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JEL Code: G11

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3801.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 196,423
3802.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 59,117
3803.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition

Number of pages: 114 Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads 26,245
3804.

Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37 Posted: 19 Apr 2012 Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads 24,689
3805.

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 23,713
3806.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 23,315
3807.

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 22,115
3808.

An Analysis of the Financial Crisis of 2008: Causes and Solutions

Number of pages: 28 Posted: 04 Nov 2008 Last Revised: 16 Dec 2008
Working Paper Series
Oakland University - School of Business Administration
Downloads 21,603
3809.

A Survey of Behavioral Finance

Number of pages: 77 Posted: 04 Oct 2002
Working Paper Series
Yale School of Management and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 21,577
3810.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 20,870
3811.

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 19,428
3812.

The Black-Litterman Model in Detail

Number of pages: 65 Posted: 28 Jan 2009 Last Revised: 23 Jun 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads 19,220
3813.

Risk Management Lessons from Long-Term Capital Management

Number of pages: 27 Posted: 02 Aug 1999
Working Paper Series
University of California, Irvine - Paul Merage School of Business
Downloads 17,822
3814.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads 17,064
3815.

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 16,733
3816.

Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Number of pages: 51 Posted: 26 Sep 2005 Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 14,904
3817.

Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes

Number of pages: 33 Posted: 26 Mar 2009 Last Revised: 22 Oct 2009
Working Paper Series
Tilburg University - Center and Faculty of Economics and Business Administration, Independent and Rabobank

Multiple version iconThere are 2 versions of this paper

Downloads 14,742
3818.

Value Investing: Investing for Grown Ups?

Number of pages: 79 Posted: 20 Apr 2012 Last Revised: 27 Jun 2012
Working Paper Series
New York University - Stern School of Business
Downloads 13,688
3819.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner
Number of pages: 16 Posted: 31 Mar 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 13,082
3820.

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 12,924
3821.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads 12,802
3822.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 12,247
3823.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 11,950
3824.

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 11,443
3825.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 11,431
3826.

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 11,377
3827.

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 10,970
3828.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 10,831
3829.

'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance

GARP Risk Professional, pp. 47-50, February 2011
Number of pages: 8 Posted: 23 Jan 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 9,972
3830.

The Behavior of Individual Investors

Number of pages: 54 Posted: 27 Jun 2011 Last Revised: 06 Jan 2012
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business
Downloads 9,926
3831.

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 9,902
3832.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006
Working Paper Series
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 9,395
3833.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 8,832
3834.

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 8,716
3835.

Private Equity Performance: What Do We Know?

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-44, Darden Business School Working Paper No. 1932316
Number of pages: 43 Posted: 23 Sep 2011 Last Revised: 30 Jul 2013
Accepted Paper Series
University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,543
3836.

Making Sense Out of Variable Spending Strategies for Retirees

Number of pages: 18 Posted: 17 Mar 2015
Working Paper Series
The American College
Downloads 8,471
3837.

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 8,470
3838.

What is the Riskfree Rate? A Search for the Basic Building Block

Number of pages: 33 Posted: 18 Dec 2008 Last Revised: 01 Jul 2009
Working Paper Series
New York University - Stern School of Business
Downloads 8,304
3839.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016
Accepted Paper Series
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 8,266
3840.

Keynes the Stock Market Investor: A Quantitative Analysis

Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449,
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 19 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 8,222
3841.

Fact, Fiction, and Value Investing

Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1
Number of pages: 31 Posted: 05 Jul 2017 Last Revised: 07 Jul 2017
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 8,205
3842.

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 8,097
3843.

A Comparative Anatomy of Credit Risk Models

Journal of Banking and Finance, Vol. 24, No. 1/2, 2000, Board of Governors of the Federal Reserve System FEDS Paper No. 98-47
Number of pages: 29 Posted: 03 Mar 1999 Last Revised: 30 Jan 2011
Accepted Paper Series
Board of Governors of the Federal Reserve
Downloads 7,852
3844.

Behavioral Finance: An Introduction

Number of pages: 43 Posted: 18 Oct 2009 Last Revised: 16 Dec 2011
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 7,728
3845.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 7,580
3846.

Risk and Return in General: Theory and Evidence

Number of pages: 150 Posted: 18 Jun 2009 Last Revised: 22 Nov 2011
Working Paper Series
Pine River Capital Management
Downloads 7,557
3847.

Economists’ Hubris – The Case of Equity Asset Management

Journal of Financial Transformation, Vol. 29, pp. 9-16
Number of pages: 10 Posted: 02 May 2010 Last Revised: 07 Jan 2011
Accepted Paper Series
Capco Institute, Aston Business School and Institute of Management Technology , Dubai
Downloads 7,474
3848.

Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,
Number of pages: 12 Posted: 09 Jun 2008 Last Revised: 16 Nov 2012
Working Paper Series
NYU-Tandon School of Engineering
Downloads 7,287
3849.

History and the Equity Risk Premium

Yale ICF Working Paper No. 05-04
Number of pages: 19 Posted: 12 Apr 2005
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance
Downloads 7,234
3850.

High-Frequency Trading, Stock Volatility, and Price Discovery

Number of pages: 54 Posted: 14 Oct 2010 Last Revised: 27 Dec 2010
Working Paper Series
Yale School of Management
Downloads 7,185