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
There are 2 versions of this paper
Dynamic Multi-Factor Bid-Offer Adjustment Model - Visual Version
Institutional Investor Journals, Journal of Trading, Vol. 9, No. 3 (Summer 2014), pp. 42-55
Number of pages: 17
Posted: 01 May 2014
Last Revised: 21 Jan 2015
Downloads
88
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
25.
Lifestyle or Lifecycle Funds Are They the Answer to Retirement Wealth Creation?
Posted: 21 May 2019
Accepted Paper Series
Bond University Business School
26.
All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms
Posted: 21 May 2019
Accepted Paper Series
Quantopian Inc, Quantopian Inc., Quantopian Inc and Quantopian Inc
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
28.
Stocks, Bonds, Risk, and the Holding Period: An International Perspective
Posted: 20 May 2019
Accepted Paper Series
IESE Business School
29.
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
Posted: 20 May 2019
Accepted Paper Series
and University of California, Berkeley
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
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