Majeed Simaan

Stevens Institute of Technology - School of Business

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 12,872

SSRN RANKINGS

Top 12,872

in Total Papers Downloads

7,137

SSRN CITATIONS
Rank 33,758

SSRN RANKINGS

Top 33,758

in Total Papers Citations

29

CROSSREF CITATIONS

2

Scholarly Papers (21)

1.

Buy the Dip?

Forthcoming: European Financial Management
Number of pages: 60 Posted: 28 Apr 2021 Last Revised: 18 Oct 2023
Stefano Bonini, Thomas Shohfi and Majeed Simaan
Stevens Institute of Technology - School of Business, U.S. Securities and Exchange Commission and Stevens Institute of Technology - School of Business
Downloads 2,032 (14,952)

Abstract:

Loading...

Asset Allocation, Bear/Bull Market, Market Timing, Social Media

2.

The Value of Data: Analyst Vs. Machine

Number of pages: 83 Posted: 27 Jun 2019 Last Revised: 12 Dec 2023
Stevens Institute of Technology - School of Business, U.S. Securities and Exchange Commission, Stevens Institute of Technology - School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 670 (73,983)

Abstract:

Loading...

Analyst Reports, Information Processing, Machine Learning, Portfolio Construction, Sell-Side Analysts, Textual Analysis

3.

The Risk of Expected Utility under Parameter Uncertainty

Management Science, forthcoming
Number of pages: 105 Posted: 01 Jun 2021 Last Revised: 18 Aug 2023
LFIN/LIDAM, UCLouvain, Iowa State University and Stevens Institute of Technology - School of Business
Downloads 627 (80,386)
Citation 9

Abstract:

Loading...

parameter uncertainty, mean-variance portfolio, shrinkage

4.

A Machine Learning Efficient Frontier

Operations Research Letters, DOI: https://doi.org/10.1016/j.orl.2020.07.016
Number of pages: 14 Posted: 14 Mar 2020 Last Revised: 07 Aug 2020
Brian J. Clark, Zachary Feinstein and Majeed Simaan
Rensselaer Polytechnic Institute (RPI), Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 569 (90,809)

Abstract:

Loading...

Portfolio Theory, Machine Learning, Tactical Asset Allocation, Estimation Risk

When Positive Sentiment is Not so Positive: Textual Analytics and Bank Failures

Number of pages: 52 Posted: 03 May 2016 Last Revised: 22 Aug 2022
Aparna Gupta, Cheng Lu, Majeed Simaan and Mohammed Zaki
Rensselaer Polytechnic Institute (RPI), Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Rensselaer Polytechnic Institute (RPI)
Downloads 346 (161,509)

Abstract:

Loading...

Risk Management, Machine Learning, Interpretability, Predictive Analytics

When Positive Sentiment is Not so Positive: Textual Analytics and Bank Failures

Number of pages: 52 Posted: 31 Aug 2022
Aparna Gupta, Cheng Lu, Majeed Simaan and Mohammed Zaki
Rensselaer Polytechnic Institute (RPI), Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Rensselaer Polytechnic Institute (RPI)
Downloads 51 (724,505)

Abstract:

Loading...

Risk Management, Machine learning, Interpretability, Predictive Analytics

6.

Improved Estimation of the Correlation Matrix using Reinforcement Learning and Text-Based Networks

Number of pages: 42 Posted: 27 Apr 2022 Last Revised: 29 Feb 2024
Cheng Lu, Papa Ndiaye and Majeed Simaan
Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 370 (151,217)

Abstract:

Loading...

Bias-Variance Trade-Off, Covariance Shrinkage, Portfolio Selection, Dynamic Programming, Artificial Intelligence

7.

Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing

Simaan, Majeed. (2020). Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing.
Number of pages: 17 Posted: 02 Oct 2020 Last Revised: 24 Apr 2021
Majeed Simaan
Stevens Institute of Technology - School of Business
Downloads 364 (154,006)
Citation 1

Abstract:

Loading...

Empirical Asset Pricing, RStats, Data Science, Reproducible Finance

8.

Bayesian Portfolio Selection: Application to Tactical Asset Allocation

Number of pages: 10 Posted: 12 Jul 2021
Majeed Simaan
Stevens Institute of Technology - School of Business
Downloads 268 (212,547)

Abstract:

Loading...

9.

Estimation Error in Mean Returns and the Mean-Variance Efficient Frontier

International Review of Economics & Finance, Forthcoming
Number of pages: 31 Posted: 15 Sep 2014 Last Revised: 16 Nov 2017
Majeed Simaan, Yusif Simaan and Yi Tang
Stevens Institute of Technology - School of Business, Fordham University - Graduate School of Business and Fordham University - Gabelli School of Business
Downloads 234 (242,975)
Citation 6

Abstract:

Loading...

Portfolio Theory, Investment, Estimation Error, Multivariate Analysis

10.

Pricing Banks: Risk and Return in an Opaque Industry

Number of pages: 88 Posted: 10 Apr 2020 Last Revised: 27 Sep 2023
Brian J. Clark, Bill B. Francis and Majeed Simaan
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI) - Lally School of Management and Stevens Institute of Technology - School of Business
Downloads 202 (278,754)
Citation 1

Abstract:

Loading...

Banking, Stock Return Anomalies, Complexity, Interconnectedness

11.

Partial Index Tracking enhanced Mean-Variance Portfolio

Forthcoming in International Journal of Finance & Economics
Number of pages: 37 Posted: 05 May 2021 Last Revised: 07 Mar 2024
Zhaokun Cai, Zhenyu Cui and Majeed Simaan
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 194 (289,135)

Abstract:

Loading...

Portfolio Optimization, Index Tracking, Parameter Estimation Risk

12.

Do We Need Higher-Order Comoments to Enhance Mean-Variance Portfolios? Evidence from a Simplified Jump Process

International Review of Financial Analysis, Forthcoming
Number of pages: 44 Posted: 13 Feb 2020 Last Revised: 03 Feb 2022
Khaldoun Khashanah, Majeed Simaan and Yusif Simaan
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Fordham University - Graduate School of Business
Downloads 188 (298,784)
Citation 1

Abstract:

Loading...

Utility Theory, Non-Elliptical Distributions, Shrinkage, Multivariate Analysis

13.

Filtering for Risk Assessment of Interbank Network

European Journal of Operational Research, DOI: 10.1016/j.ejor.2019.06.049
Number of pages: 32 Posted: 14 Mar 2016 Last Revised: 29 Jun 2019
Majeed Simaan, Aparna Gupta and Koushik Kar
Stevens Institute of Technology - School of Business, Rensselaer Polytechnic Institute (RPI) and Rensselaer Polytechnic Institute (RPI)
Downloads 178 (312,123)
Citation 1

Abstract:

Loading...

OR in Banking, Financial Networks, Liquidity Risk Management, Systemic Risk, Hidden Markov Models

14.

Balancing Returns and Responsibility: Evidence from Shrinkage-based Portfolios

Number of pages: 38 Posted: 07 Nov 2023 Last Revised: 26 Jan 2024
Christos Makridis and Majeed Simaan
Stanford University and Stevens Institute of Technology - School of Business
Downloads 174 (318,486)

Abstract:

Loading...

ESG-Efficiency, Bias-Variance Trade-Off, Covariance Shrinkage, Portfolio Selection

15.

The Opportunity Cost of Hedging under Incomplete Information: Evidence from ETF/Ns

Journal of Futures Markets, https://doi.org/10.1002/fut.22252
Number of pages: 32 Posted: 09 Jul 2020 Last Revised: 30 Jul 2021
Zhenyu Cui and Majeed Simaan
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 166 (331,651)
Citation 1

Abstract:

Loading...

Portfolio Hedge, Parameter Uncertainty, Retail Investors, Inverse ETFs, Robinhood

16.

Pricing Model Complexity: The Case for Volatility-Managed Portfolios

Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices (2023). Edited by A. Capponi and C.A. Lehalle. Cambridge University Press.
Number of pages: 26 Posted: 19 Dec 2022 Last Revised: 02 Mar 2023
Brian J. Clark, Akhtar R. Siddique and Majeed Simaan
Rensselaer Polytechnic Institute (RPI), Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Stevens Institute of Technology - School of Business
Downloads 158 (345,928)

Abstract:

Loading...

Portfolio Allocation, Risk-Return-Complexity Frontier, XAI

17.

Estimation Risk and Implicit Value of Index-Tracking

Quantitative Finance https://doi.org/10.1080/14697688.2021.1959631
Number of pages: 41 Posted: 15 Aug 2017 Last Revised: 18 Nov 2021
Brian J. Clark, Chanaka Edirisinghe and Majeed Simaan
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology and Stevens Institute of Technology - School of Business
Downloads 130 (404,334)

Abstract:

Loading...

Portfolio Optimization, Index Tracking, Parameter Estimation Risk

18.

Rational Explanation for Rule-of-Thumb Practices in Asset Allocation

DOI:10.1080/14697688.2019.1622767
Number of pages: 26 Posted: 05 Sep 2019
Majeed Simaan and Yusif Simaan
Stevens Institute of Technology - School of Business and Fordham University - Graduate School of Business
Downloads 99 (493,374)
Citation 3

Abstract:

Loading...

Portfolio Theory, Investment, Estimation Risk, Naive Allocation

19.

Reproducible Research in Portfolio Selection

Number of pages: 16 Posted: 10 Jan 2023
Majeed Simaan
Stevens Institute of Technology - School of Business
Downloads 63 (641,647)

Abstract:

Loading...

Reproducible Research, R coding, Backtesting, Shrinkage, Out-of-Sample Utility

20.

Measuring Bank Complexity using XAI

Number of pages: 60 Posted: 16 Apr 2024 Last Revised: 22 May 2024
Shengyu Huang, Majeed Simaan and Yi Tang
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Fordham University - Gabelli School of Business
Downloads 44 (761,266)

Abstract:

Loading...

Information Processing, Machine Learning, FinTech, Marginal Expected Shortfall, Systemic Risk

21.

Use and Misuse of Interpretability in Machine Learning

Forthcoming in Journal of Financial Transformation
Number of pages: 10 Posted: 19 Apr 2024
Brian J. Clark, Akhtar R. Siddique and Majeed Simaan
Rensselaer Polytechnic Institute (RPI), Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Stevens Institute of Technology - School of Business
Downloads 10 (1,057,861)

Abstract:

Loading...