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    SSRN Advanced Risk & Portfolio Management Research Paper Series
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    Advanced Risk & Portfolio Management Research Paper Series
    363,496 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

    Advanced Risk & Portfolio Management Logo

    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 943
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    Incl. Electronic Paper Validity of CAPM: Security Market Line (SML) Can Never Predict Required Rate of Return for Equity Even If the Markets are Efficient - a Simple Intuitive Explanation
    Murugesan Narayanaswamy
    Independent
    Date Posted: May 16, 2013
    Working Paper Series
    9 downloads

    The Interaction of Stock Returns between Different Segments of a Factor
     Suqin Gu
    University of Illinois at Chicago
    Date Posted: May 16, 2013
    Working Paper Series

    Incl. Electronic Paper Relative Asset Price Bubbles
     Philip Protter and Robert A. Jarrow
    Columbia University and Cornell University - Samuel Curtis Johnson Graduate School of Management
    Date Posted: May 16, 2013
    Working Paper Series
    41 downloads

    Incl. Electronic Paper 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
    12 downloads

    Incl. Electronic Paper Vector-Valued Risk Measure Processes
     Emmanuel Lepinette-Denis and Imen Ben Tahar
    CEREMADE, UMR CNRS 7534, Paris-Dauphine University. and Université Paris-Dauphine - CEREMADE
    Date Posted: May 14, 2013
    Working Paper Series
    9 downloads

    Incl. Electronic Paper 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
    72 downloads

    Incl. Electronic Paper 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
    12 downloads

    Incl. Electronic Paper 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
    43 downloads

    Incl. Electronic Paper 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
    37 downloads

    Incl. Electronic Paper Tail Hedging Strategies
     Issam S. Strub
    The Cambridge Strategy
    Date Posted: May 08, 2013
    Working Paper Series
    112 downloads

    Incl. Electronic Paper 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
    20 downloads

    Incl. Electronic Paper Portfolio Optimization with Private Equity Funds
     Axel Buchner
    University of Passau
    Date Posted: May 06, 2013
    Working Paper Series
    19 downloads

    Incl. Electronic Paper Accuracy and Rounding in Portfolio Construction
     Andreas Steiner
    Andreas Steiner Consulting GmbH
    Date Posted: May 06, 2013
    Working Paper Series
    13 downloads

    Incl. Electronic Paper Filtered Market Statistics and Technical Trading Rules
     Z. George Yang
    Flexible Plan Investments, Ltd.
    Date Posted: May 05, 2013
    Working Paper Series
    107 downloads

    Incl. Electronic Paper Macro-Based Parametric Asset Allocation
     Richard Franz
    WU Vienna University of Economics and Business
    Date Posted: May 04, 2013
    Working Paper Series
    83 downloads

    Incl. Electronic Paper 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

    Incl. Electronic Paper 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
    69 downloads

    Incl. Electronic Paper 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
    12 downloads

    Incl. Electronic Paper A Square-Root T Hedging Rule for Nonstorable Products
     Jukka Sihvonen
    University of Vaasa
    Date Posted: May 03, 2013
    Working Paper Series
    12 downloads

    Incl. Electronic Paper 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

    Incl. Electronic Paper 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
    725 downloads

    Incl. Electronic Paper Optimizing Full-Scale Optimization for Asymmetric Dependence
     Rand Kwong Yew Low
    University of Queensland Business School
    Date Posted: May 03, 2013
    Working Paper Series
    14 downloads

    Incl. Electronic Paper 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
    49 downloads

    Incl. Electronic Paper 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
    28 downloads

    Incl. Electronic Paper Advances in Portfolio Risk Control: Risk! Parity?
     Winfried G. Hallerbach
    Robeco Asset Management, Quantitative Strategies
    Date Posted: May 03, 2013
    Working Paper Series
    252 downloads

    Incl. Electronic Paper 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
    139 downloads

    Incl. Electronic Paper Bank's Trading Book and Value-at-Risk
     Manohar Lal
    Fiji National University (FNU)
    Date Posted: May 02, 2013
    Working Paper Series
    45 downloads

    Incl. Electronic Paper 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
    52 downloads

    Incl. Electronic Paper 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
    19 downloads

    Incl. Electronic Paper 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

    Incl. Electronic Paper 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

    Incl. Electronic Paper 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
    20 downloads

    Incl. Electronic Paper Stochastic Pricing Dynamics of Hard-to-Borrow Stocks
     Neil McBride
    Independent
    Date Posted: April 26, 2013
    Working Paper Series
    52 downloads

    Incl. Electronic Paper Easy Volatility Investing
     Tony Cooper
    Double-Digit Numerics
    Date Posted: April 23, 2013
    Working Paper Series
    481 downloads

    Incl. Electronic Paper 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

    Incl. Electronic Paper 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
    57 downloads

    Incl. Electronic Paper 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
    454 downloads

    Incl. Electronic Paper 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
    33 downloads

    Incl. Electronic Paper 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
    150 downloads

    Incl. Electronic Paper 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
    Working Paper Series
    269 downloads

    Incl. Electronic Paper 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
    262 downloads

    Incl. Electronic Paper 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
    19 downloads

    Incl. Electronic Paper Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation
    Tinbergen Institute Discussion Paper 13-060/III
     Lukasz T. Gatarek , Lennart F. Hoogerheide , Koen Hooning and H. K. van Dijk
    Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Vrije Universiteit Amsterdam - Dept. of Econometrics , Delft University of Technology and Tinbergen Institute
    Date Posted: April 17, 2013
    Working Paper Series
    25 downloads

    Incl. Electronic Paper On the Question of the Fat Tails in Financial Markets
     Yuri Gabovich
    Independent
    Date Posted: April 14, 2013
    Last Revised: April 20, 2013
    Working Paper Series
    24 downloads

    Incl. Electronic Paper Constant Mix Portfolios and Risk Aversion
    Journal of Financial Counseling and Planning, Vol. 16, No. 2, 2005
     Samuel Kyle Jones and J. Bert Stine
    Stephen F. Austin State University - Department of Economics and Finance and Stephen F. Austin State University - Department of Economics and Finance
    Date Posted: April 13, 2013
    Accepted Paper Series
    25 downloads

    Incl. Electronic Paper Application of Synthetic Straddles for Equity Risk Management
    Materiály VII Mezinárodní Vědecko Praktická Konference, Zprávy Vědecké Ideje, 2011,
    Yuriy Vasilievich Trifonov , Sergey Nikolaevitch Yashin , Egor Viktorovich Koshelev and Dimitry V. Chuhmanov
    Lobachevsky State University of Nizhni Novgorod , Nizhni Novgorod State University , Lobachevsky State University of Nizhni Novgorod and Lobachevsky State University of Nizhni Novgorod
    Date Posted: April 13, 2013
    Accepted Paper Series
    20 downloads

    Incl. Electronic Paper Investment Models and Finance
    International Research Journal of Applied Finance, Vol. 3, Issue 3, pp. 292-314, March 2012
     Marcus Davidsson
    Independent Researcher
    Date Posted: April 12, 2013
    Accepted Paper Series
    43 downloads

    Incl. Electronic Paper Increasing the Information Ratio Using Mixture Strategies
     Norbert Pierre
    Williamson College of Business, Youngstown State University
    Date Posted: April 12, 2013
    Last Revised: April 19, 2013
    Working Paper Series
    26 downloads

    Incl. Electronic Paper Portfolio Selection with a Systematic Skewness Constraint
     Chonghui Jiang , Yongkai Ma and Yunbi An
    University of Electronic Science and Technology of China (UESTC) , University of Electronic Science and Technology of China (UESTC) and University of Windsor - Faculty of Business Administration
    Date Posted: April 12, 2013
    Working Paper Series
    56 downloads

    Incl. Electronic Paper Refund Options on South African Equities
     Antonie Kotze
    Financial Chaos Theory
    Date Posted: April 12, 2013
    Working Paper Series
    5 downloads


     

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