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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 1 - 50 of 2,063 papers

1.

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 135
2.

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

Number of pages: 26 Posted: 30 Apr 2018
Working Paper Series
Independent
Downloads 9
3.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 858
4.

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 34
5.

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
KAIST College of Business and Princeton University - Bendheim Center for Finance
Downloads 133
6.

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 428
7.

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
8.

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 1,364
9.

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 429
10.

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 Sao Paulo (USP)
Downloads 47
11.

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
University of Neuchatel - Institute of Financial Analysis, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 177
12.

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
Independent, International University of Sarajevo (IUS) and American University in Bosnia and Herzegovina
Downloads 49
13.

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 30
14.

A Probabilistic Graphical Models Approach to Model Interconnectedness

Number of pages: 15 Posted: 30 Nov 2017 Last Revised: 16 Mar 2019
Working Paper Series
IHS Markit, IHS Markit and IHS Markit
Downloads 124
15.

Quasi-Monte Carlo in Tree Pricing Models

Number of pages: 13 Posted: 29 Nov 2017
Working Paper Series
TD Bank
Downloads 27
16.

Options Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-9
Number of pages: 23 Posted: 28 Nov 2017 Last Revised: 19 Sep 2018
Working Paper Series
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 259
17.

Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR Approach

Number of pages: 20 Posted: 28 Nov 2017 Last Revised: 07 Aug 2018
Working Paper Series
Federal University of Rio Grande do Sul (UFRGS) - Statistics Department and Flávio Ziegemann
Downloads 56
18.

Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy

Number of pages: 78 Posted: 27 Nov 2017
Working Paper Series
Tilburg University - Department of Finance and Bank Degroof Petercam
Downloads 339
19.

Momentum Investment Strategy: Winner-Loser Portfolio Momentum Profit in Indonesia

Jurnal Ekonomi dan Bisnis, 6(2) Jul 2012. ISSN: 1978-3116.
Posted: 27 Nov 2017
Accepted Paper Series
Gunadarma University
20.

BRICS: Is the Group Really Creating Impact?

International Journal of English Literature and Social Sciences (IJELS), Vol-2, Issue 6, Nov-Dec, 2017
Number of pages: 5 Posted: 22 Nov 2017
Accepted Paper Series
University of Karachi - Department of Commerce, University of Karachi - Department of Public Administration, Students and University of Karachi
Downloads 16
21.

Tail Risk Mitigation with Managed Volatility Strategies

Number of pages: 53 Posted: 22 Nov 2017
Working Paper Series
T. Rowe Price and T.Rowe Price
Downloads 456
22.

The Memory of Stock Return Volatility: Asset Pricing Implications

Journal of Financial Markets, Forthcoming
Number of pages: 66 Posted: 22 Nov 2017 Last Revised: 18 Jan 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 126
23.

The Risk Premium of Gold

Journal of International Money and Finance, Forthcoming
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 117
24.

Jumps in Commodity Markets

Journal of Commodity Markets, Vol. 13, 2019
Number of pages: 40 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Working Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 72
25.

Extracting Fama-French Factors in India, Premature?

Number of pages: 30 Posted: 22 Nov 2017 Last Revised: 02 Jan 2018
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 80
26.

Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems

Number of pages: 52 Posted: 20 Nov 2017
Working Paper Series
Université Paris Est - CERMICS, Ecole des Ponts ParisTech and Université Paris Est - CERMICS
Downloads 21
27.

Moderating Effect of Social Uncertainty between Capital Budgeting Practices and Performance

International Journal of Accounting and Financial Reporting, Vol. 7, No. 2, 2017
Number of pages: 17 Posted: 16 Nov 2017
Accepted Paper Series
University of Jaffna - Department of Financial Management
Downloads 34
28.

Analysis of Equity β Principal Components in Low Risk Framework: New Results and Prospectives

Number of pages: 37 Posted: 15 Nov 2017
Working Paper Series
Intermonte Sim, University of Pavia - Department of Economics and Business Sciences and University of Pavia - Department of Economics and Management
Downloads 101
29.

Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Journal of Financial Markets, Forthcoming
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 21 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 239
30.

Insurance Industry Value Chain

Number of pages: 13 Posted: 13 Nov 2017
Working Paper Series
Joseph Ayo Babalola University
Downloads 37
31.

The Index Option or the Portfolio?

Number of pages: 25 Posted: 13 Nov 2017
Working Paper Series
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 33
32.

ԵԿԱՄՏԱԲԵՐՈՒԹՅԱՆ ՆԵՐՔԻՆ ՆՈՐՄԻ ՄՈՏԱՐԿՈՒՄ ՍՓՈԹ ՏՈԿՈՍԱԴՐՈՒՅՔՆԵՐՈՎ (An Approximation of Internal Rate of Return with Spot Rates)

Proceedings of Engineering Academy of Armenia, Scientific and Technological Collected Articles, ISSN 1829-0043, XIII, Volume 4, pp.426-431
Number of pages: 6 Posted: 10 Nov 2017
Working Paper Series
Independent and Yerevan State University
Downloads 16
33.

How Do Short Selling Costs and Restrictions Affect the Profitability of Stock Anomalies?

Number of pages: 32 Posted: 09 Nov 2017 Last Revised: 11 Oct 2018
Working Paper Series
Tilburg University
Downloads 240
34.

A New Tight and General Bound on Return Predictability

Economics Letters, Forthcoming
Number of pages: 18 Posted: 08 Nov 2017
Accepted Paper Series
University College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 36
35.

Natural Hedging with Fix and Floating Strike Guarantees

Number of pages: 26 Posted: 07 Nov 2017
Working Paper Series
Mercator School of Management, Mercator School of Management and Mercator School of Management
Downloads 46
36.

Basis Risk When Hedging a Global Credit Portfolio

Number of pages: 35 Posted: 06 Nov 2017
Working Paper Series
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 40
37.

LCR Optimization Under HQLA Caps

Number of pages: 4 Posted: 04 Nov 2017
Working Paper Series
SAS Institute Inc.
Downloads 46
38.

The Effect of Financial Leverage and Market Size on Stock Returns on the Karachi Stock Exchange: Evidence from Selected Stocks in the Non-Financial Sector of Pakistan

The International Journal Of Business & Management, Vol. 5, Issue 10 (October, 2017)
Number of pages: 7 Posted: 04 Nov 2017
Accepted Paper Series
University of Karachi - Department of Commerce, University of Karachi - Department of Commerce, Students and University of Karachi - Department of Public Administration, Students
Downloads 81
39.

Clustering in Key G-7 Stock Market Indices

Peker, S., Bora Aktan, T. Manuela (2017) Clustering in Key G-7 Stock Market Indices: An Innovative Approach, Marketing and Management of Innovations, (Issue 1): 300-310
Number of pages: 11 Posted: 02 Nov 2017
Accepted Paper Series
Yasar University, University of Bahrain and Vilnius Gediminas Technical University
Downloads 24
40.

An Alternative Option to Portfolio Rebalancing

Number of pages: 34 Posted: 01 Nov 2017
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 383
41.

On the Diversification Benefit of Reinsurance Portfolios

SCOR Paper no 40 - Diversification Benefit
Number of pages: 33 Posted: 31 Oct 2017
Working Paper Series
SCOR, SCOR and DEAR-Consulting
Downloads 28
42.

Bitcoin, Portfolio Diversification and Chinese Financial Markets

Number of pages: 41 Posted: 31 Oct 2017 Last Revised: 10 Nov 2017
Working Paper Series
Cranfield University - School of Management and Cranfield University - School of Management
Downloads 277
43.

Do They Know What They Do?

Number of pages: 68 Posted: 31 Oct 2017 Last Revised: 02 Feb 2019
Working Paper Series
Aarhus University
Downloads 139
44.

An Empirical Examination of Clustering at Bahrain Bourse (BHB)

International Research Journal of Finance and Economics, Issue 110, June 2013
Number of pages: 6 Posted: 30 Oct 2017
Accepted Paper Series
University of Bahrain
Downloads 9
45.

Implied Fractional Hazard Rates and Default Risk Distributions

Probability, Uncertainty and Quantitative Risk, March 2017
Number of pages: 14 Posted: 25 Oct 2017
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and University of Lorraine
Downloads 16
46.

Robust Optimization by Constructing Near-Optimal Portfolios

Number of pages: 13 Posted: 23 Oct 2017
Working Paper Series
Ortec Finance and ORTEC
Downloads 86
47.

A Revised Basel Framework for Coop Banking Institutions Operating in North America

Number of pages: 24 Posted: 23 Oct 2017
Working Paper Series
Society of Actuaries
Downloads 27
48.

How Smart Beta Strategies Work in the Hong Kong Market

Number of pages: 26 Posted: 20 Oct 2017
Working Paper Series
S&P Dow Jones Indices and S&P Dow Jones Indices
Downloads 73
49.

Portfolio Insurance Using Leveraged ETFs

Number of pages: 24 Posted: 19 Oct 2017
Working Paper Series
East Tennessee State University and East Tennessee State University
Downloads 170
50.

State Space Approach to Adaptive Fuzzy Modeling for Financial Investment

Number of pages: 27 Posted: 19 Oct 2017 Last Revised: 19 Aug 2018
Working Paper Series
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and University of Tokyo, Graduate School of Economics, Students
Downloads 57