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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 101 - 150 of 2,046 papers

101.

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Number of pages: 31 Posted: 21 Sep 2017 Last Revised: 30 Aug 2018
Working Paper Series
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 70
102.

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Number of pages: 28 Posted: 21 Sep 2017
Working Paper Series
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 171
103.

Agent-Based Quantitative Financial Strategies & Price Formation: Systems & Evolutionary Dynamics as Deciphering Keys of the High Frequency Trading Ecosystem

Number of pages: 26 Posted: 20 Sep 2017 Last Revised: 10 Aug 2018
Working Paper Series
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 113
104.

Nonrecursive Separation of Risk and Time Preferences

Number of pages: 28 Posted: 20 Sep 2017
Working Paper Series
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of Copenhagen and University of Copenhagen
Downloads 36
105.

Entropy, the Information Processing Cycle, and the Forecasting of Bull and Bear Market Peaks and Troughs

Parker, E. (2019). Entropy, the Information Processing Cycle, and the Forecasting of Bull and Bear Market Peaks and Troughs. Special Issue on Econophysics and Finance. (IJPMAT), 7(1), 77-90. doi:10.4018/IJPMAT.2019010105
Number of pages: 16 Posted: 19 Sep 2017 Last Revised: 04 Oct 2018
Accepted Paper Series
New York Life Insurance Company
Downloads 115
106.

A Short Sharpe Course

Number of pages: 293 Posted: 14 Sep 2017 Last Revised: 13 Jan 2020
Working Paper Series
Independent
Downloads 600
107.

Robust Time-Inconsistent Stochastic Control Problems

Automatica, Forthcoming
Number of pages: 20 Posted: 13 Sep 2017 Last Revised: 23 Mar 2018
Accepted Paper Series
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 97
108.

What You See Is Not What You Get: The Costs of Trading Market Anomalies

Journal of Financial Economics (JFE), Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 255
Number of pages: 79 Posted: 12 Sep 2017 Last Revised: 04 May 2019
Accepted Paper Series
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 971
109.

Portfolio Rho-Presentativity

Number of pages: 33 Posted: 10 Sep 2017 Last Revised: 10 Oct 2019
Working Paper Series
TOBAM, TOBAM and TOBAM
Downloads 936
110.

The Volatility of US Dollar and the Impact on the Malaysian Stock Market

Journal of Business and Economics Review 1 (1) 2016, 84 – 94
Number of pages: 11 Posted: 06 Sep 2017
Accepted Paper Series
University Utara Malaysia, Malaysia
Downloads 63
111.

Effects of Dividend Policy on Stock Price Volatility in the Financial Sector

Journal of Finance and Banking Review 2 (2) 2017, 34 – 48
Number of pages: 15 Posted: 06 Sep 2017
Accepted Paper Series
University Utara Malaysia, Malaysia
Downloads 199
112.

The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)

Number of pages: 44 Posted: 06 Sep 2017 Last Revised: 04 Oct 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 19,888
113.

The Fair Basis: Funding and Capital in the Reduced Form Framework

Risk, May 2019
Number of pages: 23 Posted: 06 Sep 2017 Last Revised: 14 May 2019
Accepted Paper Series
NYU/Courant
Downloads 103
114.

The Effect of Green Retrofitting on US Office Properties: An Investment Perspective

Number of pages: 40 Posted: 30 Aug 2017 Last Revised: 18 Oct 2017
Working Paper Series
Massachusetts Institute of Technology (MIT), Diener Syz Real Estate and University of Connecticut - Department of Finance
Downloads 218
115.

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Number of pages: 37 Posted: 30 Aug 2017
Working Paper Series
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 89
116.

Wavelet Multiscale Analysis for Hedge Funds: Scaling and Strategies

Number of pages: 13 Posted: 29 Aug 2017
Working Paper Series
University College Dublin, Dublin City University and Dublin City University
Downloads 38
117.

The Beta Neutral Model with Leverage Effect

Number of pages: 27 Posted: 28 Aug 2017
Working Paper Series
John Locke Investments, CNRS and Université Paris XIII Nord - Department of Economics and Management
Downloads 109
118.

A Review of the Generalized Black-Scholes Formula & It’s Application to Different Underlying Assets

Number of pages: 12 Posted: 23 Aug 2017 Last Revised: 15 Feb 2018
Working Paper Series
University of Oxford, Said Business School
Downloads 387
119.

Portfolios with Risk and Return Views Based on Leading Indicators

Posted: 23 Aug 2017 Last Revised: 29 Sep 2018
Working Paper Series
affiliation not provided to SSRN
120.

Panic-Aware Portfolio Optimization

Journal of Asset Management (forthcoming)
Posted: 23 Aug 2017 Last Revised: 03 Jan 2019
Accepted Paper Series
affiliation not provided to SSRN
121.

Value Ranked Equity Portfolios via Entropy Pooling

Journal of Investment Strategies 7(3), 1-24
Posted: 23 Aug 2017 Last Revised: 23 Sep 2018
Accepted Paper Series
affiliation not provided to SSRN
122.

Constrained Non-Concave Utility Maximization: An Application to Life Insurance Contracts with Guarantees

European Journal of Operational Research, Vol. 273, No. 3, pp. 1119-1135, 2019
Number of pages: 40 Posted: 11 Aug 2017 Last Revised: 06 Dec 2018
Accepted Paper Series
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Ulm - Institute of Insurance Science
Downloads 150
123.

Portfolio Insurance Strategies for CBOE's Volatility Index (VIX) Futures

Posted: 10 Aug 2017
Working Paper Series
Society of Actuaries
124.

Asymmetric Exceedance-Time Model: An Optimal Threshold Approach Based on Extreme Value Theory

Number of pages: 12 Posted: 09 Aug 2017 Last Revised: 07 Oct 2017
Working Paper Series
University of Patras - Business Administration, ESSEC Business School and University of Patras - Business Administration
Downloads 121
125.

A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies

Number of pages: 27 Posted: 09 Aug 2017 Last Revised: 09 Jun 2018
Working Paper Series
CIBC World Markets - Risk Quant, Capital Markets, CIBC

Multiple version iconThere are 2 versions of this paper

Downloads 416
126.

News Sentiment - A New Yield Curve Factor

Journal of Behavioral Finance, Vol. 19 (3), 2018.
Number of pages: 30 Posted: 08 Aug 2017 Last Revised: 16 Jun 2018
Accepted Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 190
127.

Forecasting Excess Returns of the Gold Market: Can We Learn from Stock Market Predictions?

Number of pages: 63 Posted: 05 Aug 2017
Working Paper Series
dichtl research & consulting GmbH
Downloads 48
128.

Nonlinear Correlation and Dependence Using NNS

Number of pages: 19 Posted: 03 Aug 2017 Last Revised: 26 Dec 2019
Working Paper Series
OVVO Financial Systems
Downloads 221
129.

Stock, Implied, Local Volatilities and Black Scholes Pricing

Number of pages: 9 Posted: 02 Aug 2017
Working Paper Series
Independent
Downloads 86
130.

Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions

Journal of Finance and Banking Review, Vol. 2(3), p. 1-7, Jul-Sep 2017
Number of pages: 7 Posted: 31 Jul 2017
Accepted Paper Series
Jenderal Achmad Yani University, Padjadjaran University, Padjadjaran University - Faculty of Economics and Business and Padjadjaran University
Downloads 65
131.

Effect of Human Resource Accounting on Profitability of Selected Quoted Telecommunication Firms in Nigeria

Contemporary Issues in Business Management: A Multidisciplinary Approach (Book of readings), 2017
Number of pages: 36 Posted: 28 Jul 2017 Last Revised: 10 Sep 2017
Accepted Paper Series
Nnamdi Azikiwe University - Department of Accountancy, Nnamdi Azikiwe University, Awka and University of Nigeria Enugu Campus
Downloads 226
132.

Understanding Index Based Catastrophe Insurance

Number of pages: 44 Posted: 27 Jul 2017
Working Paper Series
Independent
Downloads 33
133.

Continuous CDFs and ANOVA with NNS

Number of pages: 31 Posted: 26 Jul 2017 Last Revised: 14 Feb 2020
Working Paper Series
OVVO Financial Systems
Downloads 36
134.

Analysis of Variance Based Instruments for Ornstein-Uhlenbeck Type Models: Swap and Price Index

Forthcoming in Annals of Finance, DOI: 10.1007/s10436-017-0302-3
Number of pages: 34 Posted: 25 Jul 2017 Last Revised: 26 Jul 2017
Accepted Paper Series
North Dakota State University and North Dakota State University
Downloads 36
135.

Aggregation of Downside Risk and Portfolio Selection

Number of pages: 32 Posted: 22 Jul 2017 Last Revised: 22 Oct 2017
Working Paper Series
University of Kaiserslautern and University of Kaiserslautern
Downloads 78
136.

Volatility Flocking in the Dow Jones Industrial Average (DJIA) Index

Number of pages: 25 Posted: 20 Jul 2017 Last Revised: 30 Jan 2019
Working Paper Series
Ajou University - Department of Financial Engineering, Seoul National University - Research Institute of Mathematics, Ajou University - Department of Financial Engineering, Ajou University - Department of Financial Engineering, KB Bank and Ajou University - School of Business
Downloads 43
137.

What Drives Investment Flows into Social Trading Portfolios?

Journal of Financial Research, Forthcoming
Posted: 20 Jul 2017 Last Revised: 21 Feb 2019
Accepted Paper Series
University of Giessen - Department of Financial Services and University of Giessen - Department of Financial Services
138.

Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 19 Jul 2017 Last Revised: 15 Jun 2020
Working Paper Series
Central University of Finance and Economics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Harbin Institute of Technology
Downloads 138
139.

High-Water Mark Fees with Stochastic Benchmark

Number of pages: 30 Posted: 19 Jul 2017 Last Revised: 30 Jul 2020
Working Paper Series
Worcester Polytechnic Institute
Downloads 109
140.

A Note on Stochastic Dominance

Number of pages: 9 Posted: 19 Jul 2017 Last Revised: 20 Aug 2017
Working Paper Series
OVVO Financial Systems
Downloads 83
141.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 6,170
142.

Risk Parity in the Brazilian Market

Economics Bulletin, Volume 37, Issue 3, pages 1555-1566
Number of pages: 13 Posted: 19 Jul 2017
Working Paper Series
Getulio Vargas Foundation (FGV), Sao Paulo School of Business Administration, Students , Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande do Sul (UFRGS/PPGA), Management School and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 156
143.

Replication Methods for Financial Indexes

Number of pages: 24 Posted: 18 Jul 2017
Working Paper Series
Department of Decision Sciences, HEC Montreal, Department of Mathematics and Statistics, McGill University and HEC Montreal - Department of Decision Sciences
Downloads 235
144.

The Impact of Dow Jones Index Additions and Deletion: The 2004 Case

Freeman, Patricia, Geungu Yu and Phillip Fuller “The Impact of Dow Jones Index Additions and Deletion: The 2004 Case.” Proceeding of the International Academy of Business Disciplines. Business Research Yearbook (April 2005): 356-360.
Number of pages: 6 Posted: 18 Jul 2017
Working Paper Series
Jackson State University, Jackson State University and Jackson State University
Downloads 12
145.

Dynamic Conditional Currency Hedging

Columbia Business School Research Paper No. 17-72
Number of pages: 51 Posted: 17 Jul 2017
Working Paper Series
Columbia Business School
Downloads 348
146.

Which is the Safe Haven for Emerging Stock Markets, Gold or the US Dollar?

Emerging Markets Review, Forthcoming
Number of pages: 61 Posted: 17 Jul 2017 Last Revised: 02 Jan 2018
Accepted Paper Series
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS) and Nankai University - School of Finance
Downloads 111
147.

Constructing the PD Term Structure

Number of pages: 20 Posted: 14 Jul 2017
Working Paper Series
d-fine GmbH, d-fine GmbH, d-fine GmbH and Global Credit Data
Downloads 1,121
148.

A Risk-Neutral Approach for the Evaluation of NPLs

Number of pages: 26 Posted: 14 Jul 2017 Last Revised: 15 Aug 2018
Working Paper Series
UniCredit Group
Downloads 380
149.
Downloads 33
150.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
Accepted Paper Series
Invesco, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 237