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Advanced Risk & Portfolio Management® Research Paper Series
1,016,304 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 1,870
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1 2 3 4 ... 38 | Next >
   

Incl. Electronic Paper Cloaked Trading
Transparency, VOLUME 17 | NUMBER 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
Accepted Paper Series
19 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
Working Paper Series
243 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
23 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
19 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
11 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
56 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
224 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
19 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
46 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
36 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 (Moscow) - Faculty of Economics
Date Posted: December 29, 2016
Accepted Paper Series
71 downloads

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

Incl. Electronic Paper The Index Fund Rationality Paradox and Categorical Thinking
Evgeni B. Tarassov
National Research University Higher School of Economics (Moscow) - Faculty of Economics
Date Posted: December 29, 2016
Last Revised: December 30, 2016
Working Paper Series
27 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
259 downloads

Incl. Electronic Paper Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution
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: December 24, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Modelling Electricity Swaps with Stochastic Forward Premium Models
Iván Blanco, Juan Ignacio Peña and Rosa Rodríguez
Universidad Carlos III de Madrid, 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
43 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
18 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
67 downloads

Competition in the Stock Market with Asymmetric Information
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
Working 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
25 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
22 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
100 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
43 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
39 downloads

Incl. Electronic Paper Managing Risks in Institutional Portfolios
Andrea Malagoli
Independent Consultant
Date Posted: November 29, 2016
Working Paper Series
109 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
82 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
139 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
63 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
73 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
300 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
201 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
33 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: January 04, 2017
Working Paper Series
60 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
890 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
146 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
45 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
104 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
27 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
41 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 Accounting and Finance, Alliance Manchester Business School, The University of Manchester
Date Posted: October 30, 2016
Working Paper Series
78 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
37 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
89 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
78 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
95 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
7 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
3897 downloads


 

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