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Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density ApproachYi Ling Michelle-Joy Low Department of Finance, Faculty of Business and Economics, The University of Melbourne Date Posted: February 22, 2012 Working Paper Series 3 downloads
A Proof of the Optimality of Volatility Weighting Over TimeWinfried G. Hallerbach Robeco Asset Management, Quantitative Strategies Date Posted: February 20, 2012 Working Paper Series 48 downloads
Capital Asset Pricing Under AmbiguityNYU Working Paper No. Yehuda Izhakian New York University (NYU) - Leonard N. Stern School of Business Date Posted: February 20, 2012 Working Paper Series 9 downloads
Deriving the Minimal Amount of Risk Capital for P/L Insurance Companies Utilizing ALMJournal of Risk, Forthcoming Matthias Schmautz and Niklas Lampenius affiliation not provided to SSRN and University of Hohenheim Date Posted: February 20, 2012 Accepted Paper Series 12 downloads
Term Premium in Interest Rate FuturesAshish Singal affiliation not provided to SSRN Date Posted: February 20, 2012 Working Paper Series 4 downloads
Multivariate Rotated ARCH ModelsDiaa Noureldin , Neil Shephard and Kevin Sheppard University of Oxford - Department of Economics , University of Oxford - Oxford-Man Institute and University of Oxford - Department of Economics Date Posted: February 19, 2012 Working Paper Series 23 downloads
Rule-Based LTV and Penalty Function for Concentration RiskYongwoong Lee , Yiran Zhang and Ser-Huang Poon University of Manchester - Manchester Business School , affiliation not provided to SSRN and University of Manchester - Business School Date Posted: February 19, 2012 Working Paper Series 5 downloads
Is Currency Hedging Necessary for Emerging-Market Equity Investment?Daehwan Kim Konkuk University Date Posted: February 16, 2012 Working Paper Series 18 downloads
The Sharpe Ratio Indifference CurveDavid H. Bailey and Marcos M. Lopez de Prado Lawrence Berkeley National Laboratory and Tudor Investment Corp. Date Posted: February 15, 2012 Working Paper Series 118 downloads
Opportunities for International Portfolio Diversification in the Balkans’ MarketsInternational Journal of Economics and Research, Vol. 3i1, pp. 1-12, 2012 Dimitrios I. Dimitriou and Dimitris Kenourgios University of Ioannina - Department of Economics and University of Athens - Faculty of Economics Date Posted: February 14, 2012 Accepted Paper Series 8 downloads
Risk Measures for Autocorrelated Hedge Fund ReturnsBank of Italy Temi di Discussione (Working Paper) No. 831 Antonio Di Cesare , Philip A. Stork and Casper G. de Vries Bank of Italy , VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Date Posted: February 14, 2012 Working Paper Series 39 downloads
Note on 'Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011)Journal of Applied Probability, Forthcoming Carole Bernard , Xiao Jiang and Steven Vanduffel University of Waterloo , University of Waterloo and Vrije Universiteit Brussel (VUB) Date Posted: February 13, 2012 Last Revised: February 20, 2012 Accepted Paper Series 15 downloads
Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the
Sub‐Prime CrisisSwiss Finance Institute Research Paper No. 12-04 Giovanni Barone-Adesi , Nicola Carcano and Hakim Dall'O Swiss Finance Institute at the University of Lugano , University of Lugano (USI) and Swiss Finance Institute at the University of Lugano Date Posted: February 11, 2012 Working Paper Series 55 downloads
Ensemble Properties of High Frequency Data and Intraday Trading RulesFulvio Baldovin , Francesco Camana , Massimiliano Caporin and Attilio Stella University of Padua , affiliation not provided to SSRN , University of Padova - Department of Economics and University of Padua Date Posted: February 09, 2012 Working Paper Series 54 downloads
Regulating High Frequency Trading: A Micro-Level Analysis of Spatial Behavior, Optimal Choices, and Pareto-Efficiency in High Speed MarketsCamillo von Muller University of St Gallen, Institute of Management Date Posted: February 09, 2012 Last Revised: February 14, 2012 Working Paper Series 16 downloads
Agitated Losses and Relaxed GainsEldad Yechiam and Gal Zahavi Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management Date Posted: February 06, 2012 Working Paper Series 27 downloads
Can High-Frequency Traders Game Futures?Journal of Trading, Forthcoming Irene Aldridge ABLE Alpha Trading, LTD Date Posted: February 05, 2012 Accepted Paper Series 79 downloads
Extreme Value Theory for Finance: A SurveyBank of Italy Occasional Paper No. 99 Marco Rocco Bank of Italy Date Posted: February 05, 2012 Working Paper Series 213 downloads
Relative Strength and Portfolio ManagementDorsey Wright Money Management, January 2012 John Lewis Dorsey Wright Money Management Date Posted: February 04, 2012 Accepted Paper Series 1061 downloads
Average Portfolio Insurance StrategiesICMA Centre Discussion Paper No. 2012-05 Jacques Pezier and Johanna Scheller University of Reading - ICMA Centre and ICMA Centre, Henley Business School at Reading Date Posted: February 01, 2012 Last Revised: February 02, 2012 Working Paper Series 65 downloads
Effective Number of Scenarios in Fully Flexible ProbabilitiesGARP Risk Professional, pp. 32-35, February 2012 Attilio Meucci SYMMYS Date Posted: February 01, 2012 Accepted Paper Series 75 downloads
Mixing Probabilities, Priors and Kernels via Entropy PoolingGARP Risk Professional, pp. 32-36, December 2011 Attilio Meucci SYMMYS Date Posted: February 01, 2012 Accepted Paper Series 106 downloads
Asset Pricing and Ambiguity: Empirical EvidenceNYU Working Paper No. Menachem Brenner and Yehuda Izhakian New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business Date Posted: January 31, 2012 Last Revised: February 14, 2012 Working Paper Series 41 downloads
Portfolio Liquidation in Dark Pools in Continuous TimePeter Kratz and Torsten Schoeneborn Humboldt University of Berlin and AHL (Man Investments) Date Posted: January 31, 2012 Working Paper Series 32 downloads
Robust Estimation of a High-Dimensional Integrated Covariance MatrixTakayuki Morimoto and Shuichi Nagata Kwansei Gakuin University and Kwansei Gakuin University - Department of mathematical sciences Date Posted: January 31, 2012 Working Paper Series 31 downloads
Effective Empirical Characteristic Function Methods for Estimation of Affine Diffusions Using the Realized VarianceAlex Levin and Vladimir Khramtsov Royal Bank of Canada and Royal Bank of Canada Date Posted: January 30, 2012 Working Paper Series 37 downloads 
Optimal Multiperiod Mean-Variance Policy Under No-Shorting ConstraintXiangyu Cui , Jianjun, Gao , Xun Li and Duan Li Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management , Department of system engineering and engineering management , affiliation not provided to SSRN and Chinese University of Hong Kong Date Posted: January 29, 2012 Working Paper Series 13 downloads
Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original MeasureMassimiliano Barbi and Silvia Romagnoli University of Bologna - Department of Management and University of Bologna - Department of Mathematics for Economic and Social Sciences Date Posted: January 27, 2012 Working Paper Series 29 downloads
Infrastructure Investments in a Multi-Asset Portfolio – A Drawdown Risk PerspectiveTobias Dechant and Konrad Finkenzeller University of Regensburg - International Real Estate Business School (IREBS) and University of Regensburg - International Real Estate Business School (IREBS) Date Posted: January 26, 2012 Working Paper Series 31 downloads
The Role of Infrastructure Investments in a Multi-Asset Portfolio – Answers from Dynamic Asset AllocationTobias Dechant and Konrad Finkenzeller University of Regensburg - International Real Estate Business School (IREBS) and University of Regensburg - International Real Estate Business School (IREBS) Date Posted: January 26, 2012 Working Paper Series 29 downloads
A General Approach to Real Option Valuation with Application to Real Estate InvestmentsUniversity of Reading, ICMA Centre Discussion Paper No. DP2012-04 Carol Alexander and Xi Chen University of Reading - ICMA Centre and University of Reading - ICMA Centre Date Posted: January 25, 2012 Last Revised: January 28, 2012 Working Paper Series 56 downloads
Risk Measures and Capital Requirements with Multiple Eligible AssetsWalter Farkas , Pablo Koch Medina and Cosimo-Andrea Munari University of Zurich, Department of Banking and Finance , Swiss Reinsurance Company and Swiss Federal Institute of Technology Zurich - Department of Mathematics Date Posted: January 25, 2012 Working Paper Series 66 downloads
Scenario Analysis in Charge of Model SelectionPéter Dobránszky BNP Paribas, Risk - Investment & Markets Date Posted: January 25, 2012 Last Revised: February 15, 2012 Working Paper Series 69 downloads
Speculative Dynamics I: Imperfect Competition, and the Implications for High Frequency TradingSu Li University of Maryland - Robert H. Smith School of Business Date Posted: January 25, 2012 Last Revised: February 16, 2012 Working Paper Series 39 downloads
Systemic Risk in the Indian Financial SystemNaval Bharti Verma Indian Institute of Management (IIM) Date Posted: January 25, 2012 Working Paper Series 47 downloads
Advanced Credit Risk ManagementOsama K. Najjar affiliation not provided to SSRN Date Posted: January 19, 2012 Working Paper Series 111 downloads
Demystifying Risk ParityHakan Kaya and Wai Lee Neuberger Berman and Neuberger Berman Date Posted: January 19, 2012 Last Revised: January 22, 2012 Working Paper Series 65 downloads
Portfolio Restriction to Impose on Defined Benefit Pension PlansKatarzyna Romaniuk Université de Paris 1 Panthéon-Sorbonne Date Posted: January 19, 2012 Working Paper Series 20 downloads
The Illusion of Thin-Tails Under AggregationNassim Nicholas Taleb and George A. Martin NYU-Poly and affiliation not provided to SSRN Date Posted: January 19, 2012 Working Paper Series 805 downloads
What is the True Cost of Active Management? A Comparison of Hedge Funds and Mutual FundsJussi Keppo and Antti Petajisto University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and New York University (NYU) - Department of Finance Date Posted: January 19, 2012 Working Paper Series 93 downloads
Simplified Mean-Variance Portfolio OptimisationSwiss Finance Institute Research Paper No. 11-68 Claudio Fontana and Martin Schweizer Université d'Évry - Departement de Mathematiques and Swiss Federal Institute of Technology Zurich - Department of Mathematics Date Posted: January 18, 2012 Working Paper Series 51 downloads
A Simulation Study into the Performance of GPD-Based Tail EstimationShameema Hussenbocus and Andreas Tsanakas affiliation not provided to SSRN and City University London - Cass Business School Date Posted: January 17, 2012 Working Paper Series 21 downloads
Need for Speed: An Empirical Analysis of Hard and Soft Information in a High Frequency WorldS. Sarah Zhang Karlsruhe Institute of Technology Date Posted: January 16, 2012 Working Paper Series 185 downloads
On the Concentration of Large Deviations for Fat Tailed DistributionsMatteo Marsili Abdus Salam International Centre Theoretical Physics (ICTP) Date Posted: January 16, 2012 Working Paper Series 19 downloads
The (De)Merits of Minimum-Variance Hedging: Application to the Crack SpreadCarol Alexander , Marcel Prokopczuk and Anannit Sumawong University of Reading - ICMA Centre , University of Reading - Henley Business School - ICMA Centre and University of Reading - ICMA Centre Date Posted: January 16, 2012 Working Paper Series 76 downloads
Index Arbitrage and Refresh Time Bias in Covariance EstimationDale W. R. Rosenthal and Jin Zhang University of Illinois at Chicago - Department of Finance and Illinois Institute of Technology Date Posted: January 15, 2012 Last Revised: January 23, 2012 Working Paper Series 59 downloads
Risk-Based Dynamic Asset Allocation with Extreme Tails and CorrelationsPeng Wang , Rodney Sullivan and Yizhi Ge Georgetown University Investment Office , CFA Institute and Georgetown University Date Posted: January 14, 2012 Working Paper Series 297 downloads
Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and MarginsECB Working Paper No. 1413 Bruno Biais , Florian Heider and Marie Hoerova Centre for Economic Policy Research (CEPR) , European Central Bank (ECB) and European Central Bank (ECB) Date Posted: January 13, 2012 Working Paper Series 58 downloads
International Portfolio Selection with Exchange Risk: A Behavioural Portfolio Theory PerspectiveChonghui 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: January 12, 2012 Working Paper Series 34 downloads
Robust Portfolio Choice with Uncertainty About Jump and Diffusion RiskLinda Sandris Larsen and Nicole Branger University of Southern Denmark and University of Muenster - Finance Center Muenster Date Posted: January 11, 2012 Working Paper Series 33 downloads © 2012 Social Science Electronic Publishing, Inc. All Rights Reserved.
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