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
There are 2 versions of this paper
Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century
De Nederlandsche Bank Working Paper No. 247
Number of pages: 37
Posted: 22 Oct 2011
Downloads
588
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
Downloads
343
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
There are 3 versions of this paper
Downloads
416
Evaporating Liquidity
AFA 2011 Denver Meetings Paper
Number of pages: 49
Posted: 22 Mar 2010
Last Revised: 23 Jul 2011
Downloads
279
Downloads
5
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
There are 3 versions of this paper
Digital Portfolio Theory: Portfolio Size, versus Alpha, Beta, and Horizon Risk
Number of pages: 56
Posted: 11 Mar 2009
Downloads
329
Digital Portfolio Theory: Portfolio Size, Versus Alpha, Beta, and Horizon Risk
Number of pages: 56
Posted: 16 Mar 2010
Last Revised: 20 Mar 2013
Downloads
143
Digital Portfolio Theory: Portfolio Size, versus Alpha, Beta, and Horizon Risk
Number of pages: 56
Posted: 19 Mar 2009
Downloads
107
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
There are 2 versions of this paper
Warning: Physics Envy May be Hazardous to Your Wealth!
Number of pages: 73
Posted: 05 Mar 2010
Last Revised: 15 Mar 2010
Downloads
4,844
Warning: Physics Envy May Be Hazardous to Your Wealth!
Journal of Investment Management (JOIM), Second Quarter 2010
Posted: 13 Jul 2010
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
There are 2 versions of this paper
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
Number of pages: 45
Posted: 16 Sep 2009
Last Revised: 18 Jun 2012
Downloads
3,442
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
CEPR Discussion Paper No. DP7686
Number of pages: 49
Posted: 01 Mar 2010
Downloads
15
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
There are 2 versions of this paper
Impossible Frontiers
Number of pages: 43
Posted: 24 Nov 2008
Last Revised: 15 Jun 2016
Downloads
1,430
Impossible Frontiers
NBER Working Paper No. w14525
Number of pages: 41
Posted: 09 Dec 2008
Last Revised: 10 Sep 2010
Downloads
57
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
There are 2 versions of this paper
Downloads
1,488
Dynamic Trading Strategies and Portfolio Choice
NBER Working Paper No. w10820
Number of pages: 28
Posted: 19 Oct 2004
Last Revised: 27 Jul 2010
Downloads
142
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)
There are 2 versions of this paper
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
CentER Discussion Paper No. 2003-20
Number of pages: 37
Posted: 22 Aug 2003
Downloads
1,040
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
THE HANDBOOK OF COMMODITY INVESTING, Fabozzi, Fuss, Kaiser, eds., pp. 522-546, 2008
Posted: 02 Nov 2008
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
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