Search Results
Econometric Modeling: Capital Markets - Portfolio Theory eJournal

1,018,040 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 3,517 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 23,097
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, Purdue University and University of Oklahoma
Downloads 18,538
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 14,731
4.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 13,504
5.

Reducing Retirement Risk with a Rising Equity Glide-Path

Number of pages: 19 Posted: 13 Sep 2013
Working Paper Series
The American College for Financial Services and The Kitces Report & Nerd's Eye View
Downloads 11,926
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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 10,794
7.

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 10,540
8.

Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors

Number of pages: 61 Posted: 02 Jan 2019 Last Revised: 28 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Inalytics Limited, Carnegie Mellon University - Department of Social and Decision Sciences and MIT Sloan School of Management
Downloads 8,714
9.

Deep Learning for Finance: Deep Portfolios

Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 8,009
10.

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 7,922
11.

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 7,708
12.

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 7,171
13.

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 6,937
14.

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: 19 Posted: 01 May 2014 Last Revised: 03 Dec 2019
Working Paper Series
Lead-Lag Publishing, LLC and affiliation not provided to SSRN
Downloads 6,694
15.

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 6,639
16.

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 6,458
17.

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 6,275
18.

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 affiliation not provided to SSRN
Downloads 6,257
19.

Explaining the Recent Failure of Value Investing

NYU Stern School of Business
Number of pages: 29 Posted: 28 Aug 2019 Last Revised: 31 Mar 2020
Working Paper Series
New York University - Stern School of Business and University of Calgary - Haskayne School of Business
Downloads 6,240
20.

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 5,840
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 BlueCove Limited
Downloads 5,819
22.

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 5,707
23.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 5,670
24.

The 7 Reasons Most Econometric Investments Fail (Presentation Slides)

Number of pages: 39 Posted: 23 Apr 2019 Last Revised: 16 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 5,585
25.

Machine Learning in Asset Management

Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 26 Mar 2020
Working Paper Series
The Alan Turing Institute
Downloads 5,426
26.

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 5,312
27.

Lumber: Worth Its 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 Apr 2020
Working Paper Series
Lead-Lag Publishing, LLC and affiliation not provided to SSRN
Downloads 5,299
28.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 5,155
29.

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 4,934
30.

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 4,837
31.

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 4,707
32.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 42 Posted: 02 Dec 2019 Last Revised: 26 May 2020
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads 4,636
33.

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 4,576
34.

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 Group plc and Man - AHL
Downloads 4,419
35.

Why and How Investors Use ESG Information: Evidence from a Global Survey

Financial Analysts Journal, 2018, Volume 74 Issue 3, pp. 87-103.
Number of pages: 41 Posted: 02 Mar 2017 Last Revised: 06 Feb 2020
Working Paper Series
University of Oxford - Said Business School and Harvard University - Harvard Business School
Downloads 4,330
36.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,318
37.

LEGO - The Toy of Smart Investors

Number of pages: 27 Posted: 17 Dec 2018
Working Paper Series
National Research University Higher School of Economics and RB Partners
Downloads 4,250
38.

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 University of Nevada, Las Vegas - Lee Business School, University of Nevada - Las Vegas
Downloads 4,232
39.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 4,213
40.

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 for Financial Services
Downloads 4,157
41.

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 4,151
42.

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 4,045
43.

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 3,919
44.

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 for Financial Services
Downloads 3,709
45.

Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds

Financial Analysts Journal, Vol. 75, No. 4 (Fourth Quarter 2019)
Number of pages: 50 Posted: 14 Sep 2018 Last Revised: 30 Oct 2019
Working Paper Series
University of Notre Dame, University of Dayton and University of Arkansas - Department of Finance
Downloads 3,677
46.

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 3,585
47.

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 3,464
48.

Quant Bust 2020

Number of pages: 29 Posted: 07 Apr 2020
Working Paper Series
Quantigic Solutions LLC
Downloads 3,400
49.

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 3,384
50.

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 Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 3,356