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Viewing: 1 - 50 of 1,801 papers

1.

Deep Reinforcement Learning for Portfolio Allocation

Risk Magazine Global Quant Network 2021
Number of pages: 26 Posted: 12 Aug 2021
Accepted Paper Series
Societe Generale and Université Paris Dauphine
Downloads 27,293
2.

Country Risk: Determinants, Measures and Implications - The 2021 Edition

NYU Stern School of Business Forthcoming
Number of pages: 125 Posted: 06 Jul 2021
Working Paper Series
New York University - Stern School of Business
Downloads 12,661
3.

Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)

Number of pages: 37 Posted: 25 Oct 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 11,761
4.

Planning in Financial Markets in Presence of Spikes: Using Machine Learning GBDT

Université Paris-Dauphine Research Paper No. 3862428
Number of pages: 9 Posted: 17 Jun 2021
Working Paper Series
Université Paris Dauphine, affiliation not provided to SSRN, Université Paris Dauphine and AI For Alpha
Downloads 11,030
5.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 04 Feb 2021
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 8,562
6.

Feverish Stock Price Reactions to COVID-19

Review of Corporate Finance Studies, Volume 9, Issue 3, November 2020, Pages 622–655, Swiss Finance Institute Research Paper No. 20-12
Number of pages: 58 Posted: 09 Mar 2020 Last Revised: 22 Aug 2021
Accepted Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 8,315
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 7,300
8.

Time Your Hedge With Deep Reinforcement Learning

Number of pages: 10 Posted: 28 Jan 2021 Last Revised: 06 May 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 7,057
9.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702112
Number of pages: 9 Posted: 28 Jan 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 6,943
10.

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702113
Number of pages: 15 Posted: 28 Jan 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 6,885
11.

Analysis of the Effect of COVID-19 on the Stock Market and Investing Strategies

Number of pages: 17 Posted: 30 Mar 2020 Last Revised: 22 Aug 2021
Working Paper Series
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, College of Business, Department of Finance, University of Illinois at Urbana-Champaign and University of Illinois Urbana Champaign
Downloads 6,809
12.

Detecting and Adapting to Crisis Pattern with Context Based Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3688353
Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 16 Jun 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, affiliation not provided to SSRN and Université Paris Dauphine
Downloads 6,740
13.

Life-Cycle Finance in Theory and in Practice

Boston University School of Management Working Paper No. 2002-02
Number of pages: 15 Posted: 13 Jun 2002
Working Paper Series
Boston University
Downloads 6,336
14.

From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach

Université Paris-Dauphine Research Paper No. 3813403
Number of pages: 25 Posted: 13 Apr 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 5,177
15.

Investment Opportunities and Strategies in an Era of Coronavirus Pandemic

Number of pages: 25 Posted: 03 Apr 2020 Last Revised: 03 Jun 2020
Working Paper Series
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois Urbana Champaign
Downloads 5,084
16.

ESG: Hyperboles and Reality

Harvard Business School Research Paper Series Working Paper 22-031
Number of pages: 22 Posted: 22 Nov 2021 Last Revised: 15 Dec 2021
Working Paper Series
Harvard Business School
Downloads 5,005
17.

Wealth Creation in the U.S. Public Stock Markets 1926 to 2019

Number of pages: 23 Posted: 25 Feb 2020 Last Revised: 12 Nov 2020
Working Paper Series
W.P. Carey School of Business
Downloads 4,814
18.

Computation of the marginal contribution of Sharpe ratio and other performance ratios

Université Paris-Dauphine Research Paper Forthcoming
Number of pages: 20 Posted: 14 Apr 2021
Working Paper Series
Université Paris Dauphine and AI For Alpha
Downloads 4,662
19.

Advances in Financial Machine Learning: Numerai's Tournament (seminar slides)

Number of pages: 40 Posted: 25 Nov 2019 Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,495
20.

Decentralized Finance: On Blockchain- and Smart Contract-based Financial Markets

Number of pages: 24 Posted: 04 May 2020 Last Revised: 11 Feb 2021
Working Paper Series
Center for Innovative Finance, University of Basel

Multiple version iconThere are 2 versions of this paper

Downloads 4,447
21.

Human versus Machine: A Comparison of Robo-Analyst and Traditional Research Analyst Investment Recommendations

The Accounting Review, Forthcoming
Number of pages: 50 Posted: 21 Jan 2020 Last Revised: 10 Dec 2021
Accepted Paper Series
Indiana University - Kelley School of Business - Department of Accounting, Indiana University - Kelley School of Business - Department of Accounting and Harvard Business School
Downloads 4,330
22.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,028
23.

Human Capital, Asset Allocation, and Life Insurance

Yale ICF Working Paper No. 05-11
Number of pages: 21 Posted: 13 May 2005
Working Paper Series
Yale School of Management, Ibbotson Associates, York University - Schulich School of Business and Ibbotson Associates

Multiple version iconThere are 2 versions of this paper

Downloads 3,718
24.

Dissecting Green Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 11 Jun 2021 Last Revised: 02 Feb 2022
Working Paper Series
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School

Multiple version iconThere are 4 versions of this paper

Downloads 3,678
25.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 23 Nov 2021
Accepted Paper Series
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,551
26.

Statistical Association (Presentation Slides)

Number of pages: 34 Posted: 15 Jan 2020 Last Revised: 09 May 2022
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,522
27.

How Behavioural Biases Affect Finance Professionals

The European Financial Review, December-January 2017, pp. 25-29
Number of pages: 5 Posted: 17 Jan 2017
Accepted Paper Series
American University - Kogod School of Business, Pennsylvania State University and Washington and Lee University
Downloads 3,311
28.

The Effect of Coronavirus Spread on Stock Markets: The Case of the Worst 6 Countries

Number of pages: 11 Posted: 17 Apr 2020
Working Paper Series
Ain Shams University
Downloads 3,279
29.

Built to Fail: The Inherent Fragility of Algorithmic Stablecoins

11 Wake Forest L. Rev. Online 131 (October 2021)
Number of pages: 15 Posted: 18 Nov 2021
Working Paper Series
University of Calgary Faculty of Law
Downloads 3,157
30.

Overfitting: Causes and Solutions (Seminar Slides)

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,913
31.

Blockchain Analysis of the Bitcoin Market

Number of pages: 61 Posted: 14 Oct 2021 Last Revised: 02 May 2022
Working Paper Series
London School of Economics & Political Science (LSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,799
32.

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 2,696
33.

Advanced Course in Asset Management (Presentation Slides)

Number of pages: 1520 Posted: 08 Feb 2021
Working Paper Series
Amundi Asset Management
Downloads 2,694
34.

A COVID Diary: Searching for Investment Serenity

NYU Stern School of Business Forthcoming
Number of pages: 89 Posted: 08 Mar 2021 Last Revised: 28 Aug 2021
Working Paper Series
New York University - Stern School of Business
Downloads 2,664
35.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 09 Nov 2020
Working Paper Series
Robeco Quantitative Investments, Invesco and Metzler Asset Management
Downloads 2,510
36.

Security Token Offerings

Number of pages: 44 Posted: 16 Jul 2020 Last Revised: 15 Jul 2021
Working Paper Series
Rotterdam School of Management, Erasmus University, Singapore Management UniversityErasmus University Rotterdam (EUR), Rotterdam School of Management (RSM) and Rotterdam School of Management, Erasmus University
Downloads 2,394
37.

The Cross-Section of Stock Returns before 1926 (And Beyond)

Number of pages: 85 Posted: 24 Nov 2021 Last Revised: 17 Mar 2022
Working Paper Series
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,358
38.

AI in Finance: A Review

Number of pages: 36 Posted: 06 Aug 2020 Last Revised: 23 Nov 2021
Working Paper Series
University of Technology Sydney
Downloads 2,284
39.

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Number of pages: 45 Posted: 27 May 2020 Last Revised: 08 May 2021
Working Paper Series
University of Pennsylvania - The Wharton School

Multiple version iconThere are 3 versions of this paper

Downloads 2,247
40.

Stock Picking with Machine Learning

Number of pages: 45 Posted: 23 Jun 2020 Last Revised: 25 Apr 2022
Working Paper Series
Deka Investment GmbHTechnical University of Darmstadt and Deka Investment GmbH
Downloads 2,221
41.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 17 May 2022
Working Paper Series
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2,165
42.

FinTech is Gaining Traction and Young, High-Income Users are the Early Adopters

Journal of Financial Perspectives, Vol. 3, No. 3, 2015
Number of pages: 20 Posted: 08 Dec 2017
Accepted Paper Series
Ernst & Young LLP, Ernst & Young LLP and Ernst & Young LLP
Downloads 2,145
43.

Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81 Posted: 03 Jun 2020 Last Revised: 19 Jan 2021
Accepted Paper Series
University of Arizona, Eller College of Management, Department of Finance, Students, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 2,122
44.

New Tech v. New Deal: Fintech As A Systemic Phenomenon

36 Yale Journal on Regulation 735 (2019)., Cornell Legal Studies Research Paper No. 18-39
Number of pages: 60 Posted: 06 Nov 2019 Last Revised: 06 Nov 2019
Accepted Paper Series
Cornell University - Law School
Downloads 2,113
45.

The Return Expectations of Public Pension Funds

Stanford University Graduate School of Business Research Paper No. 18-5, 9th Miami Behavioral Finance Conference 2018
Number of pages: 99 Posted: 06 Nov 2019 Last Revised: 02 Oct 2021
Working Paper Series
University of Amsterdam and Stanford Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,113
46.

Chasing the ESG Factor

Journal of Banking and Finance, Forthcoming
Number of pages: 76 Posted: 08 Jul 2021 Last Revised: 04 Apr 2022
Accepted Paper Series
EDHEC Business School and Catholic University of Milan
Downloads 2,109
47.

The Risk-Reversal Premium

Number of pages: 15 Posted: 23 Nov 2021
Working Paper Series
HTAA, LLC and Bluefin TradingFactorWave
Downloads 2,056
48.

Financial Inclusion and Inclusive Growth: A Review of Recent Empirical Evidence

World Bank Policy Research Working Paper No. 8040
Number of pages: 27 Posted: 26 Apr 2017
Working Paper Series
World Bank and World Bank
Downloads 2,045
49.

Short Term Trading Models – Mean Reversion Trading Strategies and the Black Swan Events

Number of pages: 32 Posted: 11 Mar 2020 Last Revised: 18 Nov 2021
Working Paper Series
WorldQuant University, WorldQuant University, WorldQuant University and WorldQuant University
Downloads 2,024
50.

The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

Number of pages: 41 Posted: 27 Mar 2020 Last Revised: 31 Mar 2021
Working Paper Series
Invesco, Robeco Quantitative Investments, Invesco, Invesco and Quoniam Asset Management
Downloads 2,021