Robert H. Smith School of Business and Norges Bank Investment Management (NBIM)
Date Posted: April 22, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Do Mutual Funds Consider Tax Avoiding Firms Too Risky?
Thomas William Doellman, Fariz Huseynov, Tareque Nasser and Sabuhi H. Sardarli
Saint Louis University - John Cook School of Business, North Dakota State University - College of Business, Kansas State University and Kansas State University - Department of Finance
Date Posted: April 21, 2017
Working Paper Series
16 downloads

Incl. Fee Electronic Paper Pipeline Risk in Leveraged Loan Syndication
CEPR Discussion Paper No. DP11956
Max Bruche, Frederic Malherbe and Ralf R. Meisenzahl
Cass Business School, City University London, London Business School and Federal Reserve Board
Date Posted: April 21, 2017
Working Paper Series
1 downloads

Incl. Fee Electronic Paper Time-Varying Beta and the Global Financial Crisis: Evidence from Chinese and Indian Firms
Journal of Risk, Vol. 19, No. S1
Jihed Majdoub, Ines Ben Bouhouch and Ben Sassi Salim II
Tunis El Manar University, University of Tunis and University of Tunis
Date Posted: April 20, 2017
Accepted Paper Series

Incl. Electronic Paper Reply to 'Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered'''
Richard O. Michaud, Robert Michaud and David Esch
New Frontier Advisors, Independent and Independent
Date Posted: April 20, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Fire Sales, Indirect Contagion and Systemic Stress Testing
Norges Bank Working Paper 02/2017
Rama Cont and Eric Finn Schaanning
Imperial College London and Imperial College London
Date Posted: April 20, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Pairs Trading Under Drift Uncertainty and Risk Penalization
Sühan Altay, Katia Colaneri and Zehra Eksi
Vienna University of Technology - Financial and Actuarial Mathematics Research Group, University of Perugia, Department of Economics and Vienna University of Economics and Business, Institute for Statistics and Mathematics
Date Posted: April 20, 2017
Working Paper Series
71 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
27 downloads

Incl. Electronic Paper A Fuzzy Approach for Expert Evaluation of Investment Portfolios
Economic Horizons Journal, Volume 13, Issue 2, p. 5-23, 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
20 downloads

Predictive Power of Brazilian Equity Fund Performance Using R2 as a Measure of Selectivity
Accounting & Finance Review, Vol. 28, No. 74, p. 282–296, 2017,
Marcelo S Guzella and Carlos Heitor Campani
University of Sao Paulo (USP) and The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ)
Date Posted: April 20, 2017
Accepted Paper Series

Incl. Electronic Paper Equity Issues When in Distress
Mark D. Walker and Qingqing Wu
North Carolina State University and North Carolina State University
Date Posted: April 20, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Worth the Wait? Delay in CEO Succession after Unexpected CEO Departures
Mia L. Rivolta
Xavier University
Date Posted: April 20, 2017
Last Revised: April 21, 2017
Working Paper Series
12 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
7 downloads

Incl. Electronic Paper Endogenous/Exogenous Segmentation in the A-Irb Framework and the Pro-Cyclicality of Capital: An Application to Mortgage Portfolios
FRB of Philadelphia Working Paper No. 17-9
José J. Canals-Cerda
Federal Reserve Bank of Philadelphia
Date Posted: April 20, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Asset Owner Case Study: Understand Factor Traps Using Machine Learning (Presentation Slides)
Tony Guida
Université de Savoie - Finance and Banking
Date Posted: April 20, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Thinking About Theta: An Analysis of Time Decay, Early Unwind and Closeout Feedback Effects
Anthony J. Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Peregrine Securities
Date Posted: April 19, 2017
Working Paper Series
26 downloads

IPOs' Signalling Effects for Speculative Stock Detection: Evidence from the Stock Exchange of Thailand
Applied Economics, Volume 49, Issue 31, 2017
Kulabutr Komenkul, Mo Sherif and Bing Xu
Rangsit University, Heriot-Watt University - Department of Accountancy and Finance and Heriot-Watt University
Date Posted: April 19, 2017
Working Paper Series

Illiquidity Premium and Expected Stock Returns in the UK: A New Approach
Physica A: Statistical Mechanics and its Applications, Volume 458, Pages 52–66, September 2016,
Jiaqi Chen and Mo Sherif
Heriot-Watt University - Department of Accountancy, Economics and Finance and Heriot-Watt University - Department of Accountancy and Finance
Date Posted: April 19, 2017
Working Paper Series

Ethical Dow Jones Indexes and Investment Performance: International Evidence
Investment Management and Financial Innovations, Volume 13, Issue 2, 2016
Mo Sherif
Heriot-Watt University - Department of Accountancy and Finance
Date Posted: April 19, 2017
Working Paper Series

Incl. Electronic Paper Anomalous Deal Return Capture: A Cross-Sectional Study of Three Hypothetical Global Merger Risk Arbitrage Portfolios 2000-2016
Daniel Michael McCarron
Morgan Stanley & Co.
Date Posted: April 18, 2017
Last Revised: April 29, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Trading Fees and Intermarket Competition
BAFFI CAREFIN Centre Research Paper No. 2017-51
Marios A. Panayides, Barbara Rindi and Ingrid M. Werner
University of Pittsburgh - Katz Graduate School of Business, Bocconi University and IGIER and CAREFIN and The Ohio State University - Fisher College of Business
Date Posted: April 18, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Defined Benefit Plans vs. Defined Contribution Plans: An Evaluation Framework Using Random Returns
V. Sivarama Krishnan, Julie Cumbie and Randal D Ice
University of Central Oklahoma - College of Business, University of Central Oklahoma and University of Central Oklahoma
Date Posted: April 18, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Risk Management with Weighted VaR
Pengyu Wei
University of Oxford - Mathematical Institute
Date Posted: April 17, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Rise of the Machines: Emerging Antitrust Issues Relating to Algorithm Bias and Automation
The Civil Practice & Procedure Committee’s Young Lawyers Advisory Panel: Perspectives in Antitrust, Volume 5, Number 3, February 2017,
Sheng Li and Claire (Chunying) Xie
NERA Economic Consulting and NERA Economic Consulting
Date Posted: April 15, 2017
Working Paper Series
29 downloads

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
74 downloads

Incl. Electronic Paper Algorithmic Trading in Limit Order Books for Online Portfolio Selection
Youngmin Ha
University of Glasgow - Adam Smith Business School
Date Posted: April 14, 2017
Working Paper Series
86 downloads

Incl. Fee Electronic Paper Health State Transitions and Longevity Effects on Retirees’ Optimal Annuitization
Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 319-343, 2017
Jing Ai, Patrick L. Brockett, Linda L. Golden and Wei Zhu
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business and University of International Business and Economics (UIBE)
Date Posted: April 14, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Hedging Longevity Risk in Life Settlements Using Biomedical Research‐Backed Obligations
Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 439-458, 2017
Richard D. MacMinn and Nan Zhu
National Chengchi University and Pennsylvania State University - Smeal College of Business
Date Posted: April 14, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Pension Risk Management in the Enterprise Risk Management Framework
Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 345-365, 2017
Yijia Lin, Richard D. MacMinn, Ruilin Tian and Jifeng Yu
University of Nebraska at Lincoln, National Chengchi University, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska at Lincoln
Date Posted: April 14, 2017
Accepted Paper Series
1 downloads


 

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