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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 51 - 100 of 2,046 papers

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

Multiple version iconThere are 2 versions of this paper

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