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JEL Code: C61

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Viewing: 1,901 - 1,950 of 3,486 papers

1901.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads 17,752
1902.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 11,937
1903.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - Olin School of Business
Downloads 8,682
1904.

Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

Number of pages: 15 Posted: 02 May 2013 Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads 8,316
1905.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 5,943
1906.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,569
1907.

Implied Binomial Trees in Excel without VBA

Number of pages: 21 Posted: 08 May 2004
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 4,497
1908.

A Model of Credit Risk, Optimal Policies, and Asset Prices

AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,358
1909.

Price Theory

Journal of Economic Literature, Forthcoming
Number of pages: 80 Posted: 02 Jun 2014 Last Revised: 18 Apr 2017
Accepted Paper Series
Microsoft Research
Downloads 4,340
1910.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 4,273
1911.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,415
1912.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Working Paper Series
Tsinghua University - School of Economics & Management and Washington University in St. Louis - Olin School of Business
Downloads 3,258
1913.

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 3,059
1914.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 2,878
1915.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,607
1916.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 2,535
1917.

FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 26 Aug 2014
Accepted Paper Series
University of Washington, Tacoma - Milgard School of Business, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 2,462
1918.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,431
1919.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,428
1920.

Smiling at Convexity: Bridging Swaption Skews and CMS Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Working Paper Series
Bloomberg L.P. and Banca IMI
Downloads 2,387
1921.

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

Number of pages: 25 Posted: 03 Jan 2000
Working Paper Series
Bloomberg Financial Markets (BFM)
Downloads 2,325
1923.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 2,230
1924.

The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing

Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 04 Feb 2008 Last Revised: 12 Oct 2013
Accepted Paper Series
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 2,076
1925.

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 2,061
1926.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).,
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,059
1927.

Why do Investors Buy Structured Products?

EFA 2009 Bergen Meetings Paper
Number of pages: 31 Posted: 16 Feb 2009 Last Revised: 18 Aug 2011
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Trier
Downloads 2,047
1928.

A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation

Number of pages: 42 Posted: 16 Mar 2005
Working Paper Series
Nanyang Technological University
Downloads 1,972
1929.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 1,909
1930.

A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,901
1931.

Measuring National Innovation Systems Efficiency – A Review of DEA Approach

Higher School of Economics Research Paper No. WP BRP 16/STI/2013
Number of pages: 24 Posted: 03 Aug 2013 Last Revised: 23 Sep 2013
Working Paper Series
National Research University - Higher School of Economics
Downloads 1,866
1932.

Constrained Optimization Approaches to Estimation of Structural Models

Econometrica Forthcoming
Number of pages: 21 Posted: 13 Feb 2008 Last Revised: 14 Jan 2012
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 1,803
1933.

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Working Paper Series
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

Multiple version iconThere are 2 versions of this paper

Downloads 1,793
1934.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,756
1935.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,714
1936.

Dynamic Hedging in Incomplete Markets: A Simple Solution

AFA 2012 Chicago Meetings Paper
Number of pages: 49 Posted: 07 Nov 2008 Last Revised: 12 May 2011
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 1,656
1937.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Working Paper Series
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,636
1938.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 1,627
1939.

Strategic Asset Allocation in Money Management

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 03 Feb 2009 Last Revised: 31 May 2012
Accepted Paper Series
London Business School and ICEF, Higher School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,571
1940.

Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis

International Journal of Operations Research, Forthcoming
Number of pages: 36 Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara - Department of Economics and Cranfield University - School of Management
Downloads 1,556
1941.

Optimal Liquidity Trading

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21
Number of pages: 59 Posted: 11 Dec 2000
Working Paper Series
Columbia Business School - Finance and Economics and Yale University - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,541
1942.

Drawdown Measure in Portfolio Optimization

Number of pages: 41 Posted: 13 May 2004
Working Paper Series
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,537
1943.

Global Supply Chain Networks and Risk Management

Number of pages: 41 Posted: 27 Oct 2003
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management, University of Massachusetts at Amherst and SUNY at Oswego - Management and Marketing
Downloads 1,534
1944.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013
Working Paper Series
Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 1,520
1945.

Optimal Liquidation in Dark Pools

EFA 2009 Bergen Meetings Paper
Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 18 Apr 2014
Working Paper Series
Humboldt University of Berlin and AHL (Man Investments)

Multiple version iconThere are 2 versions of this paper

Downloads 1,479
1946.

Dynamic Stochastic Programming For Asset-liability Management

Number of pages: 42 Posted: 19 Mar 1998
Working Paper Series
Credito Italiano and University of Cambridge - Centre for Financial Research
Downloads 1,460
1947.

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund

Multiple version iconThere are 2 versions of this paper

Downloads 1,442
1948.

Calibrating Option Pricing Models with Heuristics

NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39 Posted: 08 Mar 2010 Last Revised: 30 Dec 2013
Accepted Paper Series
Geneva School of Economics and Management (GSEM) and Independent
Downloads 1,433
1949.

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads 1,402
1950.

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Number of pages: 25 Posted: 02 May 2011 Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads 1,398