Majeed Simaan

Stevens Institute of Technology - School of Business

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 15,862

SSRN RANKINGS

Top 15,862

in Total Papers Downloads

4,595

SSRN CITATIONS
Rank 45,308

SSRN RANKINGS

Top 45,308

in Total Papers Citations

11

CROSSREF CITATIONS

4

Scholarly Papers (16)

1.

Buy the Dip?

Number of pages: 36 Posted: 28 Apr 2021 Last Revised: 22 Aug 2022
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 1,399 (20,101)

Abstract:

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

2.

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 461 (89,816)

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

3.

Analysts, Fundamentals, and Portfolio Selection: A Machine Learning Approach

Number of pages: 68 Posted: 27 Jun 2019 Last Revised: 13 Dec 2021
Stevens Institute of Technology - School of Business, University of North Carolina (UNC) at Chapel Hill - Finance Area, U.S. Securities and Exchange Commission and Stevens Institute of Technology - School of Business
Downloads 447 (93,067)
Citation 1

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

4.

The Risk of Out-of-Sample Portfolio Performance

Number of pages: 83 Posted: 01 Jun 2021 Last Revised: 12 Aug 2022
LFIN/LIDAM, UCLouvain, Iowa State University and Stevens Institute of Technology - School of Business
Downloads 359 (119,594)

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parameter uncertainty, mean-variance portfolio, shrinkage

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 269 (161,314)

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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 11 (825,331)

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Risk Management, Machine learning, Interpretability, Predictive Analytics

6.

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 232 (187,068)
Citation 1

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Empirical Asset Pricing, RStats, Data Science, Reproducible Finance

7.

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 203 (211,909)
Citation 4

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Portfolio Theory, Investment, Estimation Error, Multivariate Analysis

8.

Improved Estimation of the Covariance Matrix using Reinforcement Learning

Number of pages: 32 Posted: 27 Apr 2022 Last Revised: 28 Aug 2022
Cheng Lu and Majeed Simaan
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 181 (234,433)

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Portfolio Selection, Shrinkage, Investment Policy, Dynamic Programming, Artificial Intelligence

9.

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 171 (246,100)

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10.

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 156 (265,668)
Citation 1

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

11.

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 149 (275,615)

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

12.

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 146 (280,179)

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

13.

Pricing Banks: Risk and Return in an Opaque Industry

Number of pages: 60 Posted: 10 Apr 2020 Last Revised: 16 Aug 2022
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 139 (291,192)

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Stock Return Anomalies, Return Decomposition, Complexity, Interconnectedness

14.

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 107 (352,000)

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Portfolio Optimization, Index Tracking, Parameter Estimation Risk

15.

Partial Index Tracking enhanced Mean-Variance Portfolio

Number of pages: 24 Posted: 05 May 2021
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 98 (372,905)

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ortfolio Optimization, Index Tracking, Parameter Estimation Risk

16.

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 67 (464,585)
Citation 3

Abstract:

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Portfolio Theory, Investment, Estimation Risk, Naive Allocation