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JEL Code: C62

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Viewing: 1 - 50 of 624 papers

1.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University
Downloads 1,694
2.

Learning and Trusting Cointegration in Statistical Arbitrage

Number of pages: 27 Posted: 22 Feb 2013 Last Revised: 30 Sep 2014
Working Paper Series
Fitch Group
Downloads 1,629
3.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,523
4.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,346
5.

Evolutionary Finance

Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60 Posted: 04 Jul 2008 Last Revised: 17 Dec 2008
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,142
6.

Random Fixed Points in a Stochastic Solow Growth Model

Zurich IEER Working Paper No. 65
Number of pages: 15 Posted: 07 Feb 2001
Working Paper Series
University of Applied Sciences Merseburg and University of Manchester - Department of Economics
Downloads 777
7.

Market Demand Functions in the CAPM

Number of pages: 15 Posted: 01 Feb 1997
Working Paper Series
Paris School of Economics (PSE), University of Zurich - Department of Banking and Finance and Freie Universität Berlin
Downloads 761
8.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 695
9.

BKK the EZ Way: International Long-Run Growth News and Capital Flows

Number of pages: 75 Posted: 18 Nov 2012 Last Revised: 10 Mar 2017
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Wake Forest University - School of Business
Downloads 667
10.

Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation

Number of pages: 30 Posted: 05 Nov 2006
Working Paper Series
Università degli Studi di Milano-Bicocca
Downloads 660
11.

Portfolio Generating Functions

Number of pages: 20 Posted: 19 Nov 1998
Working Paper Series
Enhanced Investment Technologies, Inc. (INTECH)
Downloads 630
12.

Optimal Stopping with Private Information

Number of pages: 34 Posted: 10 Jul 2013 Last Revised: 08 May 2014
Working Paper Series
Université d'Évry - Departement de Mathematiques and University of California, Berkeley - Department of Economics
Downloads 595
13.

International Asset Pricing with Recursive Preferences

Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53 Posted: 23 Jul 2010 Last Revised: 10 Mar 2017
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 557
14.

Social Behaviors, Enforcement, and Compliance Dynamics

Number of pages: 47 Posted: 02 Mar 2000
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Accountancy, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 534
15.

International Asset Pricing with Recursive Preferences

Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 14 Mar 2012 Last Revised: 10 Mar 2017
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 497
16.

Currency Risk Factors in a Recursive Multi-Country Economy

INSEAD Working Paper No. 2015/40/FIN, Simon Business School Working Paper No. FR 15-10
Number of pages: 77 Posted: 24 Dec 2014 Last Revised: 16 May 2017
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, INSEAD and University of Rochester - Simon Business School
Downloads 441
17.

The Effectiveness of Simple Decision Heuristics: A Case Study of Experts' Forecasts of the Commercial Success of Early-Stage Ventures

Number of pages: 30 Posted: 03 Mar 2013
Working Paper Series
HEC Paris - Strategy & Business Policy and University of Waterloo - Department of Management Sciences
Downloads 419
18.

A Proof of the Outperformance of Beta Arbitrage Strategies

Number of pages: 13 Posted: 20 Apr 2010
Working Paper Series
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads 383
19.

The Term Structures of Coentropy in International Financial Markets

Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 54 Posted: 24 Oct 2013 Last Revised: 22 Sep 2017
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 382
20.

Business Cycle Phenomena in Overlapping Generations Economies with Stochastic Production

Zurich IEER Working Paper No. 30
Number of pages: 22 Posted: 06 Nov 2000
Working Paper Series
Bielefeld University and University of Manchester - Department of Economics
Downloads 370
21.

Migration in a Solow Growth Model

Number of pages: 15 Posted: 30 Mar 2010
Working Paper Series
Universidade Federal do Pampa (Unipampa - Campus Alegrete), Universidade Federal do Rio Grande do Sul (UFRGS), University of Bologna - Department of Mathematics for Economic and Social Sciences and Free University of Bozen-Bolzano
Downloads 356
22.

The Solow Model in Discrete Time and Decreasing Population Growth Rate

Economics Bulletin, Vol. 3, No. 41, pp. 1-14, 2008
Number of pages: 14 Posted: 02 Nov 2007 Last Revised: 05 Jun 2011
Accepted Paper Series
Universidad de la República and Universidad de la República - Facultad de Ciencias Económicas
Downloads 354
23.

The Evolution of Moral Codes of Behavior

Number of pages: 47 Posted: 21 Jun 2006 Last Revised: 07 Oct 2009
Working Paper Series
University of Graz - Department of Economics and Pontifical Catholic University of Chile
Downloads 352
24.

Geometric Arbitrage Theory and Market Dynamics

Number of pages: 72 Posted: 27 Mar 2008 Last Revised: 19 Jul 2015
Working Paper Series
Core Dynamics GmbH
Downloads 351
25.

Stable Group Purchasing Organizations

Marshall School of Business Working Paper No. FBE 20-10
Number of pages: 45 Posted: 02 Jun 2008 Last Revised: 23 Nov 2010
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business
Downloads 338
26.

Equity Portfolios Generated by Functions of Ranked Market Weights

Number of pages: 17 Posted: 15 Jan 1999
Working Paper Series
Enhanced Investment Technologies, Inc. (INTECH)

Multiple version iconThere are 2 versions of this paper

Downloads 334
27.

A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and Trade Algorithm

Proceedings of Foundations and Applications of Utility, Risk and Decision Theory (FUR) XV. Forthcoming
Number of pages: 51 Posted: 01 May 2012 Last Revised: 14 May 2012
Accepted Paper Series
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 328
28.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012
Working Paper Series
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 326
29.

Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics

Number of pages: 58 Posted: 23 Jul 2010 Last Revised: 30 May 2017
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School and Duke University, Department of Economics, Students
Downloads 315
30.

An Approach to Evaluating Relative Effectiveness in Non-Profit Institutions

Number of pages: 36 Posted: 07 May 2006
Working Paper Series
Rutgers Business School - Newark & New Brunswick, Hang Seng Management College and Rutgers Business School - New Brunswick
Downloads 311
31.

Survival and Evolutionary Stability of the Kelly Rule

Swiss Finance Institute Research Paper No. 09-32
Number of pages: 17 Posted: 07 Sep 2009
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 309
32.

Discretizing the Infinite-Dimensional Space of Distributions to Approximate Markov Equilibria with Ex-Post Heterogeneity and Aggregate Risk

Number of pages: 51 Posted: 21 Jun 2015 Last Revised: 31 Aug 2017
Working Paper Series
University of Geneva
Downloads 306
33.

QWERTY Is Dead, Long Live Path Dependence

Research Policy, 2013
Number of pages: 4 Posted: 22 Apr 2013 Last Revised: 12 Nov 2013
Accepted Paper Series
Western University - Ivey Business School
Downloads 305
34.

The Robustness of the CAPM: A Computational Approach

Tilburg University, CentER Working Paper No. 1999-54
Number of pages: 34 Posted: 14 Mar 2000
Working Paper Series
Maastricht University and University of Zurich
Downloads 293
35.

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator

Number of pages: 31 Posted: 06 Oct 2010 Last Revised: 19 Dec 2011
Working Paper Series
Montclair State University - Department of Mathematical Sciences and Riskdata
Downloads 290
36.

Nash and Walras Equilibrium

Yale Cowles Foundation Discussion Paper No. 1131RR
Number of pages: 19 Posted: 16 Jul 2001
Working Paper Series
Yale University - Cowles Foundation
Downloads 290
37.

Asset Price Anomalies Under Bounded Rationality

CEIS Tor Vergata Research Paper Series No. 19
Number of pages: 22 Posted: 06 Jun 2003
Working Paper Series
University of Pisa - Department of Economics, University of Rome Tor Vergata - Dipartimento di Studi Economici, Finanziari e Metodi quantitativi (SEFEMEQ) and University of Verona - Department of Economics
Downloads 272
38.

Representation Theory for Risk on Markowitz-Tversky-Kahneman Topology

Number of pages: 27 Posted: 11 Jun 2012 Last Revised: 12 Jun 2012
Working Paper Series
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 271
39.

Poverty Traps and Business Cycles in a Stochastic Overlapping Generations Economy with S-shaped Law of Motion

U of Copenhagen, Economics Discussion Paper No. 02-13
Number of pages: 16 Posted: 03 Dec 2002
Working Paper Series
University of Manchester - Department of Economics
Downloads 269
40.

Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

Number of pages: 44 Posted: 29 Jun 2015
Working Paper Series
Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University
Downloads 268
41.

Dynamic Supernetworks for the Integration of Social Networks and Supply Chains with Electronic Commerce: Modeling and Analysis of Buyer-Seller Relationships with Computations

Number of pages: 47 Posted: 13 Jul 2004
Working Paper Series
Eugene M. Isenberg School of Management - Department of Finance & Operations Management and University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management
Downloads 258
42.

Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria

Number of pages: 45 Posted: 04 Aug 2011
Working Paper Series
University of Cambridge - Judge Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 247
43.

Dynamics of International Financial Networks with Risk Management

Number of pages: 43 Posted: 28 Sep 2003
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management and University of Massachusetts at Amherst
Downloads 242
44.

Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options

Number of pages: 25 Posted: 08 Feb 2017 Last Revised: 06 Aug 2017
Working Paper Series
Peking University - HSBC Business School
Downloads 237
45.

Inequality, Social Discounting, and Estate Taxation

MIT Department of Economics Working Paper No. 05-13
Number of pages: 42 Posted: 29 Apr 2005
Working Paper Series
Harvard University - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 235
46.

On the Indeterminacy of New-Keynesian Economics

ECB Working Paper No. 323
Number of pages: 51 Posted: 16 May 2004
Working Paper Series
European Central Bank (ECB) and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 229
47.

Single Crossing Properties And The Existence Of Pure Strategy Equilibria In Games Of Incomplete Information

MIT Dept. of Economics Working Paper No. 97-11
Number of pages: 51 Posted: 02 Dec 1998
Working Paper Series
Stanford Graduate School of Business
Downloads 229
48.

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Operations Research, Forthcoming, Swiss Finance Institute Research Paper No. 14-63
Number of pages: 22 Posted: 01 Nov 2014 Last Revised: 18 Jan 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 226
49.

The Solow Model With Logistic Manpower: A Stability Analysis

Journal of World Economics Review, Vol. 3, No. 2, pp. 161-166, 2008
Number of pages: 7 Posted: 24 Aug 2005 Last Revised: 05 Jun 2011
Accepted Paper Series
University of Bologna - Department of Mathematics for Economic and Social Sciences, Free University of Bozen-Bolzano and Universidad de la República
Downloads 218
50.

Statics and Dynamics of Global Supply Chain Networks with Environmental Decision-Making

Number of pages: 43 Posted: 30 Dec 2003
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management, University of Massachusetts at Amherst and Eugene M. Isenberg School of Management - Department of Finance & Operations Management
Downloads 216