101.
Enhancing Risk Parity by Including Views
Journal of Investing, 2017
Number of pages: 34
Posted: 12 Aug 2014
Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads
1,999
102.
Give Credit Where Credit is Due: What Explains Corporate Bond Returns?
Number of pages: 54
Posted: 24 Apr 2019
Last Revised: 10 Jun 2019
Working Paper Series
NDVR, Inc.
Downloads
1,985
103.
Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions
Number of pages: 41
Posted: 18 Nov 2013
Working Paper Series
IESEG School of Management, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads
1,980
104.
Optimal vs. Naïve Diversification in Cryptocurrencies
Economics Letters, Forthcoming
Number of pages: 11
Posted: 27 Jul 2018
Last Revised: 23 Jan 2019
Accepted Paper Series
University of Bath - School of Management, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads
1,973
105.
How Long Does It Take to Recover from a Drawdown?
Number of pages: 43
Posted: 22 Apr 2013
Last Revised: 29 Jun 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,969
106.
A Journey Through the 'Mathematical Underworld' of Portfolio Optimization
Number of pages: 26
Posted: 11 Feb 2013
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,960
107.
Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads
Number of pages: 5
Posted: 30 Mar 2017
Working Paper Series
Premia Research LLC and Premia Research LLC
Downloads
1,933
108.
Tax Uncertainty and Retirement Savings Diversification
Number of pages: 51
Posted: 23 Jun 2016
Last Revised: 19 Nov 2016
Working Paper Series
University of Arizona - Department of Finance, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads
1,927
109.
Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory
Number of pages: 21
Posted: 14 Jun 2014
Last Revised: 02 Jan 2015
Working Paper Series
VU University Amsterdam
Downloads
1,869
110.
Combining Alpha Streams with Costs
The Journal of Risk 17(3) (2015) 57-78
Number of pages: 21
Posted: 21 May 2014
Last Revised: 24 Feb 2015
Accepted Paper Series
Quantigic Solutions LLC
There are 2 versions of this paper
Combining Alpha Streams with Costs
The Journal of Risk 17(3) (2015) 57-78
Number of pages: 21
Posted: 21 May 2014
Last Revised: 24 Feb 2015
Downloads
1,859
Combining Alpha Streams with Costs
Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 22
Posted: 24 Jun 2016
Downloads
1,859
111.
Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes
Number of pages: 29
Posted: 25 Jan 2014
Working Paper Series
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads
1,857
112.
Factor Investing Revisited
Journal of Index Investing, Forthcoming
Number of pages: 22
Posted: 03 Jul 2015
Accepted Paper Series
Robeco Quantitative Investments
Downloads
1,829
113.
Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets
FIRN Research Paper
Number of pages: 38
Posted: 29 Nov 2012
Working Paper Series
University of Technology Sydney and University of Guelph - Department of Economics
Downloads
1,811
114.
Volatility Weighting Applied to Momentum Strategies
Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.19.3.040
Number of pages: 37
Posted: 29 Apr 2015
Last Revised: 22 May 2019
Accepted Paper Series
Independent and Robeco Asset Management, Quantitative Investment Research
Downloads
1,804
115.
Tail Hedging Strategies
Number of pages: 26
Posted: 08 May 2013
Last Revised: 16 Aug 2018
Working Paper Series
The Cambridge Strategy
Downloads
1,741
116.
Portfolio Management with Cryptocurrencies: The Role of Estimation Risk
Economics Letters, Forthcoming
Number of pages: 12
Posted: 09 Dec 2018
Last Revised: 23 Jan 2019
Accepted Paper Series
University of Bath - School of Management and ICMA Centre, Henley Business School
Downloads
1,731
117.
The Best Strategies for the Worst Crises
Number of pages: 23
Posted: 16 Jun 2017
Working Paper Series
Man AHL, Man AHL, Man AHL, Man Numeric and Man AHL
Downloads
1,698
118.
Tactical MPT and Momentum: The Modern Asset Allocation (MAA)
Number of pages: 47
Posted: 31 Dec 2013
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads
1,690
119.
Covered Call Strategies: One Fact and Eight Myths
Financial Analysts Journal, Vol. 70, No. 6, 2014
Number of pages: 17
Posted: 04 Jun 2014
Last Revised: 27 Jan 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads
1,687
120.
A Survey of Day of the Month Effect in World Stock Markets
Number of pages: 14
Posted: 07 Nov 2012
Working Paper Series
B.K.School of Business Management, Gujarat University and Shri Chimanbhai Patel Institute of Management & Research
Downloads
1,657
121.
Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI
Number of pages: 19
Posted: 25 Feb 2020
Working Paper Series
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Re, Firamis and Zurich University of Applied Sciences
Downloads
1,650
122.
Comparison between Sukuk and Conventional Bonds: Value at Risk Approach
Number of pages: 57
Posted: 13 Feb 2013
Working Paper Series
Independent
Downloads
1,640
123.
Many Risks, One (Optimal) Portfolio
Number of pages: 217
Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads
1,639
124.
Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection
European Journal of Operational Research, Forthcoming
Number of pages: 45
Posted: 14 May 2019
Last Revised: 26 May 2020
Accepted Paper Series
University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads
1,631
125.
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 71
Posted: 06 Aug 2020
Last Revised: 29 Oct 2020
Working Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
There are 2 versions of this paper
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 71
Posted: 06 Aug 2020
Last Revised: 29 Oct 2020
Downloads
1,630
Downloads
19
Downloads
1,630
126.
Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations
Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33
Posted: 08 Jan 2020
Last Revised: 09 Nov 2020
Working Paper Series
Invesco, Invesco and Metzler Asset Management
Downloads
1,626
127.
On the International Spillovers of US Quantitative Easing
DIW Berlin Discussion Paper No. 1304
Number of pages: 64
Posted: 10 Jun 2013
Working Paper Series
DIW Berlin, European Central Bank (ECB) and European Central Bank (ECB)
There are 3 versions of this paper
On the International Spillovers of US Quantitative Easing
DIW Berlin Discussion Paper No. 1304
Number of pages: 64
Posted: 10 Jun 2013
Downloads
1,611
On the International Spillovers of US Quantitative Easing
ECB Working Paper No. 1557
Number of pages: 64
Posted: 19 Jul 2013
Downloads
110
On the International Spillovers of US Quantitative Easing
The Economic Journal, Vol. 128, Issue 608, pp. 330-377, 2018
Number of pages: 48
Posted: 08 Feb 2018
Downloads
1,611
128.
Constructing Optimal Portfolio: Sharpe’s Single Index Model
Number of pages: 14
Posted: 28 Jun 2014
Working Paper Series
Shanti Business School
Downloads
1,596
129.
Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility
Number of pages: 24
Posted: 26 Sep 2018
Last Revised: 17 Oct 2018
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads
1,590
130.
Rentabilidad de los Fondos de Pensiones en España. 2002-2017 (Return of Pension Funds in Spain. 2002-2017)
Number of pages: 24
Posted: 17 Feb 2018
Working Paper Series
IESE Business School, Independent and University of Navarra - University of Navarra, Students
Downloads
1,587
131.
Fund Tradeoffs
Journal of Financial Economics (JFE), Forthcoming, Chicago Booth Research Paper No. 20-10, Fama-Miller Working Paper , Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 55
Posted: 02 Aug 2017
Last Revised: 12 Aug 2020
Accepted Paper Series
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
There are 4 versions of this paper
Fund Tradeoffs
Journal of Financial Economics (JFE), Forthcoming, Chicago Booth Research Paper No. 20-10, Fama-Miller Working Paper , Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 55
Posted: 02 Aug 2017
Last Revised: 12 Aug 2020
Downloads
1,585
Portfolio Liquidity and Diversification: Theory and Evidence
CEPR Discussion Paper No. DP12195
Number of pages: 49
Posted: 11 Aug 2017
Downloads
1
Fund Tradeoffs
CEPR Discussion Paper No. DP12513
Number of pages: 44
Posted: 19 Dec 2017
Last Revised: 22 Oct 2018
Downloads
1
Downloads
1,585
132.
Estimation and Stress-Testing via Time- and Market-Conditional Flexible Probabilities
Number of pages: 12
Posted: 19 Aug 2013
Last Revised: 01 Jan 2014
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
1,570
133.
On Secondary Buyouts
Journal of Financial Economics (JFE), Forthcoming, ECGI - Finance Working Paper No. 384, Swiss Finance Institute Research Paper No. 13-48
Number of pages: 59
Posted: 23 Sep 2013
Last Revised: 09 Oct 2015
Accepted Paper Series
University of Lugano - Faculty of Economics, University of Amsterdam - Finance Group and University of Oxford - Said Business School
Downloads
1,567
134.
Resurrecting the Value Premium
Number of pages: 27
Posted: 05 Oct 2020
Last Revised: 23 Oct 2020
Working Paper Series
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads
1,561
135.
Betas, Benchmarks and Beating the Market
The Journal of Trading 13(3) (2018) 44-66
Number of pages: 36
Posted: 05 Jun 2018
Last Revised: 14 Jun 2019
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
1,555
136.
Are REITs a Distinct Asset Class?
Number of pages: 22
Posted: 10 May 2017
Last Revised: 22 Mar 2018
Working Paper Series
Buckingham Strategic Wealth and ProShare Advisors
Downloads
1,552
137.
A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios
Number of pages: 9
Posted: 15 Sep 2013
Last Revised: 01 Oct 2013
Working Paper Series
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads
1,544
138.
Relationship between Capital Structure & Profitability: Evidence from UK Banking Industry Over the Period of 2007-2012
MBA Thesis
Number of pages: 74
Posted: 19 Aug 2013
Last Revised: 12 Feb 2014
Working Paper Series
London School of Commerce
Downloads
1,543
139.
Optimal Trading Rules Without Backtesting
Number of pages: 29
Posted: 29 Sep 2014
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,534
140.
Firm Characteristics and Expected Stock Returns
Number of pages: 59
Posted: 13 Jun 2018
Last Revised: 11 Sep 2020
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads
1,519
141.
Drawdowns
Number of pages: 19
Posted: 24 Apr 2020
Last Revised: 05 May 2020
Working Paper Series
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads
1,488
142.
Slow Trading and Stock Return Predictability
AFA 2017 Chicago
Number of pages: 45
Posted: 10 Oct 2015
Last Revised: 13 Oct 2018
Working Paper Series
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads
1,480
143.
Fact and Fiction about Low-Risk Investing
NYU Stern School of Business
Number of pages: 26
Posted: 25 Mar 2020
Working Paper Series
Office of Financial Research, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads
1,471
144.
How the Sharpe Ratio Died, and Came Back to Life
Number of pages: 33
Posted: 03 May 2018
Last Revised: 29 May 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,460
145.
Time-Varying Liquidity and Momentum Profits
Journal of Financial and Quantitative Analysis, Vol. 51, No. 6, 2016
Number of pages: 49
Posted: 05 Jul 2013
Last Revised: 12 Sep 2019
Accepted Paper Series
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads
1,452
146.
Asset Allocation and Bad Habits
Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014, Columbia Business School Research Paper No. 14-42
Number of pages: 13
Posted: 17 Sep 2014
Working Paper Series
BlackRock, Inc, University of Lausanne and AQR Capital Management
Downloads
1,444
147.
Optimising Cross-Asset Carry
"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Number of pages: 29
Posted: 17 May 2017
Accepted Paper Series
Imperial College Business School
Downloads
1,439
148.
Portfolio Rebalancing: A Stable Source of Alpha?
Number of pages: 13
Posted: 23 Jan 2013
Working Paper Series
Independent and Sarasin & Partners LLP
Downloads
1,438
149.
Approaching Mean-Variance Efficiency for Large Portfolios
Number of pages: 69
Posted: 06 Dec 2015
Last Revised: 19 Jul 2018
Working Paper Series
Xiamen University - WISE and Department of Finance, School of Economics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads
1,423
150.
A New Class of Local Correlation Models
Number of pages: 36
Posted: 22 Jun 2013
Working Paper Series
Bloomberg L.P.
Downloads
1,420
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