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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 151 - 200 of 2,046 papers

151.

Robust Technical Trading with Fuzzy Knowledge-Based Systems

Number of pages: 16 Posted: 06 Jul 2017
Working Paper Series
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 129
152.

Fact, Fiction, and Value Investing

Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1
Number of pages: 31 Posted: 05 Jul 2017 Last Revised: 07 Jul 2017
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 10,849
153.

Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model

Number of pages: 40 Posted: 05 Jul 2017
Working Paper Series
HEC Montreal and Department of Decision Sciences, HEC Montreal
Downloads 105
154.

Explaining and Benchmarking Corporate Bond Returns

Number of pages: 60 Posted: 05 Jul 2017
Working Paper Series
University of Kansas - School of Business, College of William and Mary - Mason School of Business and Villanova University - Department of Finance
Downloads 203
155.

Gotta CAPM' All: An Empirical Study on the Validity of the CAPM Against Four Unique Assets

Number of pages: 21 Posted: 05 Jul 2017
Working Paper Series
Independent and Independent
Downloads 323
156.

On Consistency of the Omega Ratio with Stochastic Dominance Rules

Number of pages: 13 Posted: 23 Jun 2017
Working Paper Series
Karlsruhe Institute of Technology and University of Siegen
Downloads 131
157.

Credit Market Freezes

Number of pages: 47 Posted: 22 Jun 2017
Working Paper Series

Multiple version iconThere are 2 versions of this paper

Downloads 92
158.

Distance and Beyond. What Drives Financial Flows to Emerging Economies?

Number of pages: 36 Posted: 22 Jun 2017
Working Paper Series
Sapienza Univeristy of Rome and University of Macerata
Downloads 31
159.

Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR

Number of pages: 23 Posted: 13 Jun 2017
Working Paper Series
Financial Services, New York
Downloads 357
160.

The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading Volume

Yu, Geungu, Phillip Fuller and Patricia A. Freeman. “The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading Volume.” Southwestern Economic Review (Spring 2015):125-34.
Number of pages: 10 Posted: 13 Jun 2017
Accepted Paper Series
Jackson State University, Jackson State University and Jackson State University
Downloads 43
161.

Modeling the Short Rate as a Levy Process and Option Pricing with the FFT

Number of pages: 11 Posted: 12 Jun 2017
Working Paper Series
TD Bank
Downloads 89
162.

Reinvestment Risk and the Equity Term Structure

Fisher College of Business Working Paper No. 2017-03-014, Charles A. Dice Center Working Paper No. 2017-14, Kenan Institute of Private Enterprise Research Paper Forthcoming, Journal of Finance, Forthcoming
Number of pages: 118 Posted: 06 Jun 2017 Last Revised: 02 Dec 2020
Accepted Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 600
163.

Combining IS-Demand and LM-Supply Factors

Posted: 05 Jun 2017 Last Revised: 09 Dec 2019
Working Paper Series
Boston College, Department of Finance
164.

Historical Returns of the Market Portfolio

Review of Asset Pricing Studies, Forthcoming
Number of pages: 75 Posted: 02 Jun 2017 Last Revised: 23 Oct 2019
Working Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 4,898
165.

The Impact of Yield Slope on Stock Performance

Yu, Geungu, Phillip Fuller and Dal Didia. “The Impact of Yield Slope on Stock Performance” Southwestern Economic Review (Spring 2013) 40 (1): 1-10.
Number of pages: 10 Posted: 01 Jun 2017
Accepted Paper Series
Jackson State University, Jackson State University and Jackson State University
Downloads 68
166.

Using a Modified Dividend Discount Model for Stock Market Games

Yu, Geungu, Jean-Claude Assad, and Phillip Fuller. “Using A Modified Dividend Discount Model For Stock Market Games.” Southwestern Economic Review, (Spring 2017) 44 (1) :29-42
Number of pages: 14 Posted: 01 Jun 2017
Accepted Paper Series
Jackson State University, Jackson State University - Economics and Finance and Jackson State University
Downloads 86
167.

Rebalancing for Long Term Investors: Why It Pays to Do Less

Bankers, Markets & Investors, forthcoming
Number of pages: 40 Posted: 01 Jun 2017 Last Revised: 06 Sep 2019
Accepted Paper Series
Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 511
168.

Risk Parity with Fractal Model of Risk

Number of pages: 7 Posted: 31 May 2017 Last Revised: 04 Jun 2017
Working Paper Series
Moscow State University and Independent
Downloads 219
169.

The Informational Content of High-Frequency Option Prices

Number of pages: 75 Posted: 30 May 2017 Last Revised: 13 Feb 2020
Working Paper Series
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Downloads 303
170.

Macroeconomic Factors and Foreign Portfolio Investment Volatility: A Case of South Asian Countries

Future Business Journal, Volume 1, Issues 1–2, Pages 65–74, December 2015
Number of pages: 10 Posted: 26 May 2017
Accepted Paper Series
CUST, HUST and Mohammad Ali Jinnah University (MAJU)
Downloads 103
171.

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs

Number of pages: 39 Posted: 18 May 2017
Working Paper Series
affiliation not provided to SSRN, University of Michigan at Ann Arbor and University of Trier
Downloads 160
172.

Asset Correlation, Diversification and the Basel Accord: A Comparative Study

Number of pages: 34 Posted: 18 May 2017 Last Revised: 06 Apr 2018
Working Paper Series
Raiffeisen Bank International
Downloads 101
173.

Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Number of pages: 40 Posted: 18 May 2017 Last Revised: 04 Jun 2018
Working Paper Series
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 87
174.

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 1,417
175.

Efficient Estimation of Distributional Tail Shape and the Extremal Index With Applications to Risk Management

Journal of Mathematical Finance,Vol. 6, pp. 626-659, 2016
Number of pages: 52 Posted: 16 May 2017
Accepted Paper Series
Iowa State University - Department of Finance
Downloads 55
176.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, https://doi.org/10.1007/s10479-019-03364-2
Number of pages: 37 Posted: 16 May 2017 Last Revised: 05 Aug 2020
Accepted Paper Series
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 138
177.

Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy

Analysis and Computations Journal, Forthcoming
Number of pages: 67 Posted: 15 May 2017 Last Revised: 22 May 2017
Accepted Paper Series
Mathematical Sciences (MS) centre, the African Institute for MS
Downloads 60
178.

Investing for the Long Run

Number of pages: 38 Posted: 11 May 2017 Last Revised: 29 Mar 2019
Working Paper Series
Johannes Gutenberg University Mainz - Department of Banking, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 171
179.

News and Social Media Emotions in the Commodity Market

Review of Behavioral Finance, Forthcoming
Number of pages: 30 Posted: 11 May 2017
Accepted Paper Series
Regent University - Finance, Old Dominion University - Finance, Old Dominion University - Strome College of Business and Old Dominion University - Strome College of Business
Downloads 224
180.

Factors vs. Sectors in Asset Allocation: Stronger Together?

Number of pages: 24 Posted: 10 May 2017 Last Revised: 27 May 2018
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 928
181.

The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis

Advances in Data Analysis and Classification (2016) 10:351–373 DOI 10.1007/s11634-015-0216-8
Number of pages: 28 Posted: 05 May 2017
Accepted Paper Series
Ernst & Young, UK
Downloads 44
182.

Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice

American Journal of Industrial and Business Management, 2017, 7, 833-854
Number of pages: 17 Posted: 22 Apr 2017 Last Revised: 14 Aug 2017
Accepted Paper Series
PortfolioNetworks.com
Downloads 370
183.

Tail Dependence Modification of the Gaussian Copula: A Distorted Mix Method

Number of pages: 20 Posted: 21 Apr 2017 Last Revised: 30 Nov 2018
Working Paper Series
National University of Singapore (NUS) - Risk Management Institute
Downloads 82
184.

Investment Portfolio Evaluation by Fuzzy Approach

Journal of Competitiveness, Issue 3, p. 13-26, 2011
Number of pages: 14 Posted: 20 Apr 2017
Accepted Paper Series
University of National and World Economy, Department of Management and University of National and World Economy, Sofia
Downloads 141
185.

Размито оценяване на инвестиционни портфейли (Fuzzy Evaluation of Investment Portfolios)

Bulgarian Journal of Business Research (списание "Бизнес посоки"), issue 1, 2011, p. 25-35
Number of pages: 13 Posted: 20 Apr 2017 Last Revised: 25 Apr 2017
Accepted Paper Series
University of National and World Economy, Department of Management and University of National and World Economy, Sofia
Downloads 84
186.

From Failure to Success: Replacing the Failure Rate

Number of pages: 15 Posted: 19 Apr 2017
Working Paper Series
IESE Business School
Downloads 270
187.

Managerial Sentiment, Consumer Confidence and Sector Returns

International Review of Financial Analysis, Volume 47, Pages 24–38, October 2016
Posted: 18 Apr 2017
Accepted Paper Series
Heriot Watt University, Edinburgh Business School and Heriot-Watt University, Edinburgh
188.

Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered''

Number of pages: 6 Posted: 14 Apr 2017
Working Paper Series
NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 121
189.

Fast LP Algorithms for Portfolio Optimization

Number of pages: 22 Posted: 13 Apr 2017
Working Paper Series
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Downloads 206
190.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Working Paper Series
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads 9,349
191.

Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility

Probability, Uncertainty and Quantitative Risk, 2:13, 2017, DOI: 10.1186/s41546-017-0024-5
Posted: 12 Apr 2017 Last Revised: 07 Jan 2018
Accepted Paper Series
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Goethe-University Frankfurt am Main - Institute of Mathematics
192.

Volatility Measures as Predictors of Extreme Returns

Review of Financial Economics, Forthcoming
Posted: 11 Apr 2017
Accepted Paper Series
Concordia University, Quebec - Department of Finance, Concordia University, Quebec - Department of Finance and Independent
193.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads 7,892
194.

Mean-Reverting Statistical Arbitrage in Crude Oil Markets

Number of pages: 39 Posted: 10 Apr 2017
Working Paper Series
Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 745
195.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Working Paper Series
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 158
196.

A Statistical Analysis of Cryptocurrencies

Number of pages: 30 Posted: 08 Apr 2017 Last Revised: 25 Dec 2018
Working Paper Series
Zurich University of Applied Sciences, University of Manchester - School of Mathematics, University of Manchester - School of Mathematics and University of Manchester
Downloads 909
197.

Asset Allocation with Correlation: A Composite Trade-Off

European Journal of Operational Research, Forthcoming
Number of pages: 40 Posted: 08 Apr 2017
Accepted Paper Series
Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 263
198.

Risk-Based Currency Management

Risk & Reward, 2017, 1st issue, pp. 20-24
Number of pages: 7 Posted: 07 Apr 2017
Accepted Paper Series
Invesco and Invesco
Downloads 216
199.

The Idiosyncratic Momentum Anomaly

Number of pages: 60 Posted: 05 Apr 2017 Last Revised: 08 Apr 2020
Working Paper Series
Robeco Quantitative Investments, Technische Universität München (TUM) and VU University Amsterdam - Finance
Downloads 2,913
200.

Simple Solutions to an Extended Class of Time-Inconsistent Portfolio Problems

Number of pages: 28 Posted: 04 Apr 2017
Working Paper Series
University of Copenhagen, Independent and University of Copenhagen
Downloads 88