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Wealth Management eJournal

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Viewing: 1 - 50 of 506 papers

1.

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 7,668
2.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 6,499
3.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 6,143
4.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 12 Oct 2020
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 6,072
5.

Do Global Stocks Outperform US Treasury Bills?

Number of pages: 85 Posted: 09 Jul 2019
Working Paper Series
Arizona State University, Hong Kong Polytechnic University, Arizona State University (ASU) - Finance Department and Hong Kong Polytechnic University
Downloads 5,448
6.

Quant Bust 2020

World Economics 21(2) (2020) 183-217
Number of pages: 29 Posted: 07 Apr 2020 Last Revised: 24 Jul 2020
Accepted Paper Series
Quantigic Solutions LLC
Downloads 4,667
7.

The Value Premium

Fama-Miller Working Paper No. 20-01
Number of pages: 20 Posted: 27 Jan 2020 Last Revised: 30 Jan 2020
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 3,999
8.

Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 17 Sep 2020
Working Paper Series
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 3,262
9.

A Robust Estimator of the Efficient Frontier

Number of pages: 16 Posted: 18 Oct 2019 Last Revised: 04 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,853
10.

Machine Learning Asset Allocation (Presentation Slides)

Number of pages: 35 Posted: 18 Oct 2019 Last Revised: 01 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,828
11.

Deep Learning in Asset Pricing

Number of pages: 66 Posted: 04 Apr 2019 Last Revised: 15 Sep 2020
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 2,591
12.

Advances in Financial Machine Learning: Lecture 10/10 (seminar slides)

Number of pages: 44 Posted: 14 Nov 2019 Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,740
13.

Factor Performance 2010-2019: A Lost Decade?

Number of pages: 14 Posted: 20 Apr 2020
Working Paper Series
Robeco Quantitative Investments
Downloads 1,464
14.

Enhanced Portfolio Optimization

Number of pages: 50 Posted: 02 Mar 2020 Last Revised: 14 Aug 2020
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 1,382
15.

Market Return Around the Clock: A Puzzle

Number of pages: 72 Posted: 27 May 2020 Last Revised: 11 Sep 2020
Working Paper Series
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 1,349
16.

Drawdowns

Number of pages: 19 Posted: 24 Apr 2020 Last Revised: 05 May 2020
Working Paper Series
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads 1,319
17.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
Working Paper Series
Office of Financial Research, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,307
18.

Tracking Retail Investor Activity

Number of pages: 86 Posted: 13 Aug 2016 Last Revised: 31 Aug 2020
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 1,248
19.

The Performance of Hedge Fund Performance Fees

Fisher College of Business Working Paper No. 2020-03-014, Charles A. Dice Working Paper No. 2020-14
Number of pages: 63 Posted: 19 Jun 2020 Last Revised: 02 Jul 2020
Working Paper Series
Ohio State University (OSU) - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Arizona - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,224
20.

The US Bond Market before 1926: Investor Total Return from 1793, Comparing Federal, Municipal and Corporate Bonds Part II: 1857 to 1926

Number of pages: 135 Posted: 18 Sep 2019
Working Paper Series
Santa Clara University - Leavey School of Business
Downloads 1,201
21.

Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)

Number of pages: 15 Posted: 15 Dec 2019 Last Revised: 22 Jan 2020
Working Paper Series
VU University Amsterdam
Downloads 1,027
22.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 44 Posted: 23 Sep 2018 Last Revised: 25 Mar 2020
Working Paper Series
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 1,010
23.

The Psychology of Financial Professionals and Their Clients

Investments & Wealth Monitor, September-October 2019, pp. 15-20
Number of pages: 8 Posted: 18 Oct 2019
Accepted Paper Series
American University - Kogod School of Business, Pennsylvania State University and Washington and Lee University
Downloads 985
24.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
Working Paper Series
Robeco Quantitative Investments and VU University Amsterdam - Finance
Downloads 970
25.

Decarbonization Factors

Number of pages: 46 Posted: 14 Sep 2019 Last Revised: 18 Nov 2019
Working Paper Series
State Street Associates, State Street Associates, Harvard University - Harvard Business School, State Street Associates and State Street Associates
Downloads 960
26.

Machine Learning-Based Financial Statement Analysis

Number of pages: 56 Posted: 27 Jan 2020
Working Paper Series
University of Oxford - Said Business School, Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 959
27.

Investor Memory

Number of pages: 46 Posted: 15 Mar 2019 Last Revised: 30 Jul 2020
Working Paper Series
Maastricht University - School of Business and Economics, Maastricht University - Department of Finance and Maastricht University
Downloads 827
28.

Duration-Based Stock Valuation

Number of pages: 30 Posted: 27 May 2020 Last Revised: 17 Jun 2020
Working Paper Series
University of Pennsylvania - The Wharton School

Multiple version iconThere are 3 versions of this paper

Downloads 767
29.

Extreme Stock Market Performers, Part I: Expect Some Drawdowns

Number of pages: 13 Posted: 22 Jul 2020
Working Paper Series
Arizona State University
Downloads 751
30.

The Canadian Pension Fund Model: A Quantitative Portrait

Number of pages: 50 Posted: 04 Aug 2020 Last Revised: 24 Sep 2020
Working Paper Series
CEM Benchmarking Inc., McGill University - Desautels Faculty of Management, CEM Benchmarking Inc. and CEM Benchmarking Inc.
Downloads 742
31.

Resurrecting the Value Premium

Number of pages: 23 Posted: 05 Oct 2020
Working Paper Series
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 709
32.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 79 Posted: 19 Dec 2019 Last Revised: 28 Sep 2020
Working Paper Series
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 696
33.

Single-Step Portfolio Construction through Reinforcement Learning and Economically Interpretable AI

Number of pages: 61 Posted: 20 Apr 2020 Last Revised: 25 Sep 2020
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)
Downloads 694
34.

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Number of pages: 25 Posted: 03 Apr 2019 Last Revised: 10 Feb 2020
Working Paper Series
Massachusetts Institute of Technology, Chapman University - The George L. Argyros School of Business & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 673
35.

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

9th Miami Behavioral Finance Conference 2018, Baruch College Zicklin School of Business Research Paper No. 2019-03-01, Georgetown McDonough School of Business Research Paper No. 3343769
Number of pages: 67 Posted: 15 Mar 2019 Last Revised: 15 Jul 2019
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, University of California, Irvine - Paul Merage School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 574
36.

Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios and Portfolio Insurance

Number of pages: 65 Posted: 19 Mar 2020 Last Revised: 19 Mar 2020
Working Paper Series
Columbia University and Stuyvesant High School
Downloads 553
37.

Corporate Governance Through Voice and Exit

European Corporate Governance Institute – Finance Working Paper No. 633/2019
Number of pages: 75 Posted: 09 Oct 2019 Last Revised: 14 Nov 2019
Working Paper Series
Solvay Brussels School of Economics and Management (ULB), London Business School - Institute of Finance and Accounting and Bocconi University - Department of Finance
Downloads 552
38.

Settling the Size Matter

Number of pages: 18 Posted: 09 Sep 2020
Working Paper Series
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 531
39.

In the Shadow of Banks: Wealth Management Products and Issuing Banks’ Risk in China

NYU Stern School of Business
Number of pages: 61 Posted: 18 Jun 2019 Last Revised: 11 Jun 2020
Working Paper Series
New York University - Leonard N. Stern School of Business, Fanhai International School of Finance, Fudan University, University of Chicago Booth School of Business and Tsinghua University - School of Economics & Management
Downloads 516
40.

Robo-Advisors: Investing Through Machines

World Bank Research and Policy Briefs No. 134881
Number of pages: 4 Posted: 26 Mar 2019 Last Revised: 27 Apr 2020
Working Paper Series
World Bank, World Bank - Development Research Group (DECRG) and Business School, Pontificia Universidad Católica
Downloads 512
41.

Money in Motion: Dynamic Portfolio Choice in Retirement

Pension Research Council Working Paper No. 2007-7, Michigan Retirement Research Center Research Paper No. WP 2007-152, 20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 34 Posted: 15 Feb 2007
Working Paper Series
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and Allianz Global Investors

Multiple version iconThere are 2 versions of this paper

Downloads 503
42.

COVID-19 and Investor Behavior

Finance Research Letters, 101717, Doi.org/10.1016/j.frl.2020.101717, TAF Working Paper No. 54/April 2020
Number of pages: 19 Posted: 03 May 2020 Last Revised: 10 Aug 2020
Accepted Paper Series
University of Paderborn, Paderborn University and Paderborn University - Faculty of Business Administration and Economics - Department of Taxation, Accounting & Finance
Downloads 495
43.

Investment Services and Investment Funds

Investment Services and Investment Funds. “Research Handbook on European Economic Law” Eds. Marco Ventoruzzo - Federico Fabbrini Edward Elgar, 2019, Bocconi Legal Studies Research Paper No. 3345943
Number of pages: 46 Posted: 29 Mar 2019
Working Paper Series
Bocconi University
Downloads 480
44.

The Fundamental-to-Market Ratio and the Value Premium Decline

Kenan Institute of Private Enterprise Research Paper
Number of pages: 48 Posted: 13 Apr 2020 Last Revised: 05 Oct 2020
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 445
45.

Wealth Taxes

Fama-Miller Working Paper
Number of pages: 4 Posted: 14 Jun 2019 Last Revised: 30 Sep 2020
Working Paper Series
University of Chicago - Finance
Downloads 434
46.

The Rate of Return on Real Estate: Long-Run Micro-Level Evidence

HEC Paris Research Paper No. FIN-2019-1342
Number of pages: 59 Posted: 25 Jun 2019 Last Revised: 20 Oct 2020
Working Paper Series
University of Cambridge - Judge Business School, HEC Paris - Finance Department and Penn State Smeal College of Business
Downloads 431
47.

Overlapping Momentum Portfolios

Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 22 Jun 2020
Working Paper Series
CUNEF, CUNEF and CUNEF
Downloads 429
48.

Defined Contribution Plans and the Challenge of Financial Illiteracy

Cornell Law Review, Vol. 105, p. 741, 2020, U of Penn, Inst for Law & Econ Research Paper No. 19-22, European Corporate Governance Institute - Law Working Paper No. 478/2019
Number of pages: 63 Posted: 15 May 2019 Last Revised: 02 Sep 2020
Working Paper Series
University of Pennsylvania Law School - Institute for Law and Economics, European Corporate Governance Institute, George Washington University - Department of Accountancy and George Washington University - School of Business
Downloads 427
49.

Alpha, Beta and the Endowment Model

Number of pages: 15 Posted: 21 Oct 2019
Working Paper Series
EndowBridge Capital, LLC
Downloads 418
50.

Currency Anomalies

Number of pages: 77 Posted: 26 Apr 2018 Last Revised: 12 Oct 2020
Working Paper Series
Warwick Business School - Department of Finance, Bank Indonesia - Department of Economic and Monetary Policy and University of Warwick

Multiple version iconThere are 4 versions of this paper

Downloads 417