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Advanced Risk & Portfolio Management® Research Paper Series
1,091,920 Total downloads
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The Advanced Risk and Portfolio Management® Research Paper Series has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. Areas of emphasis include
- Asset allocation: portfolio construction, optimization, robustness, tactical allocation, asset & liability management, dynamic strategies, alternative alpha/exotic beta, index construction, risk budgeting, hedging, risk & performance attribution
- Liquidity: market impact, optimal execution, algorithmic trading
- Risk management: VaR and risk measures, diversification, market risk, credit risk, counterparty risk, operational risk, drawdown control
- Model construction: estimation and forecasting, factor models, copulas, simulations, trees, lattices
Credit Market FreezesEfraim Benmelech and Nittai Bergman Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management Date Posted: June 22, 2017 Working Paper Series 6 downloads
Distance and Beyond. What Drives Financial Flows to Emerging Economies?Eleonora Cavallaro and Eleonora Cutrini Sapienza Univeristy of Rome and University of Macerata Date Posted: June 22, 2017 Working Paper Series 3 downloads
Simulation of a Limit Order Driven MarketJulian Lorenz and Joerg Osterrieder Independent and Zurich University of Applied Sciences Date Posted: June 13, 2017 Working Paper Series 40 downloads
Hybrid IS-VWAP Dynamic Algorithmic Trading via LQRJackie Shen Goldman Sachs, USA Date Posted: June 13, 2017 Working Paper Series 39 downloads
The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading VolumeYu, Geungu, Phillip Fuller and Patricia A. Freeman. “The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading Volume.” Southwestern Economic Review (Spring 2015):125-34., Geungu Yu, Phillip Fuller and Patricia A Freeman Jackson State University, Jackson State University and Jackson State University Date Posted: June 13, 2017 Accepted Paper Series 11 downloads
Modeling the Short Rate as a Levy Process and Option Pricing with the FFTRoy Zywina TD Bank Date Posted: June 12, 2017 Working Paper Series 20 downloads
Can Reinvestment Risk Explain the Dividend and Bond Term Structures?Charles A. Dice Center Working Paper No. 2017-14, Fisher College of Business Working Paper No. 2017-03-014 Andrei S. Gonçalves Ohio State University (OSU), Fisher College of Business, Department of Finance Date Posted: June 06, 2017 Working Paper Series 80 downloads
Which Matters: Demand of Bond or Supply of Bond?Wenzhi Wang Boston College, Department of Finance Date Posted: June 05, 2017 Working Paper Series 25 downloads
Historical Returns of the Market PortfolioRonald Q. Doeswijk, Trevin Lam and Laurens Swinkels Independent, Rabobank and Erasmus University Rotterdam (EUR) Date Posted: June 02, 2017 Working Paper Series 1202 downloads
The Impact of Yield Slope on Stock PerformanceYu, Geungu, Phillip Fuller and Dal Didia. “The Impact of Yield Slope on Stock Performance” Southwestern Economic Review (Spring 2013) 40 (1): 1-10., Geungu Yu, Phillip Fuller and Dal O. Didia Jackson State University, Jackson State University and Jackson State University Date Posted: June 01, 2017 Accepted Paper Series 32 downloads
Using a Modified Dividend Discount Model for Stock Market GamesYu, Geungu, Jean-Claude Assad, and Phillip Fuller. “Using A Modified Dividend Discount Model For Stock Market Games.” Southwestern Economic Review, (Spring 2017) 44 (1) :29-42 , Geungu Yu, Jean-Claude Assad and Phillip Fuller Jackson State University, Jackson State University - Economics and Finance and Jackson State University Date Posted: June 01, 2017 Accepted Paper Series 29 downloads
Rebalancing for Long Term InvestorsJoost Driessen and Ivo Kuiper Tilburg University - Department of Finance and CentER Tilburg University Date Posted: June 01, 2017 Working Paper Series 86 downloads
Risk Parity with Fractal Model of RiskSergey Kamenshchikov and Ilia Drozdov Moscow State University and Independent Date Posted: May 31, 2017 Last Revised: June 04, 2017 Working Paper Series 112 downloads
Calibration of Discrete Time Short Rate Term Structure Models from Coupon Bond PricesErika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid Date Posted: May 31, 2017 Last Revised: June 11, 2017 Working Paper Series 33 downloads
Extracting Latent States from High Frequency Option PricesDiego Amaya, Jean-François Bégin and Geneviève Gauthier Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences Date Posted: May 30, 2017 Working Paper Series 60 downloads
Macroeconomic Factors and Foreign Portfolio Investment Volatility: A Case of South Asian CountriesFuture Business Journal, Volume 1, Issues 1–2, Pages 65–74, December 2015, Yahya Waqas, Shujahat Haider Hashmi and Muhammad Imran Nazir CUST, CUST and Mohammad Ali Jinnah University (MAJU) Date Posted: May 26, 2017 Accepted Paper Series 56 downloads
Portfolio Rho-presentativityTristan Froidure, Khalid Jalalzai and Yves Choueifaty TOBAM, TOBAM and TOBAM Date Posted: May 25, 2017 Last Revised: May 31, 2017 Working Paper Series 84 downloads
Lifetime Investment and Consumption with Recursive Preferences and Small Transaction CostsYaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Michigan at Ann Arbor and University of Trier Date Posted: May 18, 2017 Working Paper Series 33 downloads
Asset Correlation, Diversification and the Basel Accord: A Comparative StudyOliver Blümke Raiffeisen Bank International Date Posted: May 18, 2017 Working Paper Series 40 downloads
Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random VariablesKris Boudt, Dries Cornilly and Tim Verdonck Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven Date Posted: May 18, 2017 Working Paper Series 19 downloads
Optimising Cross-Asset Carry"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming) Nick Baltas Imperial College Business School Date Posted: May 17, 2017 Accepted Paper Series 246 downloads
Efficient Estimation of Distributional Tail Shape and the Extremal Index
With Applications to Risk ManagementJournal of Mathematical Finance,Vol. 6, pp. 626-659, 2016 Travis Sapp Iowa State University - Department of Finance Date Posted: May 16, 2017 Accepted Paper Series 40 downloads
Optimal Rényi Entropy PortfoliosNathan Lassance and Frédéric D. Vrins Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Louvain School of Management, Université catholique de Louvain Date Posted: May 16, 2017 Last Revised: June 14, 2017 Working Paper Series 53 downloads
Random Geometric Analysis in the Stochastic Volatility: Financial Markets States DegeneracyAnalysis and Computations Journal, Forthcoming Siyabonga Goodwill Chule Mathematical Sciences (MS) centre, the African Institute for MS Date Posted: May 15, 2017 Last Revised: May 22, 2017 Accepted Paper Series 31 downloads
Investing for the Long RunDietmar Leisen and Eckhard Platen University of Mainz - Department of Banking and University of Technology, Sydney (UTS) - School of Finance and Economics Date Posted: May 11, 2017 Working Paper Series 93 downloads
News and Social Media Emotions in the Commodity MarketReview of Behavioral Finance, Forthcoming Jiancheng Shen, Mohammad Najand, Feng Dong and Wu He Regent University - Finance, Old Dominion University - Finance, Old Dominion University - College of Business & Public Administration and Old Dominion University - College of Business & Public Administration Date Posted: May 11, 2017 Accepted Paper Series 104 downloads
Factors vs. Sectors in Asset Allocation: Stronger Together?Marie Briere and Ariane Szafarz Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi Date Posted: May 10, 2017 Working Paper Series 463 downloads
The Forward Search Interactive Outlier Detection in Cointegrated VAR AnalysisAdvances in Data Analysis and Classification (2016) 10:351–373 DOI 10.1007/s11634-015-0216-8 , Tiziano Bellini Ernst & Young, UK Date Posted: May 05, 2017 Accepted Paper Series 24 downloads
Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative StudyOliver Blümke Raiffeisen Bank International Date Posted: May 04, 2017 Working Paper Series 47 downloads A New Government Bond Volatility Index Predictor for the U.S. Equity Premium Pacific Basin Finance Journal, Forthcoming Zheyao Pan and Kam Fong Chan University of Queensland, Business School and University of Queensland - Faculty of Business, Economics and Law Date Posted: April 29, 2017 Accepted Paper Series
Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio ChoiceC. Kenneth Jones PortfolioNetworks.com Date Posted: April 22, 2017 Working Paper Series 124 downloads
Modifying Tail Dependence of Gaussian Copula with CA,B Copula by Distorted Mix MethodHui Shao, Yuming Wang and Jingping Yang Peking University - School of Mathematical Sciences, Peking University and Peking University - School of Mathematical Sciences Date Posted: April 21, 2017 Last Revised: May 24, 2017 Working Paper Series 38 downloads
Investment Portfolio Evaluation by Fuzzy ApproachJournal of Competitiveness, Issue 3, p. 13-26, 2011 Maya Lambovska and Angel Marchev Jr. University of National and World Economy, Department of Management and University of National and World Economy, Sofia Date Posted: April 20, 2017 Accepted Paper Series 59 downloads
Размито оценяване на инвестиционни портфейли (Fuzzy Evaluation of Investment Portfolios)Bulgarian Journal of Business Research (списание "Бизнес посоки"), issue 1, 2011, p. 25-35, Maya Lambovska and Angel Marchev Jr. University of National and World Economy, Department of Management and University of National and World Economy, Sofia Date Posted: April 20, 2017 Last Revised: April 25, 2017 Accepted Paper Series 15 downloads
From Failure to Success: Replacing the Failure RateJavier Estrada IESE Business School Date Posted: April 19, 2017 Working Paper Series 47 downloads Managerial Sentiment, Consumer Confidence and Sector Returns International Review of Financial Analysis, Volume 47, Pages 24–38, October 2016, Ahmed Salhin, Mo Sherif and Edward A.E. Jones Heriot Watt University, Heriot-Watt University - Department of Accountancy and Finance and Heriot-Watt University, Edinburgh Date Posted: April 18, 2017 Accepted Paper Series
Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered''Franziska Becker, Marc Gürtler and Martin Thomas Hibbeln NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management Date Posted: April 14, 2017 Working Paper Series 91 downloads
Fast LP Algorithms for Portfolio OptimizationAndrzej Palczewski University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics Date Posted: April 13, 2017 Working Paper Series 102 downloads
The Alpha Engine: Designing an Automated Trading AlgorithmHigh Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017 Anton Golub, James Glattfelder and Richard B. Olsen Lykke Corp, Department of Banking and Finance, UZH and Lykke Corp Date Posted: April 12, 2017 Last Revised: May 03, 2017 Working Paper Series 2234 downloads
Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and VolatilityDirk Becherer and Klebert Kentia Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Goethe-University Frankfurt am Main - Institute of Mathematics Date Posted: April 12, 2017 Last Revised: June 11, 2017 Working Paper Series 52 downloads Volatility Measures as Predictors of Extreme Returns Review of Financial Economics, Forthcoming Lorne N. Switzer, Cagdas Tahaoglu and zhao yun Concordia University, Quebec - Department of Finance, Concordia University, Quebec - Department of Finance and Independent Date Posted: April 11, 2017 Accepted Paper Series
Forecasting a Volatility TsunamiAndrew Thrasher, CMT Independent Date Posted: April 11, 2017 Working Paper Series 3183 downloads
Mean-Reverting Statistical Arbitrage in Crude Oil MarketsViviana Fanelli University of Bari Date Posted: April 10, 2017 Working Paper Series 252 downloads
Trading Lightly: Cross-Impact and Optimal Portfolio ExecutionIacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management Date Posted: April 10, 2017 Working Paper Series 52 downloads
A Statistical Analysis of CryptocurrenciesJoerg Osterrieder, Stephen Chan, Jeffrey Chu and Saralees Nadarajah Zurich University of Applied Sciences, University of Manchester - School of Mathematics, University of Manchester - School of Mathematics and University of Manchester Date Posted: April 08, 2017 Working Paper Series 216 downloads
Asset Allocation with Correlation: A Composite Trade-OffEuropean Journal of Operational Research, Forthcoming Rachael Carroll, Thomas Conlon, John Cotter and Enrique Salvador Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I Date Posted: April 08, 2017 Accepted Paper Series 169 downloads
Risk-Based Currency ManagementRisk & Reward, 2017, 1st issue, pp. 20-24 Martin Kolrep and Harald Lohre Invesco and Invesco Date Posted: April 07, 2017 Accepted Paper Series 107 downloads The Conditional Beta in the CAPM Fabrizio Di Sciorio Università di Cassino e del Lazio Meridionale Date Posted: April 07, 2017 Working Paper Series
Optimal Selection of Large Portfolios: Aggregation is Better Than Ignoring the Return ConstraintGah‐Yi Ban and Christopher J Chen London Business School and London Business School Date Posted: April 05, 2017 Working Paper Series 129 downloads
The Idiosyncratic Momentum AnomalyDavid Blitz, Matthias X. Hanauer and Milan Vidojevic Robeco Asset Management - Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance Date Posted: April 05, 2017 Working Paper Series 788 downloads |
