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Econometric Modeling: Capital Markets - Portfolio Theory eJournal
489,698 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
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A Sharpe Ratio Neutral Prior for Bayesian Portfolio Selection
Roman Andreas Croessmann
Ludwig Maximilian University of Munich - Institute for Finance & Banking
Date Posted: March 24, 2017
Working Paper Series

Incl. Electronic Paper Pathetic Protection: The Elusive Benefits of Protective Puts
Roni Israelov
AQR Capital Management, LLC
Date Posted: March 23, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading
Swiss Finance Institute Research Paper No. 17-10
Thorsten Hens, Terje Lensberg and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance, Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Date Posted: March 23, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Naive Risk Parity Portfolio with Fractal Estimation of Volatility
Ilia Drozdov and Sergey Kamenshchikov
Independent and Moscow State University
Date Posted: March 22, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: March 21, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets
Journal of Futures Markets, Forthcoming
Johan Bjursell, George H. K. Wang and Hui Zheng
Credit Suisse AG, George Mason University - Finance Area and Discipline of Finance, The University of Sydney
Date Posted: March 21, 2017
Accepted Paper Series
31 downloads

Incl. Electronic Paper Margin Calculation of Multi-Leg Option Strategies
Yuanyuan Chen and Duan Li
National University of Singapore (NUS) - Risk Management Institute and Chinese University of Hong Kong
Date Posted: March 20, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Monitoring the Monitor: Distracted Institutional Investors and Board Governance
Claire Yang Liu, Angie Low, Ronald W. Masulis and Le Zhang
University of New South Wales (UNSW), Nanyang Technological University - Division of Banking & Finance, University of New South Wales - Australian School of Business and University of New South Wales (UNSW) - Australian School of Business
Date Posted: March 20, 2017
Last Revised: March 21, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper The Relationship between Age and Income with Financial Planning – An Exploratory Study
Pratibimba – The Journal of IMIS, (Indexed in Proquest) pp7 -16. ISSN: 0972-5466. January- June 2017.,
Leena Dam and Malti Hotwani
Global Business School & Research Centre and Independent
Date Posted: March 20, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Portfolio Pumping in Mutual Fund Families
Pingle Wang
University of Rochester, Simon Business School, Students
Date Posted: March 18, 2017
Working Paper Series
35 downloads

On Unmodeled Breaks in the Turn of the Year, Turn of the Month, and January Effects
Financial Review, Forthcoming
Russell P. Robins and Geoffrey Peter Smith
Tulane University - A.B. Freeman School of Business and Arizona State University (ASU) - W.P. Carey School of Business
Date Posted: March 18, 2017
Accepted Paper Series

Incl. Electronic Paper Closing the Retirement Savings Gap: Are State Automatic Enrollment IRAs the Answer?
George Mason Law Review, Vol. 24, No. 1, 2016-2017
Kathryn L. Moore
University of Kentucky College of Law
Date Posted: March 18, 2017
Accepted Paper Series
4 downloads

The Other Side of Value: The Effect of Quality on Price and Return in Real Estate
Journal of Real Estate Finance and Economics, Vol. 54, No. 3, 2017
Sara Kelly Anzinger, Chinmoy Ghosh and Milena T. Petrova
Independent, University of Connecticut - School of Business and Bocconi University
Date Posted: March 18, 2017
Accepted Paper Series

Incl. Electronic Paper Rentabilidad De Los Fondos De Inversión En España, 2001-2016 (Return of Mutual Funds in Spain, 2001-2016)
Pablo Fernandez, Vitaly Pershin, Pablo Fernandez Acin and Isabel Fernández Acín
University of Navarra - IESE Business School, University of Navarra, IESE Business School, Independent and University of Navarra
Date Posted: March 17, 2017
Working Paper Series
770 downloads

Incl. Electronic Paper Regulating Financial Advice for Retirement – The Recent Australian Reforms
Pamela F Hanrahan
UNSW Business School
Date Posted: March 17, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper The Feller Diffusion, Filter Rules and Abnormal Stock Returns
European Journal of Finance (Forthcoming)
Paul Docherty, Yizhe Dong, Xiaojing Song and Mark J. Tippett
University of Newcastle (Australia), University of Aberdeen - Business School, Lecturer of Accounting & Finance and Loughborough University - Business School
Date Posted: March 17, 2017
Accepted Paper Series
26 downloads

Incl. Electronic Paper Functional Analysis of Cross-Sectional Return on Chinese a Shares
Zhenya Liu, Yuqian Zhao, Ruanmin Cao and Lajos Horváth
Renmin University of China, University of Birmingham - Department of Economics, University of Birmingham - Department of Economics and University of Utah - Department of Mathematics
Date Posted: March 16, 2017
Working Paper Series
25 downloads

Incl. Fee Electronic Paper Picking Funds with Confidence
CEPR Discussion Paper No. DP11896
Niels Groenborg, Asger Lunde, Allan G. Timmermann and Russ Wermers
University of Aarhus, University of Aarhus - School of Economics and Management, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Date Posted: March 16, 2017
Working Paper Series
1 downloads

Incl. Fee Electronic Paper Structural Breaks in Panel Data: Large Number of Panels and Short Length Time Series
CEPR Discussion Paper No. DP11891
Jaromir Antoch, Jan Hanousek, Lajos Horváth, Marie Huaková and Shixuan Wang
Charles University in Prague - Faculty of Mathematics and Physics, CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), University of Utah - Department of Mathematics, Charles University in Prague and University of Birmingham
Date Posted: March 16, 2017
Working Paper Series

Incl. Fee Electronic Paper Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis
CEPR Discussion Paper No. DP11895
Emily Gallagher, Lawrence D. W. Schmidt, Allan G. Timmermann and Russ Wermers
Washington University in Saint Louis - John M. Olin Business School, University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Date Posted: March 16, 2017
Working Paper Series

Incl. Electronic Paper Rational Inattention and Counter-Cyclical Lending Standards
Mike Mariathasan and Sergey Zhuk
KU Leuven- Faculty of Economics & Business and University of Vienna
Date Posted: March 15, 2017
Working Paper Series
6 downloads

International Portfolio Diversification: An Evidence from Developed, Emerging and Frontier Markets
Muhammad Ayaz Khan
Independent
Date Posted: March 15, 2017
Working Paper Series

Incl. Electronic Paper Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions
Ümit Sağlam and Hande Yurttan Benson
East Tennessee State University - Department of Management and Marketing and Drexel University
Date Posted: March 15, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper An Optimal Model for Project Risk Response Portfolio Selection (P2RPS)
Iranian Journal of Management Studies (IJMS) Vol. 9, No. 4, Autumn 2016
Rahman Soofifard and Morteza Khakzar Bafruei
Sharif University of Technology and Sharif University of Technology
Date Posted: March 15, 2017
Accepted Paper Series
6 downloads

Incl. Electronic Paper Benchmark Relative and Absolute Return are the Same Thing* (*Conditions Apply)
Robert B. Scott
Schroder Investment Management Limited
Date Posted: March 12, 2017
Working Paper Series
55 downloads

Incl. Electronic Paper Understanding Anomalies
Filip Bekjarovski
Amundi Asset Management
Date Posted: March 12, 2017
Last Revised: March 15, 2017
Working Paper Series
161 downloads

Incl. Electronic Paper The Influence of CSR Measures on Investors’ Judgments When Integrated in a Financial Report Versus Presented in a Separate Report
Anthony Bucaro, Kevin Jackson and Jeremy B. Lill
Case Western Reserve University, University of Illinois at Urbana-Champaign and Georgia State University
Date Posted: March 10, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Financial Market History: Reflections on the Past for Investors Today
CFA Institute Research Foundation 2016-3
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School, Department of Finance & Accounting and University of Cambridge - Judge Business School
Date Posted: March 10, 2017
Accepted Paper Series
61 downloads

Incl. Electronic Paper Factor Investing and Asset Allocation: A Business Cycle Perspective
CFA Institute Research Foundation 2016-4
Vasant Naik, Mukundan Devarajan, Andrew Nowobilski, Sebastien Page and Niels Pedersen
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Pimco and Pimco
Date Posted: March 10, 2017
Accepted Paper Series
218 downloads

Incl. Electronic Paper Global Convexity and Investing
Mohsen Mazaheri
Independent
Date Posted: March 09, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper On the Construction of Optimal Payoffs
Ludger Rüschendorf and Steven Vanduffel
University of Freiburg and Vrije Universiteit Brussel (VUB)
Date Posted: March 09, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper The Role of Trading in Portfolio Performance Attribution
Henri Waelbroeck and Carla Gomes
Portware LLC and Portware LLC
Date Posted: March 09, 2017
Last Revised: March 16, 2017
Working Paper Series
11 downloads

A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy
Benoit Carmichael, Gilles Koumou and Kevin Moran
Laval University, Laval University - Département d'Économique and Laval University - Department of Economics
Date Posted: March 08, 2017
Working Paper Series

Incl. Electronic Paper Portfolio Mathematics with General Linear and Quadratic Constraints
David L. Stowe
Ohio University - Department of Finance
Date Posted: March 08, 2017
Working Paper Series
129 downloads

Incl. Electronic Paper Optimal Contribution and Investment in a Defined Benefit Pension Plan When the Return Rate of Risky Assets is Time Series Correlated and Cyclical Change
Hong Mao and Zhongkai Wen
Shanghai Second Polytechnic University and University of Illinois at Chicago
Date Posted: March 08, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Financial Advisory Services
Date Posted: March 07, 2017
Working Paper Series
53 downloads

Incl. Electronic Paper Portfolio Optimization of Global Reits Returns: High-Dimensional Copula-Based Approach
Proceedings of the 18th International Academic Conference, London. International Institute of Social and Economic Sciences (IISES): pp. 698 - 709. DOI: 10.20472/IAC.2015.018.122. ISBN 978-80-87927-11-3
Roengchai Tansuchat
Faculty of Economics - Chiang Mai University
Date Posted: March 06, 2017
Last Revised: March 08, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Optimal Portfolio Selection: The Role of Illiquidity and Investment Horizon
Journal of Real Estate Research, Forthcoming
Ping Cheng, Zhenguo (Len) Lin and Yingchun Liu
Florida Atlantic University - Finance, Hollo School of Real Estate, Florida International University and Dept. of Finance, Insurance, Real Estate and Law, University of North Texas
Date Posted: March 03, 2017
Accepted Paper Series
24 downloads

Incl. Electronic Paper What Factors Drive Trading around the World?
Ying Wu
Stevens Institute of Technology - School of Business
Date Posted: March 03, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper The Value of True Liquidity
Robin Borcherding and Michael Stein
University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: March 02, 2017
Working Paper Series
109 downloads

Incl. Electronic Paper Leverage and Uncertainty
Mihail Turlakov
Independent
Date Posted: March 02, 2017
Last Revised: March 05, 2017
Working Paper Series
76 downloads

Incl. Electronic Paper Why and How Investors Use ESG Information: Evidence from a Global Survey
Harvard Business School Accounting & Management Unit Working Paper
Amir Amel-Zadeh and George Serafeim
University of Oxford - Said Business School and Harvard University - Harvard Business School
Date Posted: March 02, 2017
Working Paper Series
417 downloads

Incl. Electronic Paper A Review of Portfolio Choice Based on Stochastic Dominance
Thierry Post
Koc University - Graduate School of Business
Date Posted: March 01, 2017
Last Revised: March 03, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Arbitrage Pricing Theory and the Capital Asset Pricing Model: A Comparative Study in the Indian Scenario
Raghuram Gopala
Symbiosis International University - Symbiosis Institute of Business management,Pune
Date Posted: March 01, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper The Hunt for Duration: Not Waving but Drowning?
BIS Working Paper No. 519
Dietrich Domanski, Hyun Song Shin and Vladyslav Sushko
Bank for International Settlements (BIS), Bank for International Settlements and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: March 01, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Toward a Fully Continuous Exchange
Albert S. Kyle and Jeongmin Lee
University of Maryland and Washington University in Saint Louis - John M. Olin Business School
Date Posted: March 01, 2017
Working Paper Series
97 downloads

Incl. Fee Electronic Paper Stochastic Loss Given Default and Exposure at Default in a Structural Model of Portfolio Credit Risk
Journal of Credit Risk, Vol. 13, No. 1, 2017
Florian Kaposty, Matthias Löderbusch and Jakob Maciag
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and zeb.rolfes.schierenbeck.associates GmbH
Date Posted: February 28, 2017
Working Paper Series

Incl. Electronic Paper Terrorist Attacks and Financial Markets
CESifo Working Paper Series No. 6324
Bas Bonekamp and Tom van Veen
Maastricht University and Maastricht University - Department of Economics
Date Posted: February 28, 2017
Working Paper Series
77 downloads

Incl. Electronic Paper Capacity Analysis for Equity Funds
Michael J. O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Date Posted: February 27, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper The Value of Winning: Endorsement Returns in Individual Sports
Marketing Letters, Forthcoming
Dirk Gerritsen and Saskia van Rheenen
Utrecht University - Utrecht University School of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: February 27, 2017
Accepted Paper Series
23 downloads


 

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