1.
A Revealed Preference Ranking of U.S. Colleges and Universities
NBER Working Paper No. W10803
Number of pages: 52
Posted: 11 Oct 2004
Working Paper Series
Harvard University - Harvard Kennedy School (HKS), Harvard University - Department of Statistics, Stanford University and Yale School of Management
There are 2 versions of this paper
A Revealed Preference Ranking of U.S. Colleges and Universities
NBER Working Paper No. W10803
Number of pages: 52
Posted: 11 Oct 2004
Downloads
49,664
A Revealed Preference Ranking of U.S. Colleges and Universities
NBER Working Paper No. w10803
Number of pages: 45
Posted: 12 Jul 2010
Downloads
298
Downloads
49,664
2.
The Black-Litterman Model in Detail
Number of pages: 65
Posted: 28 Jan 2009
Last Revised: 23 Jun 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads
24,273
3.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads
23,344
4.
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Downloads
12,823
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Downloads
32
Downloads
12,823
5.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 315
Posted: 03 Sep 2013
Last Revised: 17 Dec 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads
12,253
6.
Global Factor Premiums
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69
Posted: 06 Feb 2019
Last Revised: 08 Jan 2021
Accepted Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads
10,616
7.
Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin
Number of pages: 8
Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Royal Bridge Capital
Downloads
10,120
8.
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Number of pages: 42
Posted: 12 Aug 2010
Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads
9,728
9.
Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets
Number of pages: 15
Posted: 29 Dec 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
7,843
10.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads
7,442
11.
Investing in Socially Responsible Mutual Funds
Number of pages: 56
Posted: 22 Jul 2003
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads
7,253
12.
A Backtesting Protocol in the Era of Machine Learning
Number of pages: 18
Posted: 13 Nov 2018
Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads
6,754
13.
Beyond Black-Litterman: Views on Non-Normal Markets
Number of pages: 19
Posted: 16 Nov 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
4,522
14.
Investing in Mutual Funds When Returns are Predictable
Number of pages: 58
Posted: 08 Jun 2004
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah and University of Maryland - Robert H. Smith School of Business
There are 2 versions of this paper
Investing in Mutual Funds When Returns are Predictable
Number of pages: 58
Posted: 08 Jun 2004
Downloads
4,172
Investing in Mutual Funds When Returns are Predictable
Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jun 2005
Downloads
4,172
15.
Portfolio Selection with Higher Moments
Number of pages: 50
Posted: 29 Dec 2004
Last Revised: 16 Mar 2010
Working Paper Series
Duke University - Fuqua School of Business, Pennsylvania State University, University Park, Drexel University - Department of Decision Sciences and The University of Texas M. D. Anderson Cancer Center
Downloads
4,121
16.
Cenni di Teoria dei Giochi - 1 (Elements of Game Theory - 1)
Number of pages: 21
Posted: 16 Apr 2013
Last Revised: 26 Apr 2018
Working Paper Series
University of Rome Sapienza
Downloads
3,945
17.
The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
Number of pages: 74
Posted: 30 Jul 2004
Working Paper Series
Bank of Italy - Banking and Finance Supervision Department
Downloads
3,865
18.
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
Number of pages: 25
Posted: 19 Feb 2009
Last Revised: 17 Jul 2009
Working Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
There are 2 versions of this paper
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
Number of pages: 25
Posted: 19 Feb 2009
Last Revised: 17 Jul 2009
Downloads
3,851
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
Journal of Asset Management, Vol. 12, No. 5, pp. 360-375, 2011
Posted: 10 Oct 2011
Downloads
3,851
19.
Technical Analysis and Theory of Finance
EFA 2007 Ljubljana Meetings Paper
Number of pages: 54
Posted: 05 Mar 2007
Working Paper Series
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads
3,413
20.
The Present and Future of Financial Risk Management
ISMA Centre Discussion Paper No. DP2003-12
Number of pages: 25
Posted: 26 Feb 2004
Working Paper Series
University of Sussex Business School
Downloads
3,405
21.
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Number of pages: 45
Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads
3,258
22.
Presidential Address: The Scientific Outlook in Financial Economics
Duke I&E Research Paper No. 2017-05
Number of pages: 38
Posted: 10 Jan 2017
Last Revised: 22 Dec 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads
2,930
23.
Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data
Number of pages: 50
Posted: 18 Jun 2012
Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
2,648
24.
Reconstructing the Black-Litterman Model
Number of pages: 18
Posted: 25 Sep 2013
Last Revised: 29 Nov 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads
2,479
25.
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
Number of pages: 54
Posted: 11 Aug 2015
Last Revised: 29 Nov 2017
Working Paper Series
Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
Number of pages: 54
Posted: 11 Aug 2015
Last Revised: 29 Nov 2017
Downloads
2,357
Is the Fda Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
NBER Working Paper No. w21499
Number of pages: 38
Posted: 31 Aug 2015
Last Revised: 29 Sep 2015
Downloads
26
Downloads
2,357
26.
Multiperiod Portfolio Selection and Bayesian Dynamic Models
Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8
Posted: 28 Jul 2014
Last Revised: 04 Dec 2017
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
2,124
27.
Financial Factors in Economic Fluctuations
ECB Working Paper No. 1192
Number of pages: 133
Posted: 26 May 2010
Working Paper Series
Northwestern University, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
2,032
28.
An MCMC Approach to Classical Estimation
Number of pages: 55
Posted: 15 Jul 2003
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads
2,009
29.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,008
30.
Enhancing Risk Parity by Including Views
Journal of Investing, 2017
Number of pages: 34
Posted: 12 Aug 2014
Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads
2,007
31.
Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM
Federal Reserve Bank of New York Staff Report No. 193
Number of pages: 48
Posted: 09 Apr 2003
Last Revised: 14 Oct 2008
Working Paper Series
International Monetary Fund and USI Lugano
There are 2 versions of this paper
Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM
Federal Reserve Bank of New York Staff Report No. 193
Number of pages: 48
Posted: 09 Apr 2003
Last Revised: 14 Oct 2008
Downloads
1,980
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM
Swiss Finance Institute Research Paper No. 08-36
Number of pages: 51
Posted: 21 Nov 2008
Downloads
443
Downloads
1,980
32.
Skill and Luck in Private Equity Performance
Rock Center for Corporate Governance at Stanford University Working Paper No. 179
Number of pages: 69
Posted: 03 Apr 2014
Last Revised: 16 Dec 2015
Working Paper Series
University of Southern California - Marshall School of Business and Dartmouth College - Tuck School of Business
There are 2 versions of this paper
Skill and Luck in Private Equity Performance
Rock Center for Corporate Governance at Stanford University Working Paper No. 179
Number of pages: 69
Posted: 03 Apr 2014
Last Revised: 16 Dec 2015
Downloads
1,902
Skill and Luck in Private Equity Performance
Netspar Discussion Paper No. 04/2014-026
Number of pages: 59
Posted: 08 Jul 2014
Downloads
340
Downloads
1,902
33.
Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market
Number of pages: 4
Posted: 02 Dec 2016
Last Revised: 05 Dec 2016
Working Paper Series
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads
1,891
34.
What's Past is Not Prologue
Number of pages: 5
Posted: 08 Aug 2018
Working Paper Series
Elm Partners, Elm Partners and Elm Partners
Downloads
1,813
35.
A Primer and Frequently Asked Questions for 'Surprised by the Gamblers and Hot Hand Fallacies? A Truth in the Law of Small Numbers' (Miller and Sanjurjo 2015)
Number of pages: 41
Posted: 05 Feb 2016
Last Revised: 09 Feb 2016
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads
1,747
36.
Which Team Will Win the 2014 FIFA World Cup? A Bayesian Approach for Dummies
Number of pages: 31
Posted: 15 Feb 2014
Working Paper Series
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidade Federal do Rio de Janeiro (UFRJ)
Downloads
1,707
37.
Stochastic Claims Reserving Manual: Advances in Dynamic Modeling
Swiss Finance Institute Research Paper No. 15-34
Number of pages: 322
Posted: 23 Aug 2015
Working Paper Series
RiskLab, ETH Zurich and University of Hamburg
Downloads
1,695
38.
Market Efficiency, Rational Expectations, and Estimation Risk
Number of pages: 47
Posted: 16 Aug 1998
Working Paper Series
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads
1,688
39.
Many Risks, One (Optimal) Portfolio
Number of pages: 217
Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads
1,644
40.
Dynamic Demand for New and Used Durable Goods without Physical Depreciation: The Case of Japanese Video Games
Rotman School of Management Working Paper No. 2189871
Number of pages: 51
Posted: 09 Feb 2020
Last Revised: 09 Feb 2020
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business and Johns Hopkins University - Carey Business School
Downloads
1,601
41.
Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study
International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36
Posted: 16 Feb 2017
Last Revised: 28 Mar 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,533
42.
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification
Number of pages: 43
Posted: 01 Jan 2010
Last Revised: 13 May 2010
Working Paper Series
UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
There are 2 versions of this paper
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification
Number of pages: 43
Posted: 01 Jan 2010
Last Revised: 13 May 2010
Downloads
1,504
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 04 Dec 2010
Downloads
1,504
43.
A Bridge from Monty Hall to the Hot Hand: Restricted Choice, Selection Bias, and Empirical Practice
IGIER Working Paper
Number of pages: 33
Posted: 02 Jan 2016
Last Revised: 29 Oct 2017
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads
1,462
44.
Estimation Risk, Market Efficiency, and the Predictability of Returns
Number of pages: 49
Posted: 19 Dec 2000
Working Paper Series
Emory University - Goizueta Business School and Dartmouth College - Tuck School of Business
There are 2 versions of this paper
Estimation Risk, Market Efficiency, and the Predictability of Returns
Number of pages: 49
Posted: 19 Dec 2000
Downloads
1,378
Estimation Risk, Market Efficiency, and the Predictability of Returns
NBER Working Paper No. w7699
Number of pages: 53
Posted: 17 May 2000
Last Revised: 17 Oct 2010
Downloads
83
Downloads
1,378
45.
Stock Return Predictability and Asset Pricing Models
Number of pages: 62
Posted: 19 Feb 2001
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah
There are 2 versions of this paper
Stock Return Predictability and Asset Pricing Models
Number of pages: 62
Posted: 19 Feb 2001
Downloads
1,371
Downloads
1,371
46.
Tail Risk Protection in Asset Management
Number of pages: 42
Posted: 16 Nov 2014
Working Paper Series
Independent
Downloads
1,370
47.
The Scientific Outlook in Financial Economics: Transcript of the Presidential Address and Presentation Slides
Duke I&E Research Paper No. 2017-06
Number of pages: 16
Posted: 10 Jan 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads
1,348
48.
Investing in Equity Mutual Funds
Number of pages: 37
Posted: 20 Sep 2001
Working Paper Series
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads
1,347
49.
Analyst Information Discovery and Interpretation Roles: A Topic Modeling Approach
Ross School of Business Paper No. 1229
Number of pages: 51
Posted: 16 Mar 2014
Last Revised: 10 Nov 2016
Working Paper Series
Hong Kong University of Science and Technology - Department of Accounting, University of Michigan, Stephen M. Ross School of Business, Hong Kong University of Science and Technology - Department of Accounting and Hong Kong University of Science and Technology - Business School - Department of Information Systems, Business Statistics and Operations Management
Downloads
1,345
50.
How is the Mobile Internet Different?
Number of pages: 37
Posted: 31 Dec 2010
Last Revised: 23 Dec 2016
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business, University of Toronto - Rotman School of Management and Arizona State University, W.P.Carey School of Business
Downloads
1,328
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