51.
Options Portfolio Selection
Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-9
Number of pages: 37
Posted: 28 Nov 2017
Last Revised: 01 May 2020
Working Paper Series
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads
421
52.
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
90
53.
Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy
Number of pages: 78
Posted: 27 Nov 2017
Working Paper Series
Tilburg University - Department of Finance and Degroof Petercam Asset Management
Downloads
545
54.
Momentum Investment Strategy: Winner-Loser Portfolio Momentum Profit in Indonesia
Jurnal Ekonomi dan Bisnis, 6(2) Jul 2012. ISSN: 1978-3116.
Posted: 27 Nov 2017
Accepted Paper Series
NAMOURA Research Institute
55.
BRICS: Is the Group Really Creating Impact?
International Journal of English Literature and Social Sciences (IJELS), Vol-2, Issue 6, Nov-Dec, 2017
Number of pages: 5
Posted: 22 Nov 2017
Accepted Paper Series
University of Karachi - Department of Commerce, University of Karachi - Department of Public Administration, Students and University of Karachi
Downloads
28
56.
Tail Risk Mitigation with Managed Volatility Strategies
Dreyer, Anna and Hubrich, Stefan, Tail Risk Mitigation with Managed Volatility Strategies (April 16, 2019). Journal of Investment Strategies 8(1), 29-56.
Number of pages: 28
Posted: 22 Nov 2017
Last Revised: 13 Jun 2019
Accepted Paper Series
T. Rowe Price and T.Rowe Price
Downloads
1,030
57.
The Memory of Stock Return Volatility: Asset Pricing Implications
Journal of Financial Markets, Forthcoming
Number of pages: 66
Posted: 22 Nov 2017
Last Revised: 18 Jan 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads
167
58.
The Risk Premium of Gold
Journal of International Money and Finance, Forthcoming
Number of pages: 63
Posted: 22 Nov 2017
Last Revised: 22 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads
255
59.
Jumps in Commodity Markets
Journal of Commodity Markets, Vol. 13, 2019
Number of pages: 40
Posted: 22 Nov 2017
Last Revised: 22 Mar 2019
Working Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads
84
60.
Extracting Fama-French Factors in India, Premature?
Number of pages: 30
Posted: 22 Nov 2017
Last Revised: 02 Jan 2018
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads
112
61.
Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems
Number of pages: 52
Posted: 20 Nov 2017
Working Paper Series
Université Paris Est - CERMICS, Ecole des Ponts ParisTech and Université Paris Est - CERMICS
Downloads
49
62.
Moderating Effect of Social Uncertainty between Capital Budgeting Practices and Performance
International Journal of Accounting and Financial Reporting, Vol. 7, No. 2, 2017
Number of pages: 17
Posted: 16 Nov 2017
Accepted Paper Series
University of Jaffna - Department of Financial Management
Downloads
67
63.
Analysis of Equity β Principal Components in Low Risk Framework: New Results and Prospectives
Number of pages: 37
Posted: 15 Nov 2017
Working Paper Series
affiliation not provided to SSRNAcomeA SGR, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads
123
64.
Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section
Journal of Financial Markets (2019), Vol. 44, pp. 91–118
Number of pages: 76
Posted: 14 Nov 2017
Last Revised: 18 Sep 2019
Accepted Paper Series
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads
345
65.
Insurance Industry Value Chain
Number of pages: 13
Posted: 13 Nov 2017
Working Paper Series
Joseph Ayo Babalola University
Downloads
329
66.
The Index Option or the Portfolio?
Number of pages: 25
Posted: 13 Nov 2017
Working Paper Series
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads
37
67.
ԵԿԱՄՏԱԲԵՐՈՒԹՅԱՆ ՆԵՐՔԻՆ ՆՈՐՄԻ ՄՈՏԱՐԿՈՒՄ ՍՓՈԹ ՏՈԿՈՍԱԴՐՈՒՅՔՆԵՐՈՎ (An Approximation of Internal Rate of Return with Spot Rates)
Proceedings of Engineering Academy of Armenia, Scientific and Technological Collected Articles, ISSN 1829-0043, XIII, Volume 4, pp.426-431
Number of pages: 6
Posted: 10 Nov 2017
Working Paper Series
Independent and Yerevan State University
Downloads
32
68.
How Do Short Selling Costs and Restrictions Affect the Profitability of Stock Anomalies?
Number of pages: 32
Posted: 09 Nov 2017
Last Revised: 11 Oct 2018
Working Paper Series
Tilburg University
Downloads
318
69.
A New Tight and General Bound on Return Predictability
Economics Letters, Forthcoming
Number of pages: 18
Posted: 08 Nov 2017
Accepted Paper Series
University College Dublin
There are 2 versions of this paper
A New Tight and General Bound on Return Predictability
Economics Letters, Forthcoming
Number of pages: 18
Posted: 08 Nov 2017
Downloads
38
A New Tight and General Bound on Return Predictability
Economics Letters, Forthcoming
Number of pages: 18
Posted: 27 Nov 2017
Downloads
15
Downloads
38
70.
Natural Hedging with Fix and Floating Strike Guarantees
Number of pages: 26
Posted: 07 Nov 2017
Working Paper Series
Mercator School of Management, Mercator School of Management and Mercator School of Management
Downloads
78
71.
Basis Risk When Hedging a Global Credit Portfolio
Number of pages: 35
Posted: 06 Nov 2017
Working Paper Series
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads
47
72.
LCR Optimization Under HQLA Caps
Number of pages: 4
Posted: 04 Nov 2017
Working Paper Series
SAS Institute Inc.
Downloads
78
73.
The Effect of Financial Leverage and Market Size on Stock Returns on the Karachi Stock Exchange: Evidence from Selected Stocks in the Non-Financial Sector of Pakistan
The International Journal Of Business & Management, Vol. 5, Issue 10 (October, 2017)
Number of pages: 7
Posted: 04 Nov 2017
Accepted Paper Series
University of Karachi - Department of Commerce, University of Karachi - Department of Commerce, Students and University of Karachi - Department of Public Administration, Students
Downloads
194
74.
Clustering in Key G-7 Stock Market Indices
Peker, S., Bora Aktan, T. Manuela (2017) Clustering in Key G-7 Stock Market Indices: An Innovative Approach, Marketing and Management of Innovations, (Issue 1): 300-310
Number of pages: 11
Posted: 02 Nov 2017
Accepted Paper Series
Yasar University, University of Bahrain and Vilnius Gediminas Technical University
Downloads
29
75.
An Alternative Option to Portfolio Rebalancing
Number of pages: 34
Posted: 01 Nov 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads
474
76.
On the Diversification Benefit of Reinsurance Portfolios
SCOR Paper no 40 - Diversification Benefit
Number of pages: 33
Posted: 31 Oct 2017
Working Paper Series
SCOR, SCOR and DEAR-Consulting
Downloads
35
77.
Bitcoin, Portfolio Diversification and Chinese Financial Markets
Number of pages: 41
Posted: 31 Oct 2017
Last Revised: 10 Nov 2017
Working Paper Series
Cranfield University - School of Management and Cranfield University - School of Management
Downloads
383
78.
An Empirical Examination of Clustering at Bahrain Bourse (BHB)
International Research Journal of Finance and Economics, Issue 110, June 2013
Number of pages: 6
Posted: 30 Oct 2017
Accepted Paper Series
University of Bahrain
Downloads
14
79.
Implied Fractional Hazard Rates and Default Risk Distributions
Probability, Uncertainty and Quantitative Risk, March 2017
Number of pages: 14
Posted: 25 Oct 2017
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and University of Lorraine
Downloads
28
80.
Robust Optimization by Constructing Near-Optimal Portfolios
Number of pages: 13
Posted: 23 Oct 2017
Working Paper Series
Ortec Finance and ORTEC
Downloads
115
81.
A Revised Basel Framework for Coop Banking Institutions Operating in North America
Number of pages: 24
Posted: 23 Oct 2017
Working Paper Series
Society of Actuaries
Downloads
35
82.
How Smart Beta Strategies Work in the Hong Kong Market
Number of pages: 26
Posted: 20 Oct 2017
Working Paper Series
S&P Dow Jones Indices and S&P Dow Jones Indices
Downloads
91
83.
Portfolio Insurance Using Leveraged ETFs
Number of pages: 24
Posted: 19 Oct 2017
Working Paper Series
East Tennessee State University and East Tennessee State University
Downloads
237
84.
State Space Approach to Adaptive Fuzzy Modeling for Financial Investment
Forthcoming in "Applied Soft Computing"
Posted: 19 Oct 2017
Last Revised: 23 Jun 2019
Accepted Paper Series
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
85.
Investing in a Multi-Asset Multi-Factor World
Risk & Reward, 2017, 3rd issue, pp. 4-11
Number of pages: 10
Posted: 12 Oct 2017
Accepted Paper Series
Invesco, Invesco, IQS and Invesco
Downloads
748
86.
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies
Number of pages: 102
Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads
2,575
87.
Assessment of Proxy-Hedging in Jet-Fuel Markets
Number of pages: 30
Posted: 09 Oct 2017
Working Paper Series
Schwarzthal Tech, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads
71
88.
Sparse Portfolio Selection via the Sorted L1 - Norm
Posted: 09 Oct 2017
Last Revised: 05 Nov 2019
Working Paper Series
EBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and University of Trento - Department of Economics and Management
89.
The Rise and Fall of OW Bunker, the World's Largest Marine Fuel Trader
GARP Risk Intelligence, 2015
Number of pages: 17
Posted: 05 Oct 2017
Working Paper Series
MKS
Downloads
110
90.
Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data
Number of pages: 35
Posted: 02 Oct 2017
Working Paper Series
Independent and University of Washington
Downloads
134
91.
Alternative Risk Premia: Is the Selection Process Important?
https://jwm.pm-research.com/content/22/1/25
Posted: 02 Oct 2017
Last Revised: 04 Oct 2019
Accepted Paper Series
Haute école de gestion (HEG) de Fribourg and Haute école de gestion (HEG) de Fribourg
92.
Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities
Number of pages: 26
Posted: 02 Oct 2017
Last Revised: 29 Jun 2019
Working Paper Series
University of Waterloo, University of Waterloo and University of Waterloo
Downloads
120
93.
Mean-Variance Optimization Using Forward-Looking Return Estimates
Number of pages: 43
Posted: 01 Oct 2017
Last Revised: 05 Oct 2017
Working Paper Series
Barclays PLC and Technische Universität München (TUM)
Downloads
507
94.
Risk-Return Optimisations Can Lead to Favourite-Longshot Bias in Prediction Markets Operated by Bookmakers
Number of pages: 17
Posted: 30 Sep 2017
Working Paper Series
Multifactor Analytics and Consulting
Downloads
47
95.
When (If Ever) Has it Paid to Wait for a Stock Market Correction?
Number of pages: 3
Posted: 26 Sep 2017
Last Revised: 26 Sep 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads
853
96.
Learning Curve Dynamics with Artificial Neural Networks
Number of pages: 18
Posted: 25 Sep 2017
Last Revised: 15 May 2018
Working Paper Series
Standard Chartered Bank
Downloads
1,923
97.
Market Dynamics. On a Muse of Cash Flow and Liquidity Deficit
Number of pages: 72
Posted: 22 Sep 2017
Last Revised: 31 Mar 2019
Working Paper Series
Ioffe Institute
Downloads
16
98.
Predictive Modeling: An Optimized and Dynamic Solution Framework for Systematic Value Investing
Number of pages: 66
Posted: 21 Sep 2017
Working Paper Series
Independent
Downloads
156
99.
Investor Sentiment and Portfolio Selection
Finance Research Letters, Vol. 15, 2015
Number of pages: 15
Posted: 21 Sep 2017
Accepted Paper Series
University of Northern British Columbia - School of Business, University of Manitoba - Department of Accounting and Finance and Brock University
Downloads
80
100.
The Effects of Bail-In on Investors’ Trust in the Market
Number of pages: 11
Posted: 21 Sep 2017
Working Paper Series
LUISS
Downloads
50
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