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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 1 - 50 of 2,046 papers

1.

Random Walk Theory and the Weak-Form Efficiency of the US Art Auction Prices

Journal of Banking and Finance, Vol. 34, No. 5, 2010
Number of pages: 41 Posted: 26 Feb 2020
Accepted Paper Series
Budapest University of Technology and Economics and Budapest University of Technology and Economics - Department of Finance
Downloads 263
2.

Perceived vs. Revealed Risk Tolerance For Efficient Asset Allocation

Number of pages: 43 Posted: 29 Dec 2019
Working Paper Series
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 44
3.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 15,341
4.

The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market

Posted: 22 May 2019 Last Revised: 22 May 2019
Accepted Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and Federal Reserve Banks - Federal Reserve Bank of New York
5.

Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies

Journal of Alternative Investments, Vol. 11, No. 3, 2009, https://doi.org/10.3905/JAI.2009.11.3.037
Posted: 22 May 2019
Accepted Paper Series
EDHEC Business School, Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - Department of Finance
6.

The Smart Beta Indexing Puzzle

Posted: 22 May 2019 Last Revised: 22 May 2019
Accepted Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
7.

Practical Considerations for Factor-Based Asset Allocation

Posted: 22 May 2019
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and CFA Institute
8.

Exchange-Traded Funds: Sector Performance and Diversification

Posted: 22 May 2019
Accepted Paper Series
DePaul University - Department of Finance and DePaul University - Department of Finance
9.

Contrasting Real Estate with Comparable Investments, 1978-2008

Journalof Portfolio Management, Vol. 35, No. 5, p. 141, 2009, https://doi.org/10.3905/JPM.2009.36.1.141
Posted: 21 May 2019
Accepted Paper Series
Zicklin School of Business, Baruch College and Yale School of Management
10.

Measuring Global Systemic Risk: What are Markets Saying About Risk?

Journal of Portfolio Management, Vol. 37, No. 1, Fall 2010, https://doi.org/10.3905/jpm.2010.37.1.067
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
University of Virginia, Darden Graduate School of Business, Virginia Retirement System (VRS) and Virginia Retirement System (VRS)
11.

What is the True Cost of Active Management? A Comparison of Hedge Funds and Mutual Funds

Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
National University of Singapore - NUS Business School and New York University (NYU) - Department of Finance
12.

An Optimization Strategy for Enhancing the Performance of Fund of Funds Portfolios

Midwest Finance Association 2012 Annual Meetings Paper, https://doi.org/10.3905/jpm.2012.38.2.147
Posted: 21 May 2019 Last Revised: 21 May 2019
Working Paper Series
Indiana University - Kelley School of Business - Department of Finance and Wake Forest University - School of Business
13.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012, https://doi.org/10.3905/jpm.2012.38.4.026
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
TIAA Institute - Covariance Capital Management, University of Virginia, Darden Graduate School of Business and Georgetown University
14.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 11,964
15.

Forecasting Yield Curves with Survey Information

JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163, https://doi.org/10.3905/jpm.2012.38.3.149
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
Zicklin School of Business, Baruch College and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
16.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 5,413
17.

Coming Up Short: Managing Underfunded Portfolios in a LDI-ES Framework

Posted: 21 May 2019
Accepted Paper Series
Santa Clara University - Leavey School of Business, Santa Clara University and Santa Clara University - Department of Finance
18.

A Test of Covariance Matrix Forecasting Methods

Journal of Portfolio Management, 215, https://doi.org/10.3905/jpm.2015.41.3.097
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
University of Agder - School of Business and Law
19.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 4,604
20.

Bond Holding Period Return Decomposition

Posted: 21 May 2019
Accepted Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies
21.

Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios

Posted: 21 May 2019
Accepted 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
22.

Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands

The Journal of Trading, Fall 2011, Vol. 6, No. 4, pp. 45-52, https://doi.org/10.3905/jot.2011.6.4.045
Posted: 21 May 2019
Accepted Paper Series
Liquidnet, Inc., Liquidnet, Inc and Liquidnet, Inc
23.

Evaluation of Systematic Trading Programs

Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
Simple Complexity Wealth Advisors
24.

Dynamic Multi-Factor Bid-Offer Adjustment Model

Institutional Investor Journals, Journal of Trading, Vol. 9, No. 3 (Summer 2014), pp. 42-55, https://doi.org/10.3905/jot.2014.9.3.042
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
Gain Knowledge Group

Multiple version iconThere are 2 versions of this paper

27.

Investment Management is Risk Management– Nothing More and Nothing Less

Critical Perspectives, No. 8, June 2011, https://doi.org/10.3905/jwm.2011.14.3.010
Posted: 20 May 2019 Last Revised: 23 May 2019
Accepted Paper Series
Fidante Partners
30.

Hedging Through a Limit Order Book with Varying Liquidity

Posted: 20 May 2019 Last Revised: 20 May 2019
Accepted Paper Series
University of Bologna - Faculty of Mathematical, Physical and Natural Sciences and Simon Fraser University
31.

Volatility-Decay Risk Premia

The Journal of Derivatives, Forthcoming, 2014, https://doi.org/10.3905/jod.2014.22.1.057
Posted: 20 May 2019 Last Revised: 20 May 2019
Accepted Paper Series
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management and Bank of Israel
32.

The Future of Empirical Finance

Journal of Portfolio Management, 41(4), Summer 2015
Number of pages: 12 Posted: 20 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,165
33.

Recent Trends in Empirical Finance

Journal of Portfolio Management, Vol. 41, No. 4, 2015
Number of pages: 8 Posted: 20 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,323
34.

Risk Parity Optimality

Posted: 20 May 2019 Last Revised: 20 May 2019
Accepted Paper Series
Fisher Family Ventures, Fairfield University - Charles F. Dolan School of Business and Independent
35.

Simulation of a Limit Order Driven Market

Posted: 20 May 2019
Accepted Paper Series
Independent and Zurich University of Applied Sciences
36.

Actively Managed Versus Passive Mutual Funds: A Horse Race of Two Portfolios

Number of pages: 31 Posted: 08 Aug 2018
Working Paper Series
Econ One Research and Data Science Partners
Downloads 254
37.

Revisão Bibliográfica - Construção De Portfólios (Survey - Portfolio Construction in Brazil)

Number of pages: 26 Posted: 30 Apr 2018
Working Paper Series
Independent
Downloads 26
38.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 1,106
39.

Variance Reduction and Efficiency of Monte Carlo Simulation in Financial Model

Number of pages: 7 Posted: 14 Dec 2017
Working Paper Series
University Hassan II of Casablanca - Department of Mathematics, University Cadi Ayyad - Department of Mathematics, University Hassan II of Casablanca - Department of Mathematics, University Hassan II of Casablanca - Department of Mathematics and University Hassan II of Casablanca
Downloads 48
40.

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Number of pages: 41 Posted: 13 Dec 2017
Working Paper Series
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Princeton University - Bendheim Center for Finance
Downloads 252
41.

A Brief History of Sharpe Ratio, and Beyond

Number of pages: 3 Posted: 13 Dec 2017 Last Revised: 16 Dec 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads 554
42.

Empirical Differences between the Overnight and Day Trading Hour Returns: Evidence from the Chinese Commodity Futures

China Finance Review International, Forthcoming
Posted: 12 Dec 2017
Accepted Paper Series
University of Liverpool based at XJTLU
43.

The Case for Bitcoin for Institutional Investors: Bubble Investing or Fundamentally Sound?

Number of pages: 17 Posted: 11 Dec 2017
Working Paper Series
Johns Hopkins University - Carey Business School and Maryland State Retirement and Pension System
Downloads 1,582
44.

Fama-French Factors and Business Cycles

Number of pages: 19 Posted: 10 Dec 2017
Working Paper Series
Saint Mary's College of California and Saint Mary's College of California
Downloads 847
45.

Measuring Default Risk for a Portfolio of Equities

Number of pages: 17 Posted: 08 Dec 2017 Last Revised: 23 Jul 2018
Working Paper Series
Universidade de Sao Paulo and University of São Paulo (USP)
Downloads 62
46.

Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation

International Review of Financial Analysis, Forthcoming
Number of pages: 26 Posted: 06 Dec 2017 Last Revised: 31 Dec 2018
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 255
47.

Fuzzy Logic Model of Soft Data Analysis for Corporate Client Credit Risk Assessment in Commercial Banking

Fifth Scientific Conference with International Participation “Economy of Integration” ICEI 2017
Number of pages: 10 Posted: 02 Dec 2017
Accepted Paper Series
American University in Bosnia and Herzegovina, International University of Sarajevo (IUS) and American University in Bosnia and Herzegovina
Downloads 70
48.

Strategic Investment and Risk Management For Sovereign Wealth Funds

Central Bank Reserves and Sovereign wealth Management, Edited by Arjan Bastiaan Berkelaar, Arjan B. Bekelaar, Joachim Coche, and Ken Nyholm, Palgrave Macmillian, Dec., 2009.
Number of pages: 46 Posted: 30 Nov 2017
Accepted Paper Series
Bank for International Settlements (BIS) and ETH Zurich
Downloads 42
49.

A Probabilistic Graphical Models Approach to Model Interconnectedness

International Journal of Risk Assessment and Management 23 (2), 119-133
Number of pages: 15 Posted: 30 Nov 2017 Last Revised: 07 Jul 2020
Accepted Paper Series
Deloitte Financial Advisory Services, IHS Markit and IHS Markit
Downloads 220
50.

Quasi-Monte Carlo in Tree Pricing Models

Number of pages: 13 Posted: 29 Nov 2017
Working Paper Series
TD Bank
Downloads 41