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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 1 - 50 of 2,055 papers

1.

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 10,784
2.

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
3.

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
4.

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
5.

Practical Considerations for Factor-Based Asset Allocation

Posted: 22 May 2019
Accepted Paper Series
Standard & Poor's and CFA Institute
6.

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
7.

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
8.

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
AQR Capital Management, LLC, Virginia Retirement System (VRS) and Virginia Retirement System (VRS)
9.

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
10.

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 - Schools of Business
11.

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, AQR Capital Management, LLC and Georgetown University
12.

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 10,293
13.

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
14.

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 4,082
15.

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
16.

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
17.

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 3,840
18.

Bond Holding Period Return Decomposition

Posted: 21 May 2019
Accepted Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies
19.

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
20.

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
21.

Evaluation of Systematic Trading Programs

Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
Simple Complexity Wealth Advisors
22.

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

25.

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.

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
29.

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
30.

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 1,808
31.

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 1,178
32.

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
33.

Simulation of a Limit Order Driven Market

Posted: 20 May 2019
Accepted Paper Series
Independent and Zurich University of Applied Sciences
34.

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 161
35.

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

Number of pages: 26 Posted: 30 Apr 2018
Working Paper Series
Independent
Downloads 15
36.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 954
37.

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 37
38.

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 182
39.

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 473
40.

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
41.

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 1,456
42.

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 492
43.

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 52
44.

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 216
45.

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 56
46.

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 35
47.

A Probabilistic Graphical Models Approach to Model Interconnectedness

Number of pages: 15 Posted: 30 Nov 2017 Last Revised: 16 Mar 2019
Working Paper Series
Deloitte Financial Advisory Services, IHS Markit and IHS Markit
Downloads 147
48.

Quasi-Monte Carlo in Tree Pricing Models

Number of pages: 13 Posted: 29 Nov 2017
Working Paper Series
TD Bank
Downloads 31
49.

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 313
50.

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 75