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Search Within Results Feedback to SSRN (Beta) What type of feedback would you like to send? please choose one   Problem   Suggestion   Compliment   Comment [enter your comments here] Feedback to SSRN (Beta) SSRN eLibrary Statistics: Papers & Authors: Abstracts: 484,961 Full Text Papers: 394,289 Authors: 227,018 Papers Received in   Last 12 months: 69,054 Paper Downloads: To date: 66,050,196 Last 12 months: 11,186,953 Last 30 days: 1,033,315 CiteReader:  What's this? Papers with   Resolved   References: 238,981 Total References: 8,480,523 Papers with Cites: 230,038 Total Citation   Links: 5,722,240 Papers with   Resolved   Footnotes: 77,812 Total Footnotes: 8,534,471		SSRN eLibrary Search Results Advanced Risk & Portfolio Management Research Paper Series 365,822 Total downloads | Link to this page | Subscribe to this eJournal (requires login)  To link to this page from another website you can: Help | Close Use the URL below: http://www.ssrn.com/link/Advanced-Risk-Portfolio-Mgmt-RES.html or Copy and paste the HTML below into your webpage: <a href="http://www.ssrn.com/link/Advanced-Risk-Portfolio-Mgmt-RES.html">http://www.ssrn.com/link/Advanced-Risk-Portfolio-Mgmt-RES.html</a> The Advanced Risk and Portfolio Management Research Paper Series has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. Areas of emphasis include Asset allocation: portfolio construction, optimization, robustness, tactical allocation, asset & liability management, dynamic strategies, alternative alpha/exotic beta, index construction, risk budgeting, hedging, risk & performance attribution Liquidity: market impact, optimal execution, algorithmic trading Risk management: VaR and risk measures, diversification, market risk, credit risk, counterparty risk, operational risk, drawdown control Model construction: estimation and forecasting, factor models, copulas, simulations, trees, lattices Showing Papers 1 - 50 of 951 Sort By Abstract Title, A-Z Abstract Title, Z-A Downloads, Ascending Downloads, Descending Date Posted, Ascending Date Posted, Descending 1 2 3 4 ... Last | Next > Dynamic Models and Structural Estimation in Corporate Finance Foundations and Trends in Finance, Vol. 6, Nos. 1-2, 2011 Ilya A. Strebulaev and Toni M. Whited Stanford University - Graduate School of Business and University of Rochester - Simon Graduate School of Business Date Posted: May 23, 2013 Accepted Paper Series Corporate Financial Distress and Bankruptcy: A Survey Foundations and Trends in Finance, Vol. 5, No. 4, 2010 Lemma W. Senbet and Tracy Yue Wang University of Maryland - Robert H. Smith School of Business and University of Minnesota - Twin Cities - Carlson School of Management Date Posted: May 23, 2013 Accepted Paper Series Model-free CPPI Alexander Schied University of Mannheim Date Posted: May 22, 2013 Working Paper Series 17 downloads Liquidity and Investment Horizon Volodymyr Vovchak University of Lugano - Swiss Finance Institute at the University of Lugano Date Posted: May 20, 2013 Working Paper Series 12 downloads Hedging iTraxx CDS Index Trading on an Intraday Basis: An Empirical Study Cheng-Ran Du and Tim Brunne Independent and Unicredit Bank AG Date Posted: May 19, 2013 Working Paper Series 13 downloads Capturing Market Returns: Taking an X-Ray of Your Money Manager Patrick Beaudan Belvedere Advisors LLC Date Posted: May 17, 2013 Working Paper Series 12 downloads Cholesterol and Volatility Patrick Beaudan Belvedere Advisors LLC Date Posted: May 17, 2013 Working Paper Series 9 downloads Mind Games Patrick Beaudan Belvedere Advisors LLC Date Posted: May 17, 2013 Working Paper Series 8 downloads Developing an Appreciation for Risk Patrick Beaudan Belvedere Advisors LLC Date Posted: May 17, 2013 Working Paper Series 12 downloads Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting? Tobias Berens , Gregor N. F. Weiss and Dominik Wied University TU Dortmund , TU Dortmund University and University TU Dortmund Date Posted: May 17, 2013 Working Paper Series 14 downloads The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation Andrew Clare , James Seaton , Peter N. Smith and Steve Thomas City University London - Sir John Cass Business School , City University London - Sir John Cass Business School , University of York (UK) - Department of Economics and Related Studies and City University London - Sir John Cass Business School Date Posted: May 16, 2013 Working Paper Series 35 downloads A Tactical Approach to Managing Interest Rate Risk in Investment Portfolios Patrick Beaudan Belvedere Advisors LLC Date Posted: May 14, 2013 Last Revised: May 16, 2013 Working Paper Series 35 downloads Vector-Valued Risk Measure Processes Emmanuel Lepinette-Denis and Imen Ben Tahar Université Paris-Dauphine - CEREMADE and Université Paris-Dauphine - CEREMADE Date Posted: May 14, 2013 Working Paper Series 18 downloads Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization Gabriele Susinno , Olivier Powell and Jeremie Smaga Unigestion SA , Unigestion SA and Unigestion SA Date Posted: May 14, 2013 Working Paper Series 92 downloads Stock Return Predictability and the Drift between the Outcomes of Portfolio Investment Strategies Tinbergen Institute Research Series 58, pp. 57-83 (1993) Dirk P.M. De Wit Stichting De Quintessens Date Posted: May 09, 2013 Accepted Paper Series 15 downloads Stochastic Portfolio Theory Optimization and the Origin of Alternative Asset Allocation Strategies Gianluca Oderda Ersel Asset Management SGR s.p.a. Date Posted: May 09, 2013 Working Paper Series 88 downloads Black-Litterman in Continuous Time: The Case for Filtering Quantitative Finance Letters, Forthcoming Mark Davis and Sebastien Lleo Imperial College London and Reims Management School (RMS) Date Posted: May 09, 2013 Accepted Paper Series 54 downloads Tail Hedging Strategies Issam S. Strub The Cambridge Strategy Date Posted: May 08, 2013 Working Paper Series 196 downloads Quality Investing in an Australian Context David R. Gallagher , Peter Gardner , Camille Schmidt and Terry S. Walter Centre for International Finance and Regulation , Plato Investment Management , Macquarie Graduate School of Management and University of Technology, Sydney - School of Finance and Economics Date Posted: May 07, 2013 Working Paper Series 22 downloads Portfolio Optimization with Private Equity Funds Axel Buchner University of Passau Date Posted: May 06, 2013 Working Paper Series 21 downloads Accuracy and Rounding in Portfolio Construction Andreas Steiner Andreas Steiner Consulting GmbH Date Posted: May 06, 2013 Working Paper Series 19 downloads Filtered Market Statistics and Technical Trading Rules Z. George Yang Flexible Plan Investments, Ltd. Date Posted: May 05, 2013 Working Paper Series 135 downloads Macro-Based Parametric Asset Allocation Richard Franz WU Vienna University of Economics and Business Date Posted: May 04, 2013 Working Paper Series 143 downloads Does International Diversification Pay? Journal of Financial Counseling and Planning, Vol. 15, No. 1, 2004 Vivek Bhargava , Daniel K. Konku and Davinder K. Malhotra Alcorn State University , Florida Atlantic University - Department of Finance and Philadelphia University Date Posted: May 04, 2013 Accepted Paper Series 7 downloads An Information-Theoretic Approach to Dimension Reduction of Financial Data Brian Fleming and Jens Kroeske Standard Life Investments Limited and Standard Life Investments Limited Date Posted: May 04, 2013 Working Paper Series 73 downloads When Do Jumps Matter for Portfolio Optimization? SAFE Working Paper No. 16 Marius Ascheberg , Nicole Branger and Holger Kraft Goethe University Frankfurt , University of Muenster - Finance Center Muenster and Goethe University Frankfurt Date Posted: May 04, 2013 Working Paper Series 13 downloads A Square-Root T Hedging Rule for Nonstorable Products Jukka Sihvonen University of Vaasa Date Posted: May 03, 2013 Working Paper Series 14 downloads The Demand for Emerging Market Bonds Netspar Discussion Paper No. 04/2013-011 Zaghum Umar University of Groningen Date Posted: May 03, 2013 Working Paper Series 6 downloads Low-Risk Investing Without Industry Bets Clifford S. Asness , Andrea Frazzini and Lasse Heje Pedersen AQR Capital Management, LLC , AQR Capital Management, LLC and New York University (NYU) - Department of Finance Date Posted: May 03, 2013 Last Revised: May 10, 2013 Working Paper Series 782 downloads Optimizing Full-Scale Optimization for Asymmetric Dependence Rand Kwong Yew Low University of Queensland Business School Date Posted: May 03, 2013 Working Paper Series 15 downloads Mean-Variance Optimization Still Works! A Bayesian Methodology with Vine Copulas Rand Kwong Yew Low , Robert W. Faff and Kjersti Aas University of Queensland Business School , University of Queensland and Norwegian Computing Center Date Posted: May 03, 2013 Working Paper Series 54 downloads Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It? Journal of Banking and Finance, Forthcoming Rand Kwong Yew Low , Jamie Alcock , Robert W. Faff and Timothy Brailsford University of Queensland Business School , University of Cambridge - Department of Land Economy , University of Queensland and University of Queensland Date Posted: May 03, 2013 Accepted Paper Series 30 downloads Advances in Portfolio Risk Control: Risk! Parity? Winfried G. Hallerbach Robeco Asset Management, Quantitative Strategies Date Posted: May 03, 2013 Working Paper Series 368 downloads Kelly Criterion for Multivariate Portfolios: A Model-Free Approach Vasily Nekrasov University of Duisburg-Essen - Department of Economics Date Posted: May 02, 2013 Last Revised: May 20, 2013 Working Paper Series 145 downloads Bank's Trading Book and Value-at-Risk Manohar Lal Fiji National University (FNU) Date Posted: May 02, 2013 Working Paper Series 48 downloads Risk Disparity MIT Sloan Research Paper No. 5001-13 Mark Kritzman Massachusetts Institute of Technology (MIT) - Sloan School of Management Date Posted: May 01, 2013 Working Paper Series 71 downloads When Do Jumps Matter for Portfolio Optimization? Marius Ascheberg , Nicole Branger and Holger Kraft Goethe University Frankfurt , University of Muenster - Finance Center Muenster and Goethe University Frankfurt Date Posted: April 29, 2013 Working Paper Series 20 downloads Impact of Calendar Effects in the Volatility of Vale Shares Lucas Godeiro Federal Rural University Of Semi-Arid - UFERSA Date Posted: April 29, 2013 Working Paper Series 14 downloads General Covariance, Spectrum of Riemannium, and a Stress Test Calculation Formula Piotr Chmielowski Lombard Odier Darier Hentsch & Cie - Lombard Odier Investment Management Date Posted: April 29, 2013 Working Paper Series 23 downloads The Benefits of Differential Variance-Based Constraints in Portfolio Optimization European Journal of Operational Research, 2013 Haim Levy and Moshe Levy Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration Date Posted: April 28, 2013 Accepted Paper Series 22 downloads Stochastic Pricing Dynamics of Hard-to-Borrow Stocks Neil McBride Independent Date Posted: April 26, 2013 Working Paper Series 54 downloads Easy Volatility Investing Tony Cooper Double-Digit Numerics Date Posted: April 23, 2013 Working Paper Series 534 downloads JSE Exotic Can-Do Options: Determining Initial Margins Antonie Kotze and Rudolf Oosthuizen Financial Chaos Theory and JSE Securities Exchange Date Posted: April 23, 2013 Working Paper Series 13 downloads Underestimation Bias of Risk on Optimized Portfolio by Multifactor Risk Model - Risk of Long Short Portfolio can be Underestimated Seiji Minami Resona Bank Date Posted: April 22, 2013 Last Revised: May 01, 2013 Working Paper Series 58 downloads The High Cost of Simplified Math: Overcoming the 'IID Normal' Assumption in Performance Evaluation Marcos Lopez de Prado Hess Energy Trading Company Date Posted: April 22, 2013 Last Revised: April 26, 2013 Working Paper Series 466 downloads Smart Beta Strategies: The Social Responsibility of Investment Universes Does Matter Philippe Bertrand and Vincent Lapointe IAE Aix-en-Provence, Aix Marseille University, CERGAM and Aix Marseille University Date Posted: April 21, 2013 Last Revised: May 03, 2013 Working Paper Series 36 downloads Portfolio Theory as a Pattern of Timeless Moments James Ming Chen University of Louisville - Louis D. Brandeis School of Law Date Posted: April 21, 2013 Working Paper Series 154 downloads Handling Risk On/Risk Off Dynamics with Correlation Regimes and Correlation Networks Jochen Papenbrock and Peter Schwendner PPI AG and Zurich University of Applied Sciences Date Posted: April 21, 2013 Last Revised: May 22, 2013 Working Paper Series 279 downloads Risk vs Trend Driven Global Tactical Asset Allocation Benoît Guilleminot , Jean-Jacques Ohana and Steve Ohana Riskelia , Riskelia and ESCP Europe Date Posted: April 19, 2013 Working Paper Series 342 downloads Examining the Performance of a Value Investing Heuristic: Evidence from the S&P/TSX 60 from 2001-2011 Eben Otuteye and Mohammad Siddiquee University of New Brunswick - Fredericton - Faculty of Business and University of New Brunswick - Fredericton - Faculty of Business Date Posted: April 17, 2013 Working Paper Series 20 downloads   1 2 3 4 ... Last | Next >   © 2013 Social Science Electronic Publishing, Inc. 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