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Advanced Risk & Portfolio Management® Research Paper Series
1,083,228 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Advanced Risk & Portfolio Management® Logo

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
Showing Papers 1 - 50 of 1,945
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1 2 3 4 ... 39 | Next >
   

Incl. Electronic Paper Continuous Time Macro-Finance, Financial Transactions and Waves
Victor Olkhov
TVEL Fuel Company
Date Posted: May 19, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs
Yaroslav 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
13 downloads

Incl. Electronic Paper Asset Correlation, Diversification and the Basel Accord: A Comparative Study
Oliver Blümke
Raiffeisen Bank International
Date Posted: May 18, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris 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
12 downloads

Incl. Electronic Paper 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
112 downloads

Incl. Electronic Paper Efficient Estimation of Distributional Tail Shape and the Extremal Index With Applications to Risk Management
Journal 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
16 downloads

Incl. Electronic Paper Optimal Rényi Entropy Portfolios
Nathan 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: May 19, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy
Analysis 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
22 downloads

Incl. Electronic Paper Investing for the Long Run
Dietmar 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
66 downloads

Incl. Electronic Paper News and Social Media Emotions in the Commodity Market
Review 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
56 downloads

Incl. Electronic Paper 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
147 downloads

Incl. Electronic Paper The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis
Advances 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
21 downloads

Incl. Electronic Paper Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative Study
Oliver Blümke
Raiffeisen Bank International
Date Posted: May 04, 2017
Working Paper Series
40 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

Incl. Electronic Paper Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice
C. Kenneth Jones
PortfolioNetworks.com
Date Posted: April 22, 2017
Working Paper Series
103 downloads

Modifying Tail Dependence of Gaussian Copula with CA,B Copula by Distorted Mix Method
Hui Shao and Jingping Yang
Peking University - School of Mathematical Sciences and Peking University - School of Mathematical Sciences
Date Posted: April 21, 2017
Last Revised: May 23, 2017
Working Paper Series

Incl. Electronic Paper Investment Portfolio Evaluation by Fuzzy Approach
Journal 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
53 downloads

Incl. Electronic Paper 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
14 downloads

Incl. Electronic Paper From Failure to Success: Replacing the Failure Rate
Javier Estrada
IESE Business School
Date Posted: April 19, 2017
Working Paper Series
42 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

Incl. Electronic Paper 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
85 downloads

Incl. Electronic Paper Fast LP Algorithms for Portfolio Optimization
Andrzej Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Date Posted: April 13, 2017
Working Paper Series
88 downloads

Incl. Electronic Paper The Alpha Engine: Designing an Automated Trading Algorithm
High 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
1517 downloads

Incl. Electronic Paper Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility
Dirk 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: April 18, 2017
Working Paper Series
37 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

Incl. Electronic Paper Forecasting a Volatility Tsunami
Andrew Thrasher, CMT
Independent
Date Posted: April 11, 2017
Working Paper Series
2972 downloads

Incl. Electronic Paper Mean-Reverting Statistical Arbitrage in Crude Oil Markets
Viviana Fanelli
University of Bari
Date Posted: April 10, 2017
Working Paper Series
224 downloads

Incl. Electronic Paper Trading Lightly: Cross-Impact and Optimal Portfolio Execution
Iacopo 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
45 downloads

Incl. Electronic Paper A Statistical Analysis of Cryptocurrencies
Joerg 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
155 downloads

Incl. Electronic Paper Asset Allocation with Correlation: A Composite Trade-Off
European 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
109 downloads

Incl. Electronic Paper Risk-Based Currency Management
Risk & Reward, 2017, 1st issue, pp. 20-24
Martin Kolrep and Harald Lohre
Invesco and Invesco
Date Posted: April 07, 2017
Accepted Paper Series
97 downloads

The Conditional Beta in the CAPM
Fabrizio Di Sciorio
Independent
Date Posted: April 07, 2017
Working Paper Series

Incl. Electronic Paper Optimal Selection of Large Portfolios: Aggregation is Better Than Ignoring the Return Constraint
Gah‐Yi Ban and Christopher J Chen
London Business School and London Business School
Date Posted: April 05, 2017
Working Paper Series
90 downloads

Incl. Electronic Paper The Idiosyncratic Momentum Anomaly
David 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
730 downloads

Incl. Electronic Paper Simple Solutions to an Extended Class of Time-Inconsistent Portfolio Problems
Esben Masotti Kryger, Maj-Britt Nordfang and Mogens Steffensen
University of Copenhagen, Independent and University of Copenhagen
Date Posted: April 04, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Approximations to Expected Utility Optimization in Continuous Time
Maj-Britt Nordfang and Mogens Steffensen
Independent and University of Copenhagen
Date Posted: April 03, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models
Matthew Francis Dixon and Tao L. Wu
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology
Date Posted: April 03, 2017
Last Revised: May 20, 2017
Working Paper Series
64 downloads

Incl. Electronic Paper Life Cycle Investing and Smart Beta Strategies
Bill Carson, Sara Shores and Nicholas Nefouse
BlackRock, Inc, BlackRock and BlackRock, Inc
Date Posted: April 03, 2017
Working Paper Series
187 downloads

Incl. Electronic Paper Stock-Bond Correlation and Duration Risk Allocation
Journal of Portfolio Management, Vol. 4, No. 4, 2016
Liu Xinyi and Hua Fan
China Investment Corporation (CIC) and Goldman Sachs Group, Inc.
Date Posted: March 30, 2017
Accepted Paper Series
124 downloads

Incl. Electronic Paper Modeling of Bank Capital Adequacy Ratios via a Lévy Process-Driven Model
Fatma Chakroun
University of Sfax-Faculty of Economics and Management (FSEGS)
Date Posted: March 29, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Modelling Foreign Exchange Rate Transaction Exposure of UK Insurance Companies: A Cash Flow-Based Methodology
Journal of Economic and Administrative Science,32(2),120-136.
Islam amer
Independent
Date Posted: March 28, 2017
Accepted Paper Series
26 downloads

Incl. Electronic Paper 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
Last Revised: March 29, 2017
Working Paper Series
48 downloads

Incl. Electronic Paper Quantifying the Diversity of News Around Stock Market Moves
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis, Quantifying the diversity of news around stock market moves, Journal of Network Theory in Finance 3(1), 1–20 (2017).,
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis
Boston University, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University College London - Department of Civil, Environmental and Geomatic Engineering and Data Science Lab, Behavioural Science, Warwick Business School
Date Posted: March 23, 2017
Accepted Paper Series
134 downloads

Multi-Style and Rotation Equity Strategies in European Equity Markets
Carlos Salas Najera
New York City Data Science Academy
Date Posted: March 23, 2017
Working Paper Series

Incl. Electronic Paper Hidden Leaders: Identifying High-Frequency Lead-Lag Structures in a Multivariate Price Formation Framework
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
Scuola Normale Superiore, Ca' Foscari University of Venice and University of Lugano and Swiss Finance Institute
Date Posted: March 23, 2017
Working Paper Series
96 downloads

Incl. Electronic Paper Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated Portfolios
Zhenya Liu, Weifeng Zhou, Shixuan Wang and Ruanmin Cao
Renmin University of China, University of Birmingham, University of Birmingham, Department of Economics and University of Birmingham - Department of Economics
Date Posted: March 23, 2017
Last Revised: March 29, 2017
Working Paper Series
43 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
47 downloads

Incl. Electronic Paper Simple New Method to Predict Bear Markets (The Entropic Linkage between Equity and Bond Market Dynamics)
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: March 20, 2017
Last Revised: May 03, 2017
Working Paper Series
209 downloads

Incl. Electronic Paper Direct Estimation of Factor Exposures from Appraisal Returns
Jenwen Lin
University of Toronto - Department of Statistics
Date Posted: March 18, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Cross-Sectional and Time-Series Momentum Returns and Market States
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato, University of Waikato and University of Waikato
Date Posted: March 16, 2017
Last Revised: May 15, 2017
Working Paper Series
609 downloads


 

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