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Advanced Risk & Portfolio Management® Research Paper Series
1,047,267 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 1,904
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1 2 3 4 ... 39 | Next >
   

A Sharpe Ratio Neutral Prior for Bayesian Portfolio Selection
Roman Andreas Croessmann
Ludwig Maximilian University of Munich - Institute for Finance & Banking
Date Posted: March 24, 2017
Working Paper Series

Incl. Electronic Paper Quantifying the Diversity of News Around Stock Market Moves
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis, Quantifying the diversity of news around stock market moves, Journal of Network Theory in Finance 3(1), 1–20 (2017).,
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis
Boston University, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University College London - Department of Civil, Environmental and Geomatic Engineering and Data Science Lab, Behavioural Science, Warwick Business School
Date Posted: March 23, 2017
Accepted Paper Series
26 downloads

Multi-Style and Rotation Equity Strategies in European Equity Markets
Carlos Salas Najera
New York City Data Science Academy
Date Posted: March 23, 2017
Working Paper Series

Incl. Electronic Paper Hidden Leaders: Identifying High-Frequency Lead-Lag Structures in a Multivariate Price Formation Framework
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
Scuola Normale Superiore, Ca' Foscari University of Venice and University of Lugano and Swiss Finance Institute
Date Posted: March 23, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas
IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: March 21, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Simple New Method to Predict Bear Markets (The Entropic Linkage between Equity and Bond Market Dynamics)
Edgar Parker Jr.
New York Life Insurance Company
Date Posted: March 20, 2017
Last Revised: March 23, 2017
Working Paper Series
72 downloads

Incl. Electronic Paper Direct Estimation of Factor Exposures from Appraisal Returns
Jenwen Lin
University of Toronto - Department of Statistics
Date Posted: March 18, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Cross-Sectional and Time-Series Momentum Returns and Market States
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato, University of Waikato and University of Waikato
Date Posted: March 16, 2017
Last Revised: March 24, 2017
Working Paper Series
143 downloads

Incl. Electronic Paper A Short Note on Spearman Correlation: Impact of Tied Observations
Yang Liu
HSBC Bank (Canada)
Date Posted: March 16, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Functional Analysis of Cross-Sectional Return on Chinese a Shares
Zhenya Liu, Yuqian Zhao, Ruanmin Cao and Lajos Horváth
Renmin University of China, University of Birmingham - Department of Economics, University of Birmingham - Department of Economics and University of Utah - Department of Mathematics
Date Posted: March 16, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Optimal Market Making Based on the Hamilton-Jacobi-Bellman Equation-Integral Utility with a Discount
Atsunari Konishi
KEK Theory Center
Date Posted: March 15, 2017
Last Revised: March 17, 2017
Working Paper Series
42 downloads

贝叶斯调整的银行存款保险保费定价的研究 (Research on the Pricing of Bayesian Adjusted Deposit Insurance)
Wu Zhao
Independent
Date Posted: March 15, 2017
Working Paper Series

Incl. Electronic Paper Do Leveraged ETFs Induce Volatility on their Underlying Indices? The German Case
Ixart Miquel Flores
European Central Bank (ECB) - Economics - Monetary Policy
Date Posted: March 15, 2017
Working Paper Series
95 downloads

Incl. Electronic Paper Comparison of Copulas for CDO valuation
Marek Kolman
University of Economics
Date Posted: March 15, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Benchmark Relative and Absolute Return are the Same Thing* (*Conditions Apply)
Robert B. Scott
Schroder Investment Management Limited
Date Posted: March 12, 2017
Working Paper Series
55 downloads

Incl. Electronic Paper Understanding Anomalies
Filip Bekjarovski
Amundi Asset Management
Date Posted: March 12, 2017
Last Revised: March 15, 2017
Working Paper Series
165 downloads

Incl. Electronic Paper Wisdom of the Institutional Crowd
Kevin Primicerio, Damien Challet and Stanislao Gualdi
CentraleSupélec, CentraleSupélec and CentraleSupélec
Date Posted: March 10, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Possible Applications of Derivatives
Understanding German Real Estate Markets (Second Edition), Tobias Just and Wolfgang Maenning (eds.), Springer, 2017, 337-349.
Daniel Piazolo
THM Technische Hochschule Mittelhessen
Date Posted: March 08, 2017
Accepted Paper Series
22 downloads

Incl. Electronic Paper Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case
Dirk Paulsen and Jakob Söhl
John Street Capital and Delft University of Technology - Delft Institute of Applied Mathematics (DIAM)
Date Posted: March 08, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Reverse Stress Testing Interbank Networks
Daniel Grigat and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Date Posted: March 03, 2017
Last Revised: March 10, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Leverage and Uncertainty
Mihail Turlakov
Independent
Date Posted: March 02, 2017
Last Revised: March 05, 2017
Working Paper Series
78 downloads

Incl. Electronic Paper Commonality in Liquidity: The Culture Channel
Narjess Boubakri, Mohsen Saad and Anis Samet
American University of Sharjah - School of Business and Management, American University of Sharjah and American University of Sharjah - School of Business and Management
Date Posted: February 24, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Differential Effects of Buy and Sell Rules in Sentiment-Informed EUR/USD Trading
Dietmar Janetzko, Jonas Krauss and Stefan Nann
Cologne Business School, University of Cologne - Information Systems and Information Management and University of Cologne - Information Systems and Information Management
Date Posted: February 24, 2017
Last Revised: February 27, 2017
Working Paper Series
56 downloads

Incl. Electronic Paper Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
Karlsruhe Institute of Technology - Department of Mathematics, Libfin, Liberty Life, University of Oldenburg - School of Mathematics and Science and University of Trier
Date Posted: February 24, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Portfolio Selection and Dynamic Behavior in Heston's Stochastic Volatility Model Using a Contingent Claim
Aihua Zhang, Yongmin Zhang, Yingxue Zhao and Daniel Borgia
University of Leicester - Department of Mathematics, Xi'an Jiaotong University (XJTU) - Department of Mathematical Sciences, Zhejiang University of Finance and Economics and Nottingham University Business School China
Date Posted: February 23, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Fuzzy Logic-Based Portfolio Selection with Particle Filtering and Anomaly Detection
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: February 17, 2017
Working Paper Series
112 downloads

Incl. Electronic Paper The Reality of Stock Market Jumps Diversification
Ke Chen, Luiz Vitiello, Stuart Hyde and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Date Posted: February 14, 2017
Last Revised: February 15, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Wounded Wolves: Turnaround Stocks Quantitative Screening Backtesting
Carlos Salas Najera
New York City Data Science Academy
Date Posted: February 13, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives Over One Time Step in the Presence of General Convex Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Last Revised: February 22, 2017
Working Paper Series
84 downloads

Incl. Electronic Paper A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Ca' Foscari University of Venice and Scuola Normale Superiore
Date Posted: February 08, 2017
Last Revised: March 09, 2017
Working Paper Series
139 downloads

Casual and Dynamic Linkage of Stock Markets: An Empirical Study of Karachi Stock Exchange (KSE) with Emerging and Developed Equity Markets
Kashif Hamid and Arshad Hasan
University of Agriculture, Faisalabad - Institute of Business Management Sciences and Capital University of Science and Technology
Date Posted: February 06, 2017
Working Paper Series

Incl. Electronic Paper Does Fundamental Indexation Really Offer Unique Superior Risk-Return Characteristics?
David Krejca and Jan Svenda
Independent and Independent
Date Posted: February 06, 2017
Working Paper Series
61 downloads

Incl. Electronic Paper Managing and Pricing Contingent Liquidity within a Banking Operation Using the COLA Framework
Jeroen Heijneman, Paul Wessels and Sam van Hensbergen
KPMG the Netherlands, Dutch Central Bank (DNB) and KPMG the Netherlands
Date Posted: February 05, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper IPO Allocations and New Mutual Funds
Frankie Chau, Yi Gu and Christodoulos Louca
Durham University Business School, Durham University and Cyprus University of Technology
Date Posted: February 04, 2017
Working Paper Series
53 downloads

Predictability of Predictability: Time-Varying Momentum and Reversal Across Assets and Over Time
Thomas Conlon, Richard M. Levich and Valerio Potì
University College Dublin, New York University - Stern School of Business and University College Dublin
Date Posted: February 02, 2017
Working Paper Series

Incl. Electronic Paper Factor Investing: The Rocky Road from Long Only to Long Short
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: February 02, 2017
Working Paper Series
239 downloads

Incl. Electronic Paper Good Deal Indices in Asset Pricing: Actuarial and Financial Implications
Alejandro Balbás, José Garrido and Ramin Okhrati
Universidad Carlos III de Madrid - Department of Business Administration, Concordia University, Quebec - Department of Mathematics & Statistics and University of Southampton - School of Mathematics
Date Posted: February 01, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Supercomputing for Finance: A Gentle Introduction (Presentation Slides)
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: January 30, 2017
Last Revised: February 01, 2017
Working Paper Series
393 downloads

Incl. Electronic Paper Do Different Price Points Exhibit Different Investment Risk and Return Commercial Real Estate
David Geltner and Alex van de Minne
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT)
Date Posted: January 28, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper Option-Implied Correlations, Factor Models, and Market Risk
INSEAD Working Paper No. 2017/20/FIN
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Date Posted: January 27, 2017
Last Revised: March 08, 2017
Working Paper Series
306 downloads

Incl. Electronic Paper Portfolio Performance Across Genders and Generations: The Role of Financial Innovation
International Review of Financial Analysis, Vol. Forthcoming
Denis Davydov, Otto Florestedt, Jarkko Peltomäki and Marcus Schön
University of Vaasa - Department of Accounting and Finance, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Date Posted: January 25, 2017
Last Revised: February 02, 2017
Accepted Paper Series
72 downloads

Incl. Electronic Paper Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Date Posted: January 23, 2017
Working Paper Series
184 downloads

Incl. Electronic Paper Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks
Milan Fičura
University of Economics, Prague - Faculty of Finance and Accounting
Date Posted: January 23, 2017
Working Paper Series
177 downloads

Incl. Electronic Paper Assessing Target Volatility Investment Strategies Using Stochastic Delayed Differential Models
Lorenzo Torricelli
Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: January 21, 2017
Last Revised: March 11, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Cloaked Trading
Journal of Investment Consulting, Vol. 17, No. 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
Last Revised: January 28, 2017
Accepted Paper Series
234 downloads

Incl. Electronic Paper Forecasting ETFs with Machine Learning Algorithms
Jim Kyung-Soo Liew and Boris Mayster
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Date Posted: January 17, 2017
Last Revised: January 30, 2017
Working Paper Series
741 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
61 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
45 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
94 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
567 downloads


 

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