1.
Optimal Risk Budgeting under a Finite Investment Horizon
Number of pages: 17
Posted: 07 Dec 2013
Last Revised: 03 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, None and Western Michigan University
Downloads
3,369
2.
Learning and Trusting Cointegration in Statistical Arbitrage
Number of pages: 27
Posted: 22 Feb 2013
Last Revised: 30 Sep 2014
Working Paper Series
Fitch Group
Downloads
2,711
3.
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Working Paper Series
University of Florida - Department of Industrial and Systems Engineering, École Polytechnique Fédérale de Lausanne (EPFL) and Cornell University
There are 2 versions of this paper
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Downloads
2,157
Systemic Risk in Networks with a Central Node
Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43
Posted: 24 Jan 2020
Downloads
204
Downloads
2,157
4.
Supervised Portfolios
Number of pages: 33
Posted: 02 Nov 2021
Last Revised: 21 Jul 2022
Working Paper Series
AXA Investment Managers, EMLYON Business School and AXA-IM
Downloads
1,952
5.
CAPM Equilibria with Prospect Theory Preferences
Number of pages: 26
Posted: 21 Jul 2003
Last Revised: 06 Aug 2012
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
1,670
6.
Evolutionary Finance
Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60
Posted: 04 Jul 2008
Last Revised: 17 Dec 2008
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and The University of Manchester - Department of Economics
Downloads
1,555
7.
Global DSGE Models
Number of pages: 69
Posted: 15 Apr 2020
Last Revised: 10 Jan 2023
Working Paper Series
Georgetown University - Department of Economics, Tsinghua University - School of Economics & Management and Shanghai University of Finance and Economics
Downloads
1,553
8.
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Number of pages: 39
Posted: 14 Jan 2021
Last Revised: 27 Dec 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads
1,419
9.
Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk
Swiss Finance Institute Research Paper No. 17-63
Number of pages: 45
Posted: 21 Jun 2015
Last Revised: 13 Feb 2019
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads
1,091
10.
Currency Risk Factors in a Recursive Multi-Country Economy
Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 51
Posted: 24 Dec 2014
Last Revised: 25 Aug 2018
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, BI - Norwegian Business School and University of Oregon - Department of Finance
Downloads
1,070
11.
Migration in a Solow Growth Model
Number of pages: 15
Posted: 30 Mar 2010
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), University of Bologna - Department of Mathematics for Economic and Social Sciences and Free University of Bozen-Bolzano
Downloads
1,069
12.
Interpretable Supervised Portfolios
Number of pages: 30
Posted: 30 Sep 2022
Working Paper Series
AXA Investment Managers, EMLYON Business School and AXA-IM
Downloads
1,020
13.
Existence and Uniqueness of Recursive Equilibria with Aggregate and Idiosyncratic Risk
Number of pages: 53
Posted: 10 Oct 2018
Last Revised: 22 Jul 2024
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads
926
14.
Market Demand Functions in the CAPM
Number of pages: 15
Posted: 01 Feb 1997
Working Paper Series
Paris School of Economics (PSE), University of Zurich - Department of Banking and Finance and Freie Universität Berlin
Downloads
835
15.
Recursive Equilibrium in Krusell and Smith (1998)
Journal of Economic Theory, Forthcoming
Number of pages: 106
Posted: 03 Nov 2016
Last Revised: 11 Dec 2019
Accepted Paper Series
Georgetown University - Department of Economics
Downloads
820
16.
Optimal Stopping with Private Information
Number of pages: 34
Posted: 10 Jul 2013
Last Revised: 08 May 2014
Working Paper Series
Justus Liebig University Giessen and Yale, Department of Economics
Downloads
817
17.
Portfolio Generating Functions
Number of pages: 20
Posted: 19 Nov 1998
Working Paper Series
Allocation Strategies, LLC
Downloads
812
18.
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
Number of pages: 32
Posted: 13 Aug 2003
Last Revised: 15 May 2011
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
808
19.
Volatility Risk Pass-Through
Number of pages: 66
Posted: 27 Nov 2015
Last Revised: 18 Oct 2021
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin-Madison
There are 4 versions of this paper
Volatility Risk Pass-Through
Number of pages: 66
Posted: 27 Nov 2015
Last Revised: 18 Oct 2021
Downloads
806
Volatility Risk Pass-Through
NBER Working Paper No. w25276
Number of pages: 51
Posted: 19 Nov 2018
Last Revised: 26 Jul 2023
Downloads
116
Volatility Risk Pass-Through
CEPR Discussion Paper No. DP13325
Number of pages: 53
Posted: 19 Nov 2018
Downloads
2
Volatility Risk Pass-Through
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018
Last Revised: 29 Apr 2021
Downloads
806
20.
'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
Number of pages: 51
Posted: 15 Aug 2018
Last Revised: 29 May 2019
Working Paper Series
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads
796
21.
Random Fixed Points in a Stochastic Solow Growth Model
Zurich IEER Working Paper No. 65
Number of pages: 15
Posted: 07 Feb 2001
Working Paper Series
University of Applied Sciences Merseburg and The University of Manchester - Department of Economics
Downloads
790
22.
Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)
Number of pages: 44
Posted: 29 Jun 2015
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, None and Western Michigan University
Downloads
750
23.
Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation
Number of pages: 30
Posted: 05 Nov 2006
Working Paper Series
Università degli Studi di Milano-Bicocca
Downloads
744
24.
International Asset Pricing with Recursive Preferences
Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53
Posted: 14 Mar 2012
Last Revised: 10 Mar 2017
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
There are 2 versions of this paper
International Asset Pricing with Recursive Preferences
Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53
Posted: 14 Mar 2012
Last Revised: 10 Mar 2017
Downloads
728
International Asset Pricing with Recursive Preferences
Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53
Posted: 23 Jul 2010
Last Revised: 10 Mar 2017
Downloads
718
Downloads
728
25.
International Asset Pricing with Recursive Preferences
Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53
Posted: 23 Jul 2010
Last Revised: 10 Mar 2017
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
There are 2 versions of this paper
International Asset Pricing with Recursive Preferences
Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53
Posted: 14 Mar 2012
Last Revised: 10 Mar 2017
Downloads
728
International Asset Pricing with Recursive Preferences
Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53
Posted: 23 Jul 2010
Last Revised: 10 Mar 2017
Downloads
718
Downloads
718
26.
Why Is Equity Order Flow so Persistent?
Number of pages: 42
Posted: 01 Jul 2014
Working Paper Series
Capital Fund Management, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, Università di Bologna and University of Oxford
Downloads
709
27.
The Ramsey Model in Discrete Time and Decreasing Population Growth Rate
Number of pages: 20
Posted: 28 Mar 2014
Working Paper Series
Universidad de la República, Universidad de la Republica and El Colegio de MéxicoUniversidad de la República - Facultad de Ciencias Económicas
Downloads
665
28.
QWERTY Is Dead, Long Live Path Dependence
Research Policy, 2013
Number of pages: 4
Posted: 22 Apr 2013
Last Revised: 12 Nov 2013
Accepted Paper Series
University College London - School of Management
Downloads
652
29.
The Solow Model in Discrete Time and Decreasing Population Growth Rate
Economics Bulletin, Vol. 3, No. 41, pp. 1-14, 2008
Number of pages: 14
Posted: 02 Nov 2007
Last Revised: 06 Mar 2018
Accepted Paper Series
Universidad de la República and El Colegio de MéxicoUniversidad de la República - Facultad de Ciencias Económicas
Downloads
632
30.
Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options
Journal of Futures Markets, 38(6):627-644, 2018
Number of pages: 25
Posted: 08 Feb 2017
Last Revised: 02 Jun 2018
Accepted Paper Series
Columbia University - Department of Mathematics
Downloads
620
31.
The Term Structures of Coentropy in International Financial Markets
Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 54
Posted: 24 Oct 2013
Last Revised: 22 Sep 2017
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads
619
32.
Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Number of pages: 38
Posted: 06 Apr 2022
Working Paper Series
Fidelity Investments, Inc.
There are 2 versions of this paper
Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Number of pages: 38
Posted: 06 Apr 2022
Downloads
612
Phases of Manes: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Number of pages: 38
Posted: 18 Apr 2022
Downloads
422
Downloads
612
33.
Social Behaviors, Enforcement, and Compliance Dynamics
Number of pages: 47
Posted: 02 Mar 2000
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Accountancy, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads
610
34.
The Effectiveness of Simple Decision Heuristics: A Case Study of Experts' Forecasts of the Commercial Success of Early-Stage Ventures
Number of pages: 30
Posted: 03 Mar 2013
Working Paper Series
HEC Paris - Economics and Decision Sciences and University of Waterloo - Department of Management Sciences
Downloads
573
35.
Stable Group Purchasing Organizations
Marshall School of Business Working Paper No. FBE 20-10
Number of pages: 45
Posted: 02 Jun 2008
Last Revised: 23 Nov 2010
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business
Downloads
554
36.
Risk Arbitrage Opportunities for Stock Index Options
Number of pages: 44
Posted: 15 May 2018
Last Revised: 04 Dec 2019
Working Paper Series
Graduate School of Business of Nazarbayev University and Stockholm University - Stockholm Business School
Downloads
550
37.
The Ramsey Model with Logitic Population Growth
Number of pages: 7
Posted: 07 Feb 2006
Working Paper Series
Universidad Autonoma Metropolitana and Universidad de la República
Downloads
549
38.
Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics
Number of pages: 62
Posted: 23 Jul 2010
Last Revised: 14 Apr 2020
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and Duke University, Department of Economics
Downloads
509
39.
A Macroprudential View on Portfolio Rebalancing and Compression
Number of pages: 68
Posted: 08 Jun 2021
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads
508
40.
Geometric Arbitrage Theory and Market Dynamics
Number of pages: 72
Posted: 27 Mar 2008
Last Revised: 19 Jul 2015
Working Paper Series
Core Dynamics GmbH
Downloads
497
41.
Approximately Efficient Resource Allocation: A Theoretical and Experimental Evaluation
Number of pages: 43
Posted: 15 Feb 2017
Last Revised: 31 Oct 2024
Working Paper Series
Microsoft Research, University of San Francisco, University of Pittsburgh, Microsoft Research, Northwestern University - Kellogg School of Management and Plural Technology Collaboratory, Microsoft Research Special Projects
Downloads
489
42.
A Proof of the Outperformance of Beta Arbitrage Strategies
Number of pages: 13
Posted: 20 Apr 2010
Working Paper Series
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads
450
43.
Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
Number of pages: 31
Posted: 06 Oct 2010
Last Revised: 19 Dec 2011
Working Paper Series
Montclair State University - Department of Mathematical Sciences and CES Univ. Paris 1
Downloads
447
44.
International Asset Pricing with Risk-Sensitive Agents
Number of pages: 41
Posted: 05 Feb 2010
Last Revised: 03 Oct 2012
Working Paper Series
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads
447
45.
Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
Applied Mathematical Finance, 29:6, 457-493, DOI: 10.1080/1350486X.2023.2241130
Number of pages: 37
Posted: 30 Dec 2022
Last Revised: 28 Oct 2023
Accepted Paper Series
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads
436
46.
The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective
Number of pages: 14
Posted: 23 Sep 2020
Working Paper Series
Fidelity Investments, Inc.
Downloads
434
47.
Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria
Number of pages: 45
Posted: 04 Aug 2011
Working Paper Series
University of Cambridge - Judge Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads
428
48.
A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and Trade Algorithm
Proceedings of Foundations and Applications of Utility, Risk and Decision Theory (FUR) XV. Forthcoming
Number of pages: 51
Posted: 01 May 2012
Last Revised: 14 May 2012
Accepted Paper Series
University of Leicester
Downloads
425
49.
Speculation and Financial Wealth Distribution Under Belief Heterogeneity
Economic Journal Forthcoming
Number of pages: 64
Posted: 02 Sep 2015
Last Revised: 27 Aug 2017
Working Paper Series
Georgetown University - Department of Economics
Downloads
414
50.
The Evolution of Moral Codes of Behavior
Number of pages: 47
Posted: 21 Jun 2006
Last Revised: 07 Oct 2009
Working Paper Series
University of Graz - Department of Economics and Pontifical Catholic University of Chile
Downloads
413
Feedback
Feedback to SSRN