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Econometric Modeling: Capital Markets - Portfolio Theory eJournal

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Viewing: 201 - 250 of 3,903 papers

201.

Decarbonization Factors

Number of pages: 46 Posted: 14 Sep 2019 Last Revised: 18 Nov 2019
Working Paper Series
State Street Associates, State Street Associates, Harvard Business School, State Street Associates and State Street Associates
Downloads 1,132
202.

Low-Beta Strategies

28th Australasian Finance and Banking Conference
Number of pages: 43 Posted: 20 Aug 2015 Last Revised: 15 Jun 2017
Working Paper Series
University of Goettingen (Gottingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 1,117
203.

Notes on Fano Ratio and Portfolio Optimization

Journal of Risk & Control 5(1) (2018) 1-33
Number of pages: 29 Posted: 10 Oct 2017 Last Revised: 18 Apr 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,117
204.

Portfolio Optimization and Monte Carlo Simulation

Number of pages: 96 Posted: 18 May 2014 Last Revised: 03 Aug 2014
Working Paper Series
Hvass Laboratories
Downloads 1,116
205.

The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios

Number of pages: 18 Posted: 17 Jan 2018
Working Paper Series
Fidelity Investments, Inc.
Downloads 1,113
206.

Informed Trading and Cybersecurity Breaches

Harvard Business Law Review, Vol. 8, 2018, Columbia Law and Economics Working Paper No. 580
Number of pages: 49 Posted: 17 Feb 2018 Last Revised: 12 Jun 2018
Accepted Paper Series
Columbia Law School and Columbia University - School of Law
Downloads 1,107
207.

Eight Stocks are Enough in China

Number of pages: 42 Posted: 11 Sep 2014
Working Paper Series
University of Science and Technology of China (USTC), School of Management, Students and University of Science and Technology of China (USTC) - School of Management
Downloads 1,106
208.

A Framework for Value Investing

Number of pages: 48 Posted: 16 Aug 2013
Working Paper Series
University of Southern California - Leventhal School of Accounting, Korea University and Charles Schwab Investment Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,102
209.

Deep Reinforcement Learning for Asset Allocation in US Equities

Number of pages: 29 Posted: 19 Oct 2020
Working Paper Series
Artificial Intelligence in Finance Institute and Wright Research
Downloads 1,101
210.

The Capacity of Trading Strategies

HEC Paris Research Paper No. FIN-2015-1089
Number of pages: 50 Posted: 27 Mar 2015 Last Revised: 05 Feb 2019
Working Paper Series
HEC Paris - Finance Department, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,100
211.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Vol. 59, pp. 105-116, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 24 Nov 2020
Accepted Paper Series
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 1,092
212.

Global Portfolio Diversification for Long-Horizon Investors

Harvard Business School Finance Working Paper No. 17-085
Number of pages: 57 Posted: 27 Mar 2017 Last Revised: 11 Jul 2018
Working Paper Series
Harvard Business School - Finance Unit and Harvard Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,091
213.

Optimal Timing and Tilting of Equity Factors

Financial Analysts Journal, 2019, Vol. 75(4), pp. 84-102
Number of pages: 31 Posted: 15 Dec 2018 Last Revised: 23 Oct 2019
Accepted Paper Series
dichtl research & consulting GmbH, University of Hamburg, Invesco, Invesco and Allianz Global Investors
Downloads 1,090
214.

Diversification Returns, Rebalancing Returns and Volatility Pumping

Number of pages: 45 Posted: 19 Aug 2013 Last Revised: 08 Feb 2016
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 1,078
215.

Pathetic Protection: The Elusive Benefits of Protective Puts

Number of pages: 41 Posted: 23 Mar 2017
Working Paper Series
NDVR, Inc.
Downloads 1,077
216.

Sensitivity of Safe Withdrawal Rates to Longevity, Market and Failure Risk Preferences with Implications for Asset Allocation

Number of pages: 21 Posted: 10 Mar 2013
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Macquarie Group – Darwin Investment Strategies
Downloads 1,077
217.

Extending Fama-French Factors to Corporate Bond Markets

Journal of Portfolio Management, 45 (3), 141-158, 2019, https://jpm.pm-research.com/content/45/3/141
Number of pages: 4 Posted: 18 Jan 2016 Last Revised: 26 Oct 2020
Accepted Paper Series
Technical University of Darmstadt, Abaris Investment Management, Deka Investment GmbH, Darmstadt University of Technology and Deka Investment GmbH
Downloads 1,076
218.

Optimal Strategies of High Frequency Traders

AFA 2015 Boston Meetings Paper
Number of pages: 50 Posted: 21 Jan 2014 Last Revised: 15 Nov 2015
Working Paper Series
Peking University - Guanghua School of Management
Downloads 1,063
219.

Still Not Cheap: Portfolio Protection in Calm Markets

Number of pages: 25 Posted: 17 Mar 2015 Last Revised: 27 Jan 2017
Working Paper Series
NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,060
220.

The Hierarchical Equal Risk Contribution Portfolio

Number of pages: 26 Posted: 20 Sep 2018
Working Paper Series
Independent
Downloads 1,057
221.

Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia

Number of pages: 48 Posted: 23 Sep 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,039
222.

Option Portfolio Value at Risk Using Monte Carlo Simulation Under a Risk Neutral Stochastic Implied Volatility Model

Global Journal of Business Research, v. 6 (5) pp. 65-72, 2012
Number of pages: 8 Posted: 29 Jan 2013
Accepted Paper Series
Investment Technology Group
Downloads 1,038
223.

Higher Order Comoments of Multifactor Models and Asset Allocation

Finance Research Letters, 13, 225-233, 2014
Number of pages: 13 Posted: 18 Mar 2014 Last Revised: 21 Nov 2017
Accepted Paper Series
Ghent University, Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Downloads 1,028
224.

Style Investing in Fixed Income

Journal of Portfolio Management, Forthcoming
Number of pages: 36 Posted: 06 Mar 2018
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,026
225.

A Generalized Risk Budgeting Approach to Portfolio Construction

Number of pages: 28 Posted: 05 Jul 2014 Last Revised: 09 Jan 2016
Working Paper Series
Imperial College Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 1,025
226.

Disentangling Rebalancing Return

The Journal of Asset Management 2014, Vol. 15, 5, pp.301–316
Number of pages: 31 Posted: 05 Feb 2014 Last Revised: 10 Dec 2016
Accepted Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 1,023
227.

Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets

AFA 2001 New Orleans Meetings, Review of Finance, 2003, 7(2), 191-233
Number of pages: 45 Posted: 05 Oct 2000 Last Revised: 22 Jun 2020
Working Paper Series
The Business School (formerly Cass), City, University of London
Downloads 1,018
228.

Estimation Error and Portfolio Optimization: A Resampling Solution

Number of pages: 25 Posted: 10 Sep 2015 Last Revised: 29 Sep 2015
Working Paper Series
New Frontier Advisors and Independent
Downloads 1,005
229.

Risk Control of Mean-Reversion Time in Statistical Arbitrage

Risk and Decision Analysis, vol. 6, no. 4, pp. 263-290, 2017
Number of pages: 52 Posted: 14 Nov 2016 Last Revised: 03 Feb 2018
Accepted Paper Series
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Department of Mathematics
Downloads 995
230.

On the Bayesian Interpretation of Black-Litterman

European Journal of Operational Research, Volume 258, Issue 2, 16 April 2017, Pages 564-572
Number of pages: 22 Posted: 17 Oct 2016 Last Revised: 01 Dec 2017
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 990
231.

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Published version: Trimborn, S., Li, M. and W. K. Härdle (2019) "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach" Journal of Financial Econometrics, doi.org/10.1093/jjfinec/nbz016
Number of pages: 37 Posted: 19 Jul 2017 Last Revised: 12 Jul 2019
Accepted Paper Series
City University of Hong Kong (CityUHK) - Department of Management Sciences, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Blockchain Research Center
Downloads 982
232.

Rentabilidad De Los Fondos De Inversión En España, 2001-2016 (Return of Mutual Funds in Spain, 2001-2016)

Number of pages: 11 Posted: 17 Mar 2017
Working Paper Series
IESE Business School, University of Navarra, IESE Business School, Independent and University of Navarra - University of Navarra, Students
Downloads 979
233.

A Study on Comparative Analysis of Risk and Return with Reference to Selected Stocks of BSE Sensex Index, India.

The International Journal's Research Journal of Social Science and Research, Volume:01, Number:04, August-2011
Number of pages: 14 Posted: 29 Mar 2017
Accepted Paper Series
MPNMJ Engineering College - Department of Management Studies and Kongu Engineering College - School of Management Studies
Downloads 974
234.

Modeling and Trading the VIX and VSTOXX with Futures, Options and the VXX

Number of pages: 28 Posted: 23 May 2015
Working Paper Series
Nimzowerkstatt OEG
Downloads 971
235.

Trend-Following Strategies for Tail-Risk Hedging and Alpha Generation

Number of pages: 36 Posted: 09 May 2018
Working Paper Series
Quantica Capital AG
Downloads 969
236.

A Dynamic Implementations of the Leverage Space Portfolio

Number of pages: 18 Posted: 11 Mar 2013
Working Paper Series
Western Michigan University, Vince Strategies LLC and Connors Global Indexes, LLC
Downloads 968
237.

Optimal and Naive Diversification in Currency Markets

Swiss Finance Institute Research Paper No. 12-36
Number of pages: 36 Posted: 11 Dec 2012 Last Revised: 04 Feb 2016
Working Paper Series
Zurcher Kantonalbank, NHH Norwegian School of Economics and IMD Lausanne
Downloads 958
238.

On the Profitability of Optimal Mean Reversion Trading Strategies

Number of pages: 18 Posted: 22 Jan 2016 Last Revised: 19 Feb 2016
Working Paper Series
Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students and Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students
Downloads 955
239.

VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Working Paper Series
Banca IMI, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 955
240.
Downloads 954
241.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and USI Lugano - Institute of Finance
Downloads 954
242.

Demystifying Pairs Trading: The Role of Volatility and Correlation

Number of pages: 42 Posted: 11 May 2016 Last Revised: 08 Jun 2017
Working Paper Series
Catholic University of Eichstaett-Ingolstadt - Ingolstadt School of Management
Downloads 948
243.

Portfolio Rho-Presentativity

Number of pages: 33 Posted: 10 Sep 2017 Last Revised: 10 Oct 2019
Working Paper Series
TOBAM, TOBAM and TOBAM
Downloads 941
244.

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 48 Posted: 10 Feb 2016 Last Revised: 06 Jan 2021
Working Paper Series
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School
Downloads 938
245.

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 59 Posted: 10 Oct 2017 Last Revised: 14 Jul 2020
Working Paper Series
Securities and Exchange Commission, Lehigh University - College of Business, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 932
246.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Working Paper Series
Lyxor Asset Management, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 924
247.

Comparing Performance Attribution Linking Methods: An Empirical Study

Number of pages: 22 Posted: 09 Jul 2014
Working Paper Series
University of Washington Investment Management Company and University of Washington - Investment Management
Downloads 922
248.

A Framework for Risk Premia Investing

Number of pages: 8 Posted: 21 Dec 2017
Working Paper Series
Varma Mutual Pension Insurance Company and Aalto University School of Business
Downloads 921
249.

Exchange Traded Funds (ETF): History, Mechanism, Academic Literature Review and Research Perspectives

Journal of Corporate Finance Research, Vol. 38, No. 2, pp. 89-108
Number of pages: 22 Posted: 29 Dec 2016
Accepted Paper Series
Russian Academy of national economy and public administration under the President of the Russian Federation
Downloads 920
250.

Fundamental Analysis and Mean-Variance Optimal Portfolios

The Accounting Review, Forthcoming
Number of pages: 54 Posted: 27 Dec 2018 Last Revised: 17 Nov 2020
Accepted Paper Series
Northwestern University - Kellogg School of Management and Emory University Goizueta Business School
Downloads 919