Search Results
Econometric Modeling: Capital Markets - Portfolio Theory eJournal

1,194,426 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 101 - 150 of 3,876 papers

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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)

Multiple version iconThere are 3 versions of this paper

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

Multiple version iconThere are 4 versions of this paper

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