Ari Levine

AQR Capital Management

Managing Director

Greenwich, CT

United States

  • AQR Capital Management

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 2,547

SSRN RANKINGS

Top 2,547

in Total Papers Downloads

25,677

TOTAL CITATIONS
Rank 21,857

SSRN RANKINGS

Top 21,857

in Total Papers Citations

36

Scholarly Papers (5)

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1.

Which Trend Is Your Friend?

Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32 Posted: 10 May 2015 Last Revised: 19 Apr 2016
Ari Levine and Lasse Heje Pedersen
AQR Capital Management and AQR Capital Management, LLC
Downloads 9,013 (1,360)
Citation 15

Abstract:

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trend-following investing, momentum, moving average crossover, filtering, managed futures, CTA

2.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
Lasse Heje Pedersen, Abhilash Babu and Ari Levine
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 8,678 (1,469)
Citation 13

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portfolio choice, optimization, robustness, Black-Litterman, machine learning

3.

Trends Everywhere

Journal of Investment Management, Forthcoming, NYU Stern School of Business
Number of pages: 26 Posted: 17 May 2019
Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,997 (5,421)
Citation 3

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managed futures, time series momentum, trend following, factor momentum, alternative markets, hedge funds, trading strategies, exotic commodities

4.

Commodities for the Long Run

Downloads 2,373 (12,521)
Citation 3

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
Ari Levine, Yao Hua Ooi, Matthew P. Richardson and Caroline Sasseville
AQR Capital Management, AQR Capital Management, LLC, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC
Downloads 2,248 (13,409)

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Commodities, Spot Returns, Convenience Yields, Carry, Business Cycle, Inflation, Backwardation, Asset Allocation

Commodities for the Long Run

NBER Working Paper No. w22793
Number of pages: 40 Posted: 07 Nov 2016 Last Revised: 13 Apr 2023
Ari Levine, Yao Hua Ooi and Matthew P. Richardson
AQR Capital Management, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 125 (449,447)
Citation 3

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5.

You Can't Always Trend When You Want

Number of pages: 27 Posted: 01 Dec 2019
Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder and Erik Stamelos
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, Aarhus University and AQR Capital Management, LLC
Downloads 1,616 (22,899)
Citation 2

Abstract:

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trend-following investing, momentum, managed futures, CTA