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Econometric Modeling: Capital Markets - Portfolio Theory eJournal

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Viewing: 1 - 50 of 2,835 papers

1.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads 20,502
2.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Texas A&M University, Department of Finance and University of Oklahoma
Downloads 16,850
3.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 12,349
4.

Reducing Retirement Risk with a Rising Equity Glide-Path

Number of pages: 19 Posted: 13 Sep 2013
Working Paper Series
The American College and The Kitces Report & Nerd's Eye View
Downloads 10,438
5.

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 9,337
6.

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), AQR Capital Management, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 8,963
7.

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
AQR Capital Management, LLC
Downloads 8,204
8.

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 6,450
9.

Performance v. Turnover: A Story by 4,000 Alphas

The Journal of Investment Strategies 5(2) (2016) 75-89, Invited Investment Strategy Forum Paper
Number of pages: 17 Posted: 10 Sep 2015 Last Revised: 22 Mar 2016
Accepted Paper Series
Quantigic Solutions LLC and WorldQuant LLC
Downloads 6,421
10.

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 6,119
11.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 6,077
12.

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 6,059
13.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 15 Mar 2018
Working Paper Series
University of Chicago Law School, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,026
14.

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 6,019
15.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Working Paper Series
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads 5,788
16.

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 5,669
17.

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, FinScience and Fundvisory
Downloads 5,628
18.

Sharpening the Arithmetic of Active Management

Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23 Posted: 07 Oct 2016 Last Revised: 23 Feb 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 5,243
19.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 4,898
20.

Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold

Number of pages: 29 Posted: 19 Dec 2006 Last Revised: 01 Sep 2015
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 4,213
21.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and Robeco Asset Management
Downloads 4,148
22.

A Practical Guide to Quantitative Portfolio Trading

Number of pages: 842 Posted: 31 Dec 2014 Last Revised: 19 Nov 2015
Working Paper Series
Université Paris VI Pierre et Marie Curie
Downloads 4,139
23.

On Origins of Alpha

The Hedge Fund Journal 108 (2015) 47-50
Number of pages: 8 Posted: 08 Mar 2015 Last Revised: 05 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads 4,090
24.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads 4,073
25.

Rebalancing Risk

Number of pages: 34 Posted: 30 Aug 2014 Last Revised: 04 Oct 2014
Working Paper Series
Man AHL, Independent, Duke University - Fuqua School of Business, Man AHL and Man - AHL
Downloads 4,060
26.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 3,985
27.

Asset Valuations and Safe Portfolio Withdrawal Rates

Number of pages: 17 Posted: 28 Jun 2013 Last Revised: 01 Jul 2013
Working Paper Series
Morningstar Investment Management, The American College and The American College
Downloads 3,975
28.

Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Wagner Award Winner
Number of pages: 18 Posted: 11 May 2015 Last Revised: 03 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,886
29.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 3,820
30.

Patient Capital Outperformance: The Investment Skill of High Active Share Managers Who Trade Infrequently

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 70 Posted: 21 Sep 2014 Last Revised: 21 Jul 2016
Accepted Paper Series
University of Notre Dame and Rutgers University
Downloads 3,757
31.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,741
32.

Heterotic Risk Models

Wilmott Magazine 2015(80) (2015) 40-55
Number of pages: 41 Posted: 30 Apr 2015 Last Revised: 25 Jan 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,688
33.

Optimal Portfolios for the Long Run

Number of pages: 26 Posted: 06 Sep 2013 Last Revised: 05 Feb 2014
Working Paper Series
Morningstar Investment Management, The American College and The American College
Downloads 3,471
34.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Number of pages: 28 Posted: 05 Jan 2013
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 3,438
35.

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 3,378
36.

Liquid-Claim Production, Risk Management, and Bank Capital Structure: Why High Leverage is Optimal for Banks

Charles A. Dice Center Working Paper No. 2013-8, Fisher College of Business Working Paper No. 2013-03-08, ECGI - Finance Working Paper No. 356
Number of pages: 45 Posted: 23 Apr 2013 Last Revised: 18 Oct 2014
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,262
37.

Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

Number of pages: 33 Posted: 11 Jan 2016 Last Revised: 14 Aug 2016
Working Paper Series
AQR Capital Management, LLC
Downloads 3,113
38.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 3,011
39.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,980
40.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 2,880
41.

The Market Portfolio is NOT Efficient: Evidences, Consequences and Easy to Avoid Errors

Number of pages: 23 Posted: 06 Mar 2016 Last Revised: 18 Oct 2017
Working Paper Series
University of Navarra - IESE Business School, ISE Business School and University of Navarra, IESE Business School
Downloads 2,825
42.

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
Working Paper Series
Robeco Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies
Downloads 2,720
43.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,651
44.

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

The Journal of Prediction Markets 10 (1), 1-29, 2016
Number of pages: 29 Posted: 09 Sep 2013 Last Revised: 04 Oct 2016
Accepted Paper Series
Microsoft Research - NYC and Columbia University, Barnard College - Department of Economics
Downloads 2,643
45.

Can Microfinance Reduce Portfolio Volatility?

Number of pages: 33 Posted: 10 Nov 2006 Last Revised: 04 Jan 2014
Working Paper Series
New York University - Leonard N. Stern School of Business and New York University (NYU) - Wilf Family Department of Politics

Multiple version iconThere are 2 versions of this paper

Downloads 2,594
46.

European Private Equity Funds - a Cash Flow Based Performance Analysis

CEFS Working Paper No. 2004-01
Number of pages: 47 Posted: 20 May 2004
Working Paper Series
Technische Universität München (TUM) and affiliation not provided to SSRN
Downloads 2,564
47.

Exchange Traded Funds (ETFs)

Annual Review of Financial Economics, Volume 9, 2017, Forthcoming, Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Number of pages: 35 Posted: 08 Nov 2016 Last Revised: 16 Sep 2017
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,520
48.

Notes on Alpha Stream Optimization

The Journal of Investment Strategies 4(3) (2015) 37-81
Number of pages: 42 Posted: 06 Jun 2014 Last Revised: 26 Jun 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads 2,492
49.

Dynamic Risk Allocation with Carry, Value and Momentum

An amended version is in Journal of Investment Strategies, Vol.6(1), 2016, pp.25-45
Number of pages: 55 Posted: 22 Nov 2013 Last Revised: 15 Dec 2016
Accepted Paper Series
ADG Capital Management LLP and ADG Capital Management LLP
Downloads 2,461
50.

Decoding Stock Market with Quant Alphas

Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20 Posted: 10 May 2017 Last Revised: 09 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,415