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Advanced Risk & Portfolio Management® Research Paper Series

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Viewing: 2,001 - 2,046 of 2,046 papers

2001.

Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

Netspar Discussion Paper No. 03/2010-009
Number of pages: 35 Posted: 18 Jun 2010 Last Revised: 17 Jan 2012
Working Paper Series
University of Groningen, De Nederlandsche Bank and Towers Watson

Multiple version iconThere are 2 versions of this paper

Downloads 343
2002.

Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects

GARP's Risk Professional Magazine, June 2010
Number of pages: 6 Posted: 03 Jun 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,380
2003.

Forecasting Shipping Freight Rates

Posted: 02 May 2010 Last Revised: 28 Nov 2011
Working Paper Series
Johannes Kepler University Linz
2004.

Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010
Number of pages: 5 Posted: 09 Apr 2010 Last Revised: 15 Nov 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 14,391
2005.

Evaporating Liquidity

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 23 Jul 2011
Working Paper Series
University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 279
2006.

Digital Portfolio Theory: Portfolio Size, Versus Alpha, Beta, and Horizon Risk

Number of pages: 56 Posted: 16 Mar 2010 Last Revised: 20 Mar 2013
Working Paper Series
PortfolioNetworks.com

Multiple version iconThere are 3 versions of this paper

Downloads 143
2007.

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Risk, Vol. 23, No.7, p. 84-89
Number of pages: 28 Posted: 08 Mar 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 8,802
2008.

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics

Multiple version iconThere are 2 versions of this paper

Downloads 4,844
2009.

Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids

GARP Risk Professional, pp. 52-53, February 2010
Number of pages: 4 Posted: 04 Feb 2010 Last Revised: 14 May 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,984
2010.

Fully Flexible Extreme Views

Journal of Risk, Vol. 14, No. 2, pp. 39-49, Winter 2011/2012
Number of pages: 11 Posted: 25 Jan 2010 Last Revised: 12 Jan 2012
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management, HEC Montreal - Department of Decision Sciences and Aeris Capital AG
Downloads 2,122
2011.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
Working Paper Series
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,442
2012.

Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code

Number of pages: 281 Posted: 11 Aug 2009 Last Revised: 08 Mar 2016
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 26,539
2013.

Simulations with Exact Means and Covariances

Number of pages: 8 Posted: 08 Jun 2009 Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,487
2014.

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

Number of pages: 20 Posted: 15 May 2009 Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 18,838
2015.

The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations

Number of pages: 29 Posted: 06 Apr 2009
Working Paper Series
Capital Fund Management, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,188
2016.

Review of Discrete and Continuous Processes in Finance: Theory and Applications

Number of pages: 33 Posted: 05 Apr 2009 Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 10,454
2017.

Extreme Downside Risk and Expected Stock Returns

Journal of Banking and Finance, Vol. 36, No. 5, 2012, 1492-1502
Number of pages: 34 Posted: 22 Mar 2009 Last Revised: 17 May 2012
Accepted Paper Series
University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa - Shidler College of Business and University of Macau - Faculty of Business Administration
Downloads 142
2018.

Managing Diversification

Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper
Number of pages: 23 Posted: 13 Mar 2009 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 13,932
2019.

Notes On Stochastic Rates, Dividends, Volatilities in an Equity Framework

Number of pages: 42 Posted: 12 Mar 2009 Last Revised: 17 Feb 2012
Working Paper Series
Dresdner Kleinwort Wasserstein
Downloads 559
2020.

Currency Risk Hedging: No Free Lunch

Number of pages: 55 Posted: 16 Feb 2009 Last Revised: 29 Oct 2012
Working Paper Series
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School, BI Norwegian Business School - Department of Finance and INSEAD - Finance
Downloads 541
2021.

Analyzing the Time-Varying Stock Market Risk-Return Relation

Number of pages: 34 Posted: 02 Jan 2009 Last Revised: 21 Jun 2011
Working Paper Series
Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 352
2022.

Impossible Frontiers

Number of pages: 43 Posted: 24 Nov 2008 Last Revised: 15 Jun 2016
Working Paper Series
Harvard Law School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,430
2023.

Equilibrium Implications of Delegated Asset Management Under Benchmarking

Number of pages: 50 Posted: 21 Nov 2008 Last Revised: 31 Mar 2012
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 267
2024.

Fully Flexible Views: Theory and Practice

Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Number of pages: 26 Posted: 10 Aug 2008 Last Revised: 06 Dec 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 13,256
2025.

Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors

Number of pages: 11 Posted: 10 Aug 2008 Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,730
2026.

Country-Specific Sentiment and Security Prices

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 03 Aug 2008 Last Revised: 29 Jul 2010
Working Paper Series
Cornell University - Dyson School of Applied Economics and Management
Downloads 660
2027.

Estimation of Structured T-Copulas

Number of pages: 7 Posted: 29 Apr 2008
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,032
2028.

The Black-Litterman Approach: Original Model and Extensions

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17 Posted: 08 Apr 2008 Last Revised: 13 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 22,867
2029.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012)
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
Accepted Paper Series
University of Muenster - Finance Center Muenster, Goethe University Frankfurt, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 88
2030.

A Note on Merton's 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model'

Journal of Economic Theory, Vol. 46, No. 2, pp. 395-401, 1988
Number of pages: 11 Posted: 17 Jan 2008 Last Revised: 29 Mar 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 409
2031.

Modeling and Calibration Errors in Measures of Portfolio Credit Risk

Number of pages: 40 Posted: 20 Jul 2007
Working Paper Series
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 117
2032.

Portfolio Design and the Goal of Immunization

Number of pages: 26 Posted: 14 May 2007
Working Paper Series
University of Murcia - Faculty of Business and Economics and Universidad de Murcia - Dpto. Economia Aplicada
Downloads 120
2033.

Mean-Variance Versus Full-Scale Optimization: In and Out of Sample

MIT Sloan Research Paper No. 4589-05
Number of pages: 20 Posted: 16 Feb 2006
Accepted Paper Series
Windham Capital Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,691
2034.

Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets

Number of pages: 15 Posted: 29 Dec 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 7,791
2035.

Beyond Black-Litterman: Views on Non-Normal Markets

Number of pages: 19 Posted: 16 Nov 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,486
2036.

Robust Bayesian Allocation

Number of pages: 18 Posted: 03 Apr 2005 Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,277
2037.

Portfolio Selection with Higher Moments

Number of pages: 50 Posted: 29 Dec 2004 Last Revised: 16 Mar 2010
Working Paper Series
Duke University - Fuqua School of Business, Pennsylvania State University, University Park, Drexel University - Department of Decision Sciences and The University of Texas M. D. Anderson Cancer Center
Downloads 4,103
2038.

Dynamic Trading Strategies and Portfolio Choice

Number of pages: 27 Posted: 24 Sep 2004
Working Paper Series
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,488
2039.

Optimal Hedge Fund Allocations: Do Higher Moments Matter?

Revere Street Working Paper No. 272-13
Number of pages: 23 Posted: 10 Sep 2004
Working Paper Series
State Street Associates, Windham Capital Management and State Street Associates
Downloads 1,936
2040.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 2,652
2041.

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

CentER Discussion Paper No. 2003-20
Number of pages: 37 Posted: 22 Aug 2003
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Downloads 1,040
2042.

Portfolio Choice with Illiquid Assets

Number of pages: 32 Posted: 15 Apr 2003
Working Paper Series
Princeton University - International Economics Section and Central European University
Downloads 23
2043.

On the Estimation of the Global Minimum Variance Portfolio

Number of pages: 20 Posted: 09 Apr 2003
Working Paper Series
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Downloads 2,780
2044.

Portfolio Optimization and Hedge Fund Style Allocation Decisions

Number of pages: 24 Posted: 26 Mar 2002
Working Paper Series
EDHEC Business School and EDHEC Business School
Downloads 3,205
2045.

Portfolio Optimization with Drawdown Constraints

Research Report #2000-5
Number of pages: 17 Posted: 18 Aug 2000
Working Paper Series
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,580
2046.

Revisiting the Basics of Return and Risk in Equilibrium

Number of pages: 17 Posted: 13 Aug 1998
Working Paper Series
Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 1,591