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Advanced Risk & Portfolio Management® Research Paper Series
1,032,225 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 1,893
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1 2 3 4 ... 38 | Next >
   

Incl. Electronic Paper Fuzzy Logic-Based Portfolio Selection with Particle Filtering and Anomaly Detection
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: February 17, 2017
Working Paper Series
45 downloads

Incl. Electronic Paper The Reality of Stock Market Jumps Diversification
Ke Chen, Luiz Vitiello, Stuart Hyde and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Date Posted: February 14, 2017
Last Revised: February 15, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Wounded Wolves: Turnaround Stocks Quantitative Screening Backtesting
Carlos Salas Najera
New York City Data Science Academy
Date Posted: February 13, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Closed-form Solution for American Options
Wai Man Raymond Tse
Department of Finance, Faculty of Business, Chu Hai College of Higher Education
Date Posted: February 08, 2017
Last Revised: February 13, 2017
Working Paper Series
81 downloads

Incl. Electronic Paper Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives Over One Time Step in the Presence of General Convex Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Working Paper Series
61 downloads

Incl. Electronic Paper A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Ca' Foscari University of Venice and Scuola Normale Superiore
Date Posted: February 08, 2017
Last Revised: February 19, 2017
Working Paper Series
101 downloads

Casual and Dynamic Linkage of Stock Markets: An Empirical Study of Karachi Stock Exchange (KSE) with Emerging and Developed Equity Markets
Kashif Hamid and Arshad Hasan
University of Agriculture, Faisalabad - Institute of Business Management Sciences and Capital University of Science and Technology
Date Posted: February 06, 2017
Working Paper Series

Incl. Electronic Paper Does Fundamental Indexation Really Offer Unique Superior Risk-Return Characteristics?
David Krejca and Jan Svenda
Independent and Independent
Date Posted: February 06, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Managing and Pricing Contingent Liquidity within a Banking Operation Using the COLA Framework
Jeroen Heijneman, Paul Wessels and Sam van Hensbergen
KPMG the Netherlands, Dutch Central Bank (DNB) and KPMG the Netherlands
Date Posted: February 05, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper IPO Allocations and New Mutual Funds
Frankie Chau, Yi Gu and Christodoulos Louca
Durham University Business School, Durham University and Cyprus University of Technology
Date Posted: February 04, 2017
Working Paper Series
28 downloads

Predictability of Predictability: Time-Varying Momentum and Reversal Across Assets and Over Time
Thomas Conlon, Richard M. Levich and Valerio Potì
University College Dublin, New York University - Stern School of Business and University College Dublin
Date Posted: February 02, 2017
Working Paper Series

Incl. Electronic Paper Factor Investing: The Rocky Road from Long Only to Long Short
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: February 02, 2017
Working Paper Series
114 downloads

Incl. Electronic Paper Good Deal Indices in Asset Pricing: Actuarial and Financial Implications
Alejandro Balbás, José Garrido and Ramin Okhrati
Universidad Carlos III de Madrid - Department of Business Administration, Concordia University, Quebec - Department of Mathematics & Statistics and University of Southampton - School of Mathematics
Date Posted: February 01, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Supercomputing for Finance: A Gentle Introduction (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: January 30, 2017
Last Revised: February 01, 2017
Working Paper Series
306 downloads

Incl. Electronic Paper Do Different Price Points Exhibit Different Investment Risk and Return Commercial Real Estate
David Geltner and Alex van de Minne
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT)
Date Posted: January 28, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Option-Implied Correlations, Factor Models, and Market Risk
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Date Posted: January 27, 2017
Working Paper Series
154 downloads

Incl. Electronic Paper Portfolio Performance Across Genders and Generations: The Role of Financial Innovation
International Review of Financial Analysis, Vol. Forthcoming
Denis Davydov, Otto Florestedt, Jarkko Peltomäki and Marcus Schön
University of Vaasa - Department of Accounting and Finance, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Date Posted: January 25, 2017
Last Revised: February 02, 2017
Accepted Paper Series
62 downloads

Incl. Electronic Paper Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Date Posted: January 23, 2017
Working Paper Series
145 downloads

Incl. Electronic Paper Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Date Posted: January 23, 2017
Working Paper Series
141 downloads

Incl. Electronic Paper Assessing Target Volatility Investment Strategies Using Stochastic Delayed Differential Models
Lorenzo Torricelli
Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: January 21, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Cloaked Trading
Journal of Investment Consulting, Vol. 17, No. 2, 2016
Lauren Cohen, Dong Lou and Christopher J. Malloy
Harvard Business School, London School of Economics & Political Science (LSE) and Harvard Business School
Date Posted: January 20, 2017
Last Revised: January 28, 2017
Accepted Paper Series
194 downloads

Incl. Electronic Paper Forecasting ETFs with Machine Learning Algorithms
Jim Kyung-Soo Liew and Boris Mayster
Johns Hopkins University - Carey Business School (JHU) and Johns Hopkins University - Carey Business School (JHU)
Date Posted: January 17, 2017
Last Revised: January 30, 2017
Working Paper Series
565 downloads

Incl. Electronic Paper Regularized Decomposition Methods for Deterministic and Stochastic Convex Optimization and Application to Portfolio Selection with Direct Transaction and Market Impact Costs
Vincent Guigues, Miguel Lejeune and Wajdi Tekaya
Fundação Getulio Vargas, George Washington University and Quant-Dev
Date Posted: January 17, 2017
Working Paper Series
49 downloads

Incl. Electronic Paper Shrunk Volatility VaR: An Application on US Balanced Portfolios
Stefano Colucci
Symphonia Sgr
Date Posted: January 12, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Investment, Financing, and Option-for-Guarantee Swap
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance
Date Posted: January 10, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Flight to Gold: Extreme Weather Events and Stock Returns
Matthew G. Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and EDHEC Business School
Date Posted: January 09, 2017
Working Paper Series
83 downloads

Incl. Electronic Paper Diversify and Purify Factor Premiums in Equity Markets
Raul Leote de Carvalho, Lu Xiao, François Soupé and Patrick Dugnolle
BNP Paribas Investment Partners, BNP Paribas Investment Partners, THEAM, BNP Paribas Investment Partners and BNP Paribas - BNP Paribas Investment Partners
Date Posted: January 09, 2017
Working Paper Series
443 downloads

Incl. Electronic Paper Pitfalls of Downside Performance Measures with Arbitrary Targets
Benedikt Hoechner, Peter Reichling and Gordon Schulze
University of Magdeburg, Otto-von-Guericke University Magdeburg and University of Magdeburg
Date Posted: January 06, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Are Value Stocks More Exposed to Disaster Risk? Evidence from Extreme Weather Events
Matthew G. Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and EDHEC Business School
Date Posted: January 04, 2017
Working Paper Series
63 downloads

Incl. Electronic Paper Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs
Akinsomi, Omokolade, Coskun, Yener, Gupta, Rangan and Lau, Chi Keung Marco. (2016). Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs, Working Paper. No. 2016-88. December 28. University of Pretoria.
Omokolade Akinsomi, Yener Coskun, Rangan Gupta and Chi Keung Marco Lau
University of the Witwatersrand, Capital Markets Board of Turkey, University of Pretoria - Department of Economics and Northumbria University
Date Posted: January 01, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper Exchange Traded Funds (ETF): History, Mechanism, Academic Literature Review and Research Perspectives
Journal of Corporate Finance Research, Vol. 38, No. 2, pp. 89-108
Evgeni B. Tarassov
National Research University Higher School of Economics - Faculty of Economics
Date Posted: December 29, 2016
Accepted Paper Series
104 downloads

Incl. Electronic Paper The Russian ETF Anomaly and Its Possible Reasons
Evgeni B. Tarassov
National Research University Higher School of Economics - Faculty of Economics
Date Posted: December 29, 2016
Working Paper Series
39 downloads

Incl. Electronic Paper The Index Fund Rationality Paradox and Categorical Thinking
Evgeni B. Tarassov
National Research University Higher School of Economics - Faculty of Economics
Date Posted: December 29, 2016
Last Revised: December 30, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling
Christian P. Fries
LMU Munich, Department of Mathematics
Date Posted: December 29, 2016
Last Revised: February 11, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Asset Allocation Strategies, the 1/N Rule, and Data Snooping
Po-Hsuan Hsu, Han Qi heng, Wu Wen sheng and Zhiguang Cao
University of Hong Kong, Hefei University of Technology, Hefei University of Technology and Shanghai University of Finance and Economics
Date Posted: December 23, 2016
Working Paper Series
390 downloads

Incl. Electronic Paper Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution
Georgetown McDonough School of Business Research Paper No. 2888961
So Yeon Chun and Miguel Lejeune
Georgetown University - Robert Emmett McDonough School of Business and George Washington University
Date Posted: December 22, 2016
Last Revised: February 05, 2017
Working Paper Series
54 downloads

Incl. Electronic Paper Modelling Electricity Swaps with Stochastic Forward Premium Models
Iván Blanco, Juan Ignacio Peña and Rosa Rodríguez
CUNEF, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Date Posted: December 20, 2016
Working Paper Series
61 downloads

Incl. Electronic Paper The Risk of Creativity: EaR for the Intellectual Assets Portfolio
Vision 2020: Innovation Management, Development Sustainability, and Competitive Economic Growth, Proceedings of the 28th International Business Information Management Association Conference, November 9-10, 2016, Seville, Spain
Victor Voronov, Viktor V. Ivanov and Darushin Ivan A.
Saint Petersburg State University of Economics, Saint Petersburg State University and Saint Petersburg State University
Date Posted: December 19, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper 'Algorithmic Trading and Its Implications on Capital Markets'
2nd International Conference on Business Analytics & Intelligence (ICBAI) held at the Indian Institute of Science, Bangalore (India).
Sriram "Sri" Kannan
IBM
Date Posted: December 15, 2016
Accepted Paper Series
86 downloads

Competition in the Stock Market with Asymmetric Information
Economic Modelling 61, 40-49, 2017, DOI: org/10.1016/j.econmod.2016.11.024
Kun Tracy Wang and Walter Wang
Australian National University - Research School of Accounting and Australian National University - Research School of Finance, Actuarial Studies and Applied Statistics
Date Posted: December 14, 2016
Last Revised: January 22, 2017
Accepted Paper Series

Incl. Electronic Paper Variable Annuities with High Water Mark Withdrawal Benefit
Patrick Cheridito and Peiqi Wang
ETH Zurich and Princeton University
Date Posted: December 14, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper On the Chinese Treasury Yield Curve: A Different Story
Huang Chen and Wen Wang
Harbin Institute of Technology, Weihai and Harbin Institute of Technology, Weihai
Date Posted: December 12, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Ambiguity, Macro Factors, and Stock Return Volatility
Le (Lexi) Kang and Hwagyun Kim
Texas A&M University (TAMU), Mays Business School, Department of Finance and Texas A&M University - Mays Business School
Date Posted: December 06, 2016
Working Paper Series
108 downloads

Incl. Electronic Paper Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Tim Leung and Hyungbin Park
University of Washington - Department of Applied Math and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: December 06, 2016
Working Paper Series
50 downloads

CVA Calculation of Interest Rate Swap
Sanjay Rajaram
IMAGINESYS INC
Date Posted: December 06, 2016
Working Paper Series

Incl. Electronic Paper Wavelet Analysis of Stock Return Comovements in Emerging Markets
Debojyoti Das, M. Kannadhasan and Vinay Goyal
Indian Institute of Management Raipur, Independent and Indian Institute of Management (IIM), Raipur
Date Posted: December 02, 2016
Working Paper Series
55 downloads

Incl. Electronic Paper Managing Risks in Institutional Portfolios
Andrea Malagoli
Independent Consultant
Date Posted: November 29, 2016
Working Paper Series
160 downloads

Incl. Electronic Paper On the Robustness and Sparsity Trade-Off in Mean-Variance Portfolio Selection
Yufei Yang, Selin Damla Ahipasaoglu and Jingnan Chen
Singapore University of Technology and Design (SUTD), Singapore University of Technology and Design (SUTD) and Singapore University of Technology and Design (SUTD)
Date Posted: November 22, 2016
Working Paper Series
98 downloads

Incl. Electronic Paper The Statistics of Bitcoin and Cryptocurrencies
Advanced Risk & Portfolio Management Paper
Joerg Osterrieder
Zurich University of Applied Sciences
Date Posted: November 18, 2016
Last Revised: November 25, 2016
Accepted Paper Series
182 downloads

Incl. Electronic Paper Event Study on the Reaction of Stock Returns to Acquisition News
Fotoh Lazarus Elad and Nko Solange Bongbee
Karlstad University Business School, Student and TD Bank
Date Posted: November 18, 2016
Working Paper Series
76 downloads


 

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