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Advanced Risk & Portfolio Management® Research Paper Series
1,083,228 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
Continuous Time Macro-Finance, Financial Transactions and WavesVictor Olkhov TVEL Fuel Company Date Posted: May 19, 2017 Working Paper Series 19 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 13 downloads
Asset Correlation, Diversification and the Basel Accord: A Comparative StudyOliver Blümke Raiffeisen Bank International Date Posted: May 18, 2017 Working Paper Series 16 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 12 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 112 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 16 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: May 19, 2017 Working Paper Series 42 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 22 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 66 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 56 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 147 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 21 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 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
Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio ChoiceC. 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
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 53 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 14 downloads
From Failure to Success: Replacing the Failure RateJavier 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
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
Fast LP Algorithms for Portfolio OptimizationAndrzej Palczewski University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics Date Posted: April 13, 2017 Working Paper Series 88 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 1517 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: 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
Forecasting a Volatility TsunamiAndrew Thrasher, CMT Independent Date Posted: April 11, 2017 Working Paper Series 2972 downloads
Mean-Reverting Statistical Arbitrage in Crude Oil MarketsViviana Fanelli University of Bari Date Posted: April 10, 2017 Working Paper Series 224 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 45 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 155 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 109 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 97 downloads The Conditional Beta in the CAPM Fabrizio Di Sciorio Independent 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 90 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 730 downloads
Simple Solutions to an Extended Class of Time-Inconsistent Portfolio ProblemsEsben 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
Approximations to Expected Utility Optimization in Continuous TimeMaj-Britt Nordfang and Mogens Steffensen Independent and University of Copenhagen Date Posted: April 03, 2017 Working Paper Series 25 downloads
MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion ModelsMatthew 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
Life Cycle Investing and Smart Beta StrategiesBill Carson, Sara Shores and Nicholas Nefouse BlackRock, Inc, BlackRock and BlackRock, Inc Date Posted: April 03, 2017 Working Paper Series 187 downloads
Stock-Bond Correlation and Duration Risk AllocationJournal 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
Modeling of Bank Capital Adequacy Ratios via a Lévy Process-Driven ModelFatma Chakroun University of Sfax-Faculty of Economics and Management (FSEGS) Date Posted: March 29, 2017 Working Paper Series 19 downloads
Modelling Foreign Exchange Rate Transaction Exposure of UK Insurance Companies: A Cash Flow-Based MethodologyJournal of Economic and Administrative Science,32(2),120-136. Islam amer Independent Date Posted: March 28, 2017 Accepted Paper Series 26 downloads
A Sharpe Ratio Neutral Prior for Bayesian Portfolio SelectionRoman 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
Quantifying the Diversity of News Around Stock Market MovesChester 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
Hidden Leaders: Identifying High-Frequency Lead-Lag Structures in a Multivariate Price Formation FrameworkGiuseppe 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
Multivariate Volatility Regulated Kelly Strategy: A Superior Choice in Low Correlated PortfoliosZhenya 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
Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal PortfoliosAlberto 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
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
Direct Estimation of Factor Exposures from Appraisal ReturnsJenwen Lin University of Toronto - Department of Statistics Date Posted: March 18, 2017 Working Paper Series 51 downloads
Cross-Sectional and Time-Series Momentum Returns and Market StatesMuhammad 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 |
