1.
Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code
Number of pages: 281
Posted: 11 Aug 2009
Last Revised: 08 Mar 2016
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
25,046
2.
The Black-Litterman Approach: Original Model and Extensions
Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17
Posted: 08 Apr 2008
Last Revised: 13 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
20,845
3.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
20,654
4.
Where the Black Swans Hide & the 10 Best Days Myth
Cambria – Quantitative Research Monthly, August 2011
Number of pages: 17
Posted: 14 Aug 2011
Accepted Paper Series
Cambria Investment Management
Downloads
18,664
5.
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
Number of pages: 20
Posted: 15 May 2009
Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
17,699
6.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
15,040
7.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)
Number of pages: 44
Posted: 06 Sep 2017
Last Revised: 04 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads
14,068
8.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
13,169
9.
‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management
Number of pages: 29
Posted: 11 May 2011
Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
12,829
10.
Managing Diversification
Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper
Number of pages: 23
Posted: 13 Mar 2009
Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
12,509
11.
Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
GARP Risk Professional, pp. 49-51, April 2010
Number of pages: 5
Posted: 09 Apr 2010
Last Revised: 15 Nov 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
12,457
12.
Fully Flexible Views: Theory and Practice
Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Number of pages: 26
Posted: 10 Aug 2008
Last Revised: 06 Dec 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
12,194
13.
'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance
GARP Risk Professional, pp. 47-50, February 2011
Number of pages: 8
Posted: 23 Jan 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
11,167
14.
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
Downloads
10,880
15.
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 42
Posted: 08 Aug 2012
Last Revised: 27 Aug 2015
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
There are 3 versions of this paper
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 42
Posted: 08 Aug 2012
Last Revised: 27 Aug 2015
Downloads
10,681
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 08 Jun 2013
Downloads
568
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 16 May 2013
Downloads
283
Downloads
10,681
16.
Kelly Criterion for Multivariate Portfolios: A Model-Free Approach
Number of pages: 15
Posted: 02 May 2013
Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads
10,493
17.
Review of Discrete and Continuous Processes in Finance: Theory and Applications
Number of pages: 33
Posted: 05 Apr 2009
Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
10,160
18.
The Volume Clock: Insights into the High Frequency Paradigm
The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23
Posted: 05 Apr 2012
Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
9,478
19.
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
9,421
20.
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Number of pages: 42
Posted: 12 Aug 2010
Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads
9,145
21.
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), AQR Capital Management, LLC and Western Michigan University
There are 2 versions of this paper
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
Downloads
9,114
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
9,114
22.
The Siren Song of Factor Timing
Journal of Portfolio Management, Vol. Special Issue, No. 1, 2016
Number of pages: 9
Posted: 18 Apr 2016
Last Revised: 23 Jun 2016
Working Paper Series
AQR Capital Management, LLC
Downloads
8,737
23.
Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
Number of pages: 60
Posted: 02 Sep 2012
Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads
8,675
24.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31
Posted: 28 Dec 2015
Last Revised: 24 May 2016
Accepted Paper Series
AQR Capital Management, LLC
Downloads
8,505
25.
Adaptive Asset Allocation: A Primer
Number of pages: 32
Posted: 21 Sep 2013
Last Revised: 05 Apr 2016
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Independent
Downloads
8,450
26.
Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders
Risk, Vol. 23, No.7, p. 84-89
Number of pages: 28
Posted: 08 Mar 2010
Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
8,442
27.
The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36
Posted: 24 Apr 2011
Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads
7,729
28.
Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin
Number of pages: 8
Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads
7,526
29.
Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets
Number of pages: 15
Posted: 29 Dec 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
7,184
30.
Time Series Momentum
Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62
Posted: 23 Jun 2012
Working Paper Series
Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
7,160
31.
My Factor Philippic
Number of pages: 30
Posted: 25 Jun 2016
Last Revised: 15 Jul 2016
Working Paper Series
AQR Capital Management, LLC
Downloads
6,554
32.
A Short, Comprehensive, Practical Guide to Copulas
GARP Risk Professional, p. 22-27, October 2011
Number of pages: 12
Posted: 09 Sep 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
6,548
33.
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
6,483
34.
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
6,141
35.
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: 18
Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
6,083
36.
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
6,050
37.
Momentum Has Its Moments
Journal of Financial Economics (JFE), vol. 116, Issue 1, 2015, 111-120
Number of pages: 39
Posted: 18 Apr 2012
Last Revised: 20 Nov 2015
Accepted Paper Series
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads
6,036
38.
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
5,935
39.
All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms
Number of pages: 19
Posted: 09 Apr 2016
Working Paper Series
Quantopian Inc, Quantopian Inc., Quantopian Inc and Quantopian Inc
Downloads
5,763
40.
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 Fundvisory
Downloads
5,677
41.
Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors
Number of pages: 11
Posted: 10 Aug 2008
Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
5,538
42.
Behavioral Portfolio Management
Journal of Behavioral Finance & Economics, Forthcoming
Number of pages: 37
Posted: 02 Feb 2013
Last Revised: 03 Feb 2015
Accepted Paper Series
University of Denver - Daniels College of Business
Downloads
5,492
43.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
5,426
44.
Taming Momentum Crashes: A Simple Stop-Loss Strategy
Number of pages: 52
Posted: 12 Mar 2014
Last Revised: 25 Sep 2016
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads
5,408
45.
Discerning Information from Trade Data
Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56
Posted: 23 Jan 2012
Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
5,183
46.
Mean-Variance Investing
Columbia Business School Research Paper No. 12/49
Number of pages: 62
Posted: 19 Aug 2012
Working Paper Series
BlackRock, Inc
Downloads
5,096
47.
Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37
Posted: 08 Aug 2011
Last Revised: 31 Jan 2014
Accepted Paper Series
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
5,030
48.
Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices
Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22
Posted: 01 Jun 2013
Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads
5,029
49.
Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids
GARP Risk Professional, pp. 52-53, February 2010
Number of pages: 4
Posted: 04 Feb 2010
Last Revised: 14 May 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
4,809
50.
Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010
Number of pages: 8
Posted: 14 Jul 2010
Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
4,765
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