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Econometric Modeling: Capital Markets - Portfolio Theory eJournal

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Viewing: 51 - 100 of 3,875 papers

51.

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Number of pages: 80 Posted: 09 May 2013 Last Revised: 16 Oct 2016
Working Paper Series
Texas A&M University - Department of Accounting, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads 3,735
52.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 3,646
53.

Exchange Traded Funds (ETFs)

Annual Review of Financial Economics, Volume 9, 2017, Forthcoming, 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
Number of pages: 35 Posted: 08 Nov 2016 Last Revised: 16 Sep 2017
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,635
54.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 3,599
55.

Liquid-Claim Production, Risk Management, and Bank Capital Structure: Why High Leverage is Optimal for Banks

Charles A. Dice Center Working Paper No. 2013-8, Fisher College of Business Working Paper No. 2013-03-08, ECGI - Finance Working Paper No. 356
Number of pages: 45 Posted: 23 Apr 2013 Last Revised: 18 Oct 2014
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,529
56.

Machine Learning Asset Allocation (Presentation Slides)

Number of pages: 35 Posted: 18 Oct 2019 Last Revised: 01 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,509
57.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Quantitative Finance and Economics, 2 (1), 486-594 (2018), Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 3,488
58.

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
Working Paper Series
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 3,469
59.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,332
60.

A Robust Estimator of the Efficient Frontier

Number of pages: 16 Posted: 18 Oct 2019 Last Revised: 04 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,286
61.

The Market Portfolio is NOT Efficient: Evidences, Consequences and Easy to Avoid Errors

Number of pages: 23 Posted: 06 Mar 2016 Last Revised: 02 Jun 2019
Working Paper Series
IESE Business School, ISE Business School and University of Navarra, IESE Business School
Downloads 3,212
62.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 3,091
63.

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

The Journal of Prediction Markets 10 (1), 1-29, 2016
Number of pages: 29 Posted: 09 Sep 2013 Last Revised: 04 Oct 2016
Accepted Paper Series
Microsoft Research and Columbia University, Barnard College - Department of Economics
Downloads 3,072
64.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 25 Jan 2021
Accepted Paper Series
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,023
65.

Notes on Alpha Stream Optimization

The Journal of Investment Strategies 4(3) (2015) 37-81
Number of pages: 42 Posted: 06 Jun 2014 Last Revised: 26 Jun 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads 2,874
66.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 16 Oct 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 2,872
67.

Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin

Journal of Asset Management, 16, 6, 365-373, doi:10.1057/jam.2015.5
Number of pages: 17 Posted: 14 Sep 2013 Last Revised: 23 May 2017
Accepted Paper Series
Amundi Asset Management, Université Libre de Bruxelles - SBS-EM, CEB and Université Libre de Bruxelles (ULB), Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 2,796
68.

The Agency Problems of Institutional Investors

Journal of Economic Perspectives, Vol. 31 pp. 89-102 (Summer 2017)., Harvard Law School Olin Discussion Paper No. 930
Number of pages: 26 Posted: 09 Jun 2017 Last Revised: 05 May 2020
Accepted Paper Series
Harvard Law School, Harvard Law School and Boston University - School of Law
Downloads 2,780
69.

European Private Equity Funds - a Cash Flow Based Performance Analysis

CEFS Working Paper No. 2004-01
Number of pages: 47 Posted: 20 May 2004
Working Paper Series
Technische Universität München (TUM) and affiliation not provided to SSRN
Downloads 2,775
70.

Dynamic Risk Allocation with Carry, Value and Momentum

An amended version is in Journal of Investment Strategies, Vol.6(1), 2016, pp.25-45
Number of pages: 55 Posted: 22 Nov 2013 Last Revised: 15 Dec 2016
Accepted Paper Series
affiliation not provided to SSRN and ADG Capital Management LLP
Downloads 2,751
71.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014
Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 2,726
72.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 17 Posted: 07 Dec 2013 Last Revised: 03 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads 2,715
73.

Can Microfinance Reduce Portfolio Volatility?

Number of pages: 33 Posted: 10 Nov 2006 Last Revised: 04 Jan 2014
Working Paper Series
New York University - Leonard N. Stern School of Business and New York University (NYU) - Wilf Family Department of Politics

Multiple version iconThere are 2 versions of this paper

Downloads 2,657
74.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Working Paper Series
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 2,656
75.

An Algorithm for Computing Risk Parity Weights

Number of pages: 6 Posted: 24 Jul 2013 Last Revised: 13 Jan 2020
Working Paper Series
affiliation not provided to SSRN
Downloads 2,630
76.

Retirement Risk, Rising Equity Glidepaths, and Valuation-Based Asset Allocation

Number of pages: 21 Posted: 18 Sep 2014
Working Paper Series
The Kitces Report & Nerd's Eye View and The American College for Financial Services
Downloads 2,608
77.

Principal Component Analysis and Portfolio Optimization

Number of pages: 28 Posted: 10 Feb 2013 Last Revised: 14 Feb 2013
Working Paper Series
Pacific Life Insurance Company
Downloads 2,603
78.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,552
79.

Reconstructing the Black-Litterman Model

Number of pages: 18 Posted: 25 Sep 2013 Last Revised: 29 Nov 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads 2,479
80.

Explicit SABR Calibration Through Simple Expansions

Number of pages: 21 Posted: 18 Jul 2014
Working Paper Series
Calypso Technology and Clarus Financial Technology
Downloads 2,423
81.

Introduction to Risk Parity and Budgeting

Roncalli T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series
Number of pages: 151 Posted: 02 Jun 2013 Last Revised: 30 Nov 2013
Accepted Paper Series
Amundi Asset Management
Downloads 2,378
82.

Global Return Premiums on Earnings Quality, Value, and Size

Number of pages: 33 Posted: 21 Nov 2012 Last Revised: 08 Jan 2013
Working Paper Series
BlackRock and New York University (NYU) - Department of Finance
Downloads 2,374
83.

Gestión de Carteras I: Selección de Carteras (Portfolio Management I: Portfolio Selection)

Number of pages: 28 Posted: 22 Aug 2013 Last Revised: 15 Jan 2018
Working Paper Series
Universidad Complutense de Madrid
Downloads 2,356
84.

Momentum Investing & Asset Allocation

Number of pages: 22 Posted: 11 Oct 2015 Last Revised: 01 May 2016
Working Paper Series
Berkeley Square Capital Management, LLC
Downloads 2,314
85.

Clustering (Presentation Slides)

Number of pages: 34 Posted: 10 Jan 2020 Last Revised: 06 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,307
86.

The Five-Factor Fama-French Model: International Evidence

Number of pages: 51 Posted: 03 May 2015 Last Revised: 15 Oct 2015
Working Paper Series
Fordham University
Downloads 2,297
87.

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Number of pages: 114 Posted: 08 Feb 2017 Last Revised: 17 Jan 2019
Working Paper Series
London Business School, New Jersey Institute of Technology, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,291
88.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Cornell University - Operations Research & Industrial Engineering
Downloads 2,267
89.

The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds

FRB Atlanta Working Paper 2000-21
Number of pages: 47 Posted: 03 Jun 1999
Working Paper Series
University of Oregon, Lundquist College of Business and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 2,258
90.

Is 'Being Green' Rewarded in the Market?: An Empirical Investigation of Decarbonization and Stock Returns

Stanford Global Project Center Working Paper
Number of pages: 54 Posted: 21 Aug 2017 Last Revised: 29 Aug 2019
Accepted Paper Series
Global Projects Center, Stanford University, Yonsei University and Stanford University - Global Projects Center
Downloads 2,256
91.

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation

Number of pages: 19 Posted: 06 Sep 2013 Last Revised: 14 Jun 2014
Working Paper Series
Amundi Asset Management
Downloads 2,252
92.

The Sustainability Footprint of Institutional Investors: ESG Driven Price Pressure and Performance

Swiss Finance Institute Research Paper No. 17-05, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 571/2018
Number of pages: 77 Posted: 16 Feb 2017 Last Revised: 21 Jan 2021
Working Paper Series
European Corporate Governance Institute (ECGI), University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva - Geneva School of Economics and Management
Downloads 2,216
93.

Cap-Weighted Portfolios are Sub-Optimal Portfolios

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Number of pages: 22 Posted: 11 Jan 2005 Last Revised: 04 Jan 2017
Accepted Paper Series
Rayliant Global Advisors

Multiple version iconThere are 2 versions of this paper

Downloads 2,169
94.

A Simple Diversified Portfolio Strategy

Forthcoming, Journal of Investment Management.
Number of pages: 24 Posted: 18 Dec 2013 Last Revised: 03 Jan 2017
Accepted Paper Series
Global Systematic Investors LLP and Global Systematic Investors LLP

Multiple version iconThere are 2 versions of this paper

Downloads 2,149
95.

Harmful Diversification: Evidence from Alternative Investments

The British Accounting Review, Forthcoming
Number of pages: 50 Posted: 04 Feb 2017 Last Revised: 15 Aug 2018
Accepted Paper Series
University of Bath - School of Management, University of Nottingham and University of Reading - ICMA Centre
Downloads 2,125
96.

Dynamic Portfolio Management with Views at Multiple Horizons

Applied Mathematics and Computation, Volume 274, 1 February 2016, Pages 495-518
Number of pages: 33 Posted: 24 Mar 2015 Last Revised: 10 Dec 2017
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management and University of Perugia - Department of Economics
Downloads 2,105
97.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads 2,100
98.

Which Investors Matter for Equity Valuations and Expected Returns?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-92, NYU Stern School of Business
Number of pages: 57 Posted: 28 Jun 2019 Last Revised: 15 Dec 2020
Working Paper Series
University of Chicago - Booth School of Business, New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 2,094
99.

Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach

The British Accounting Review, Forthcoming
Number of pages: 41 Posted: 07 Aug 2018 Last Revised: 23 Jun 2019
Accepted Paper Series
University of Bath - School of Management and ICMA Centre, Henley Business School
Downloads 2,034
100.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 2,006