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Advanced Risk & Portfolio Management® Research Paper Series
1,006,668 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 1,851
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1 2 3 4 ... 38 | Next >
   

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
14 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 and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Date Posted: December 06, 2016
Working Paper Series
18 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, affiliation not provided to SSRN and Indian Institute of Management (IIM), Raipur
Date Posted: December 02, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Managing Risks in Institutional Portfolios
Andrea Malagoli
Independent Consultant
Date Posted: November 29, 2016
Working Paper Series
47 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
44 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
95 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
36 downloads

An Empirical Investigation of a Structural Credit Risk Model
guan seng khoo
Singapore Management University
Date Posted: November 17, 2016
Working Paper Series

Incl. Electronic Paper Bitcoin and Cryptocurrencies - Not for the Faint-Hearted
Advanced Risk & Portfolio Management Paper
Joerg Osterrieder, Julian Lorenz and Martin Strika
Zurich University of Applied Sciences, Independent and Zurich University of Applied Sciences
Date Posted: November 17, 2016
Last Revised: November 28, 2016
Accepted Paper Series
44 downloads

Incl. Electronic Paper Risk Control of Mean-Reversion Time in Statistical Arbitrage
Joongyeub Yeo and George Papanicolaou
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Department of Mathematics
Date Posted: November 14, 2016
Last Revised: November 19, 2016
Working Paper Series
139 downloads

Incl. Electronic Paper A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour
Big Data & Innovative Financial Technologies Research Paper Series
Joerg Osterrieder and Julian Lorenz
Zurich University of Applied Sciences and Independent
Date Posted: November 10, 2016
Last Revised: November 24, 2016
Accepted Paper Series
162 downloads

Incl. Electronic Paper Determinants of IPO Activity: Does IPO Activity Fluctuate in Accordance with the Business Cycle? Evidence from European Firms
Marcio Genovevo da Costa
Lucerne University of Applied Sciences and Arts
Date Posted: November 10, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper An Algebraic Model for Hedging Equity Index Portfolios with Stock Index Futures. Evidence from the IBEX 35
Javier Sánchez-Verdasco
Incompany Formación en Finanzas
Date Posted: November 10, 2016
Last Revised: November 25, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Exchange Traded Funds (ETFs)
Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Date Posted: November 08, 2016
Last Revised: November 11, 2016
Working Paper Series
225 downloads

Optimal Investment and Consumption When Regime Transitions Cause Price Shocks
Insurance: Mathematics and Economics, Vol. 51, No. 3, November 2012
Andrew Lim and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences and Chulalongkorn University - Department of Banking & Finance
Date Posted: November 07, 2016
Accepted Paper Series

Incl. Electronic Paper Portfolio Construction and Global Asset Allocation: A Practitioner Solution to a Black-Litterman Flaw
Simon E. Nocera
Lumen Advisors, LLC
Date Posted: November 07, 2016
Working Paper Series
112 downloads

Incl. Electronic Paper Are Critical Slowing Down Indicators Useful to Detect Financial Crises?
Systemic Risk Tomography: Signals, Measurement and Transmission Channels, edited by Monica Billio, Loriana Pelizzon and Roberto Savona, Iste Press - Elsevier, Elsevier Science & Technology, Release date in January 2017, Forthcoming
Hayette Gatfaoui, Isabelle Nagot and Philippe de Peretti
IESEG School of Management (Paris campus), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Date Posted: November 04, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Closed-Form Solutions for Black-Litterman Model with Conditional Value at Risk
Tao Pang and Cagatay Karan
North Carolina State University and North Carolina State University
Date Posted: November 01, 2016
Working Paper Series
71 downloads

Incl. Electronic Paper CVA Wrong Way Risk Multiplier Decomposition and Efficient CVA Curve
Journal of Risk Management in Financial Institutions, Vol. 8, No. 4, 390-404 (2015)
Tao Pang, Wei Chen and Le Li
North Carolina State University, SAS Institute Inc. and SAS Institute Inc.
Date Posted: November 01, 2016
Accepted Paper Series
22 downloads

Measuring the Under-Diversification of Socially Responsible Investments
Applied Economics Letters, Forthcoming
Fabio Pizzutilo
Università degli Studi di Bari “Aldo Moro”
Date Posted: October 31, 2016
Accepted Paper Series

Incl. Electronic Paper Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
CES Working Paper 2016.46
Monica Billio, Lorenzo Frattarolo, Hayette Gatfaoui and Philippe de Peretti
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Date Posted: October 31, 2016
Last Revised: November 28, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Default Risk and the Market Skewness Risk Effect
Zhongxiang Xu, Xiafei Li, Thanaset Chevapatrakul and Ning Gao
University of Nottingham, University of Nottingham, Students, Nottingham University Business School, Nottingham University Business School and University of Manchester - Division of Accounting and Finance
Date Posted: October 30, 2016
Working Paper Series
60 downloads

Incl. Electronic Paper On Certain Goodness-of-Fit Tests in Operational Risk Modeling
The Journal of Operational Risk, 2017, Forthcoming
Kirill Mayorov, James Hristoskov and N Balakrishnan
McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students, RBC Financial Group and McMaster University
Date Posted: October 29, 2016
Accepted Paper Series
32 downloads

Incl. Electronic Paper Multivariate Dependence Risk and Portfolio Selection: An Application to International Stock Portfolio
Beatrice D Simo-Kengne, Kofi Agyarko Ababio, Ur Koumba and Jules Mba
University of Johannesburg - Department of Economics, University of Johannesburg - Department of Economics, University of Johannesburg - Department of Pure and Applied Mathematics and University of Johannesburg - Department of Pure and Applied Mathematics
Date Posted: October 27, 2016
Working Paper Series
69 downloads

Incl. Electronic Paper Underdetermination and Variability of the Results in Macro-to-Micro Stress Tests – A Machine Learning Approach
Alexander Denev and Orazio Angelini
IHS Markit and IHS Markit
Date Posted: October 26, 2016
Working Paper Series
66 downloads

Incl. Electronic Paper Mean-Variance Portfolio with Generalized EMA and Anomaly Detector
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: October 25, 2016
Working Paper Series
71 downloads

Incl. Electronic Paper Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation
Annals of Economics and Finance, Forthcoming
Ozcan Ceylan
Istanbul Kemerburgaz University
Date Posted: October 25, 2016
Last Revised: November 28, 2016
Accepted Paper Series
3 downloads

Incl. Electronic Paper Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin
Victor Haghani and Richard Dewey
Elm Partners and Pimco
Date Posted: October 25, 2016
Working Paper Series
3349 downloads

Incl. Electronic Paper Dynamic Concave Performance Measures and Bid and Ask Prices with Stochastic Liquidity
Gero Junike
Universitat Autonoma de Barcelona
Date Posted: October 20, 2016
Working Paper Series
46 downloads

Limited Information-Processing Capacity And Asymmetric Stock Correlations
Quantitative Finance, Vol. 15, No. 6, pp. 1031-1039, 2015
Ozcan Ceylan
Istanbul Kemerburgaz University
Date Posted: October 20, 2016
Last Revised: October 24, 2016
Accepted Paper Series

A Measure for the Diversification Trade-Off in Socially Responsible Investments
Working Paper Series on Social Responsibility, Ethics and Sustainable Business, Vol. 5 (2016)
Fabio Pizzutilo
Università degli Studi di Bari “Aldo Moro”
Date Posted: October 19, 2016
Working Paper Series

Incl. Electronic Paper Bringing Order to Chaos: Capturing Relevant Information with Hedge Fund Factor Models
Yongjia Li and Alexey Malakhov
University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance and University of Arkansas, Fayetteville - Sam M. Walton College of Business, Department of Finance
Date Posted: October 14, 2016
Last Revised: December 01, 2016
Working Paper Series
196 downloads

Incl. Electronic Paper Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
J.D. Opdyke and Kirill Mayorov
DataMineit, LLC; GE Capital and McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students
Date Posted: October 13, 2016
Last Revised: October 17, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Mathematics & Economics: A Reality Check (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: October 13, 2016
Working Paper Series
264 downloads

Incl. Electronic Paper Financial Quantum Computing (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: October 07, 2016
Working Paper Series
208 downloads

Incl. Electronic Paper Pricing Variance and Volatility Swaps for Barndorff-Nielsen and Shephard Process Driven Financial Markets
International Journal of Financial Engineering, Forthcoming
Semere Habtemicael and Indranil SenGupta
North Dakota State University and North Dakota State University
Date Posted: October 05, 2016
Accepted Paper Series
45 downloads

Incl. Electronic Paper Price Response to Factor Index Additions and Deletions
Joop Huij and Georgi Kyosev
Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM)
Date Posted: October 03, 2016
Last Revised: October 19, 2016
Working Paper Series
222 downloads

Incl. Electronic Paper A Short Note on Absorbed Geometric Brownian Motions
Daniel Berger
Independent
Date Posted: October 02, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Performance of the Implied Equity Duration in Small Stock Markets
Olga Fullana and David Toscano
Universidad CEU Cardenal Herrera and University of Liverpool
Date Posted: September 30, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Constrained Kelly Portfolios under α-Stable Laws
Niels Wesselhöfft
Humboldt Universität zu Berlin | IRTG 1792
Date Posted: September 30, 2016
Last Revised: October 25, 2016
Working Paper Series
71 downloads

Incl. Electronic Paper Looking Through Systemic Risk: Determinants, Stress Testing and Market Value
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Date Posted: September 28, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper A Question of Legacy: Measuring and Managing Behavioral Risk in Variable Annuities
Aaron Sarfatti and Ramy Tadros
Oliver Wyman and Marsh & McLennan Companies - Oliver Wyman
Date Posted: September 27, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Date Posted: September 23, 2016
Working Paper Series
288 downloads

Incl. Electronic Paper Understanding the Oil Price Movement: Short versus Long Run Using the Leap Frog Model
Yosef Bonaparte
University of Colorado at Denver - Department of Finance
Date Posted: September 22, 2016
Last Revised: October 20, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Tail Systemic Risk and Banking Network Contagion: Evidence from the Brazilian Banking System
ICMA Centre Discussion Paper No. 2016-05
Miguel Angel Rivera-Castro, Andrea Ugolini and J. C. Arismendi
Post graduate programme in management - PPGA, University of Salvador (UNIFACS), University of Florence and University of Reading - ICMA Centre
Date Posted: September 22, 2016
Last Revised: September 24, 2016
Accepted Paper Series
37 downloads

Incl. Electronic Paper Analysis of Herding in REITs of an Emerging Market: The Case of Turkey
University of Pretoria, Department of Economics Working Paper Series, 2016-66, September, 2016
Omokolade Akinsomi, Yener Coskun and Rangan Gupta
University of the Witwatersrand, Capital Markets Board of Turkey and University of Pretoria - Department of Economics
Date Posted: September 21, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper ETFs vs Structured Notes: The Equity Yield Enhancement Puzzle
Nicolas Patassi
Mirabaud Asset Management (FR)
Date Posted: September 20, 2016
Working Paper Series
57 downloads

Incl. Electronic Paper A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Date Posted: September 20, 2016
Last Revised: October 21, 2016
Working Paper Series
59 downloads

Incl. Electronic Paper Leveraged Funds: Robust Replication and Performance Evaluation
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Date Posted: September 19, 2016
Working Paper Series
87 downloads


 

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