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JEL Code: G11

7,115,838 Total downloads

Viewing: 151 - 200 of 16,354 papers

151.

Properties of the Most Diversified Portfolio

Journal of Investment Strategies, Vol.2(2), Spring 2013, pp.49-70.
Number of pages: 30 Posted: 27 Jul 2011 Last Revised: 22 May 2017
Accepted Paper Series
TOBAM, TOBAM and TOBAM
Downloads 5,141
152.

On the Performance of Hedge Funds

Number of pages: 41 Posted: 17 Jun 1998
Working Paper Series
University of Massachusetts Amherst - Department of Finance
Downloads 5,132
153.

Benchmarking Private Equity: The Direct Alpha Method

Number of pages: 32 Posted: 06 Mar 2014 Last Revised: 14 Mar 2014
Working Paper Series
Tulane University - A.B. Freeman School of Business, Landmark Partners and Warburg Pincus
Downloads 5,114
154.

Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold

Number of pages: 29 Posted: 19 Dec 2006 Last Revised: 01 Sep 2015
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 5,077
155.

Is Portfolio Theory Harming Your Portfolio?

Number of pages: 14 Posted: 15 May 2011 Last Revised: 10 Jun 2011
Working Paper Series
Green River Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 5,036
156.

Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids

GARP Risk Professional, pp. 52-53, February 2010
Number of pages: 4 Posted: 04 Feb 2010 Last Revised: 14 May 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,029
157.

Is There a Dark Side to Exchange Traded Funds? An Information Perspective

Review of Accounting Studies, Vol. 22, Pages 1048-1083, 2017
Number of pages: 56 Posted: 03 Jul 2015 Last Revised: 09 Aug 2017
Accepted Paper Series
IDC Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads 4,967
158.

Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management

Number of pages: 24 Posted: 23 Sep 2010 Last Revised: 12 Feb 2013
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,920
159.

Scale Effects in Mutual Fund Performance: The Role of Trading Costs

Number of pages: 41 Posted: 13 Dec 2006 Last Revised: 08 Jul 2009
Working Paper Series
Virginia Tech, University of Virginia - Darden School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business
Downloads 4,898
160.

Head and Shoulders Above the Rest? The Performance of Institutional Portfolio Managers Who Use Technical Analysis

Number of pages: 37 Posted: 17 Jan 2013
Working Paper Series
State University of New York at Albany - School of Business, Kedge Business School Bordeaux and State University of New York at Albany - School of Business
Downloads 4,879
161.

Has Persistence Persisted in Private Equity? Evidence from Buyout and Venture Capital Funds

Fama-Miller Working Paper
Number of pages: 41 Posted: 02 Aug 2013 Last Revised: 09 Nov 2020
Working Paper Series
University of Virginia - Darden School of Business, University of Oxford - Said Business School, University of Chicago - Booth School of Business and Warburg Pincus

Multiple version iconThere are 3 versions of this paper

Downloads 4,856
162.

Hedge Fund Diversification: How Much is Enough?

FAME Research Working Paper No. 52
Number of pages: 53 Posted: 31 Aug 2002
Working Paper Series
Kedge Capital Fund Management and Thunderbird, American Graduate School of International Management
Downloads 4,856
163.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 4,854
164.

Sensation Seeking and Hedge Funds

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 10 Dec 2016 Last Revised: 20 Apr 2018
Accepted Paper Series
New York University (NYU) - Leonard N. Stern School of Business, University of Central Florida - College of Business Administration, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 4,827
165.

Socially Responsible Investments: Methodology, Risk Exposure and Performance

TILEC Discussion Paper No. 2007-013, ECGI - Finance Working Paper No. 175/2007, WBS Finance Group Research Paper No. 80
Number of pages: 51 Posted: 10 May 2007 Last Revised: 23 Dec 2019
Working Paper Series
Tilburg University - Department of Finance, TIAS School for Business and Society and University of Exeter Business School
Downloads 4,797
166.

Momentum and Mean-Reversion in Strategic Asset Allocation

EFA 2006 Zurich Meetings
Number of pages: 34 Posted: 07 Jun 2006 Last Revised: 28 Jan 2009
Working Paper Series
University of Chicago - Booth School of Business, Tilburg University and CentER and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 4,769
167.

Predicting Stock Returns Using Industry-Relative Firm Characteristics

Number of pages: 46 Posted: 05 Jul 2000
Working Paper Series
AQR Capital Management, LLC, Iowa State University and Stone Ridge
Downloads 4,767
168.

Real World Index Annuity Returns

Number of pages: 16 Posted: 07 Oct 2009 Last Revised: 06 Jan 2011
Working Paper Series
University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Purdue University Global and affiliation not provided to SSRN
Downloads 4,757
169.

Machine Learning for Stock Selection

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35 Posted: 04 Mar 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads 4,748
170.

All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors

EFA 2005 Moscow Meetings Paper
Number of pages: 51 Posted: 20 Jun 2005
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,712
171.

Rebalancing Risk

Number of pages: 34 Posted: 30 Aug 2014 Last Revised: 04 Oct 2014
Working Paper Series
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads 4,695
172.

Explainable AI (XAI) Models Applied to Planning in Financial Markets

Number of pages: 9 Posted: 13 Jun 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, A.I. Square Connect and A.I. Square Connect
Downloads 4,686
173.

Planning in Financial Markets in Presence of Spikes: Using Machine Learning GBDT

Number of pages: 9 Posted: 17 Jun 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, A.I. Square Connect and A.I. Square Connect
Downloads 4,649
174.

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 4,606
175.

Emerging Equity Markets in a Globalizing World

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 09 Apr 2017
Working Paper Series
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,597
176.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,574
177.

Asset Valuations and Safe Portfolio Withdrawal Rates

Number of pages: 17 Posted: 28 Jun 2013 Last Revised: 01 Jul 2013
Working Paper Series
QMA, The American College and The American College for Financial Services
Downloads 4,565
178.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Accepted Paper Series
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 4,511
179.

Value-Based Inventory Management

Value-Based Inventory Management, Journal of Economic Forecasting, 9/1, 82-90, 2008
Number of pages: 9 Posted: 07 Jan 2008 Last Revised: 03 Jan 2013
Working Paper Series
Uniwersytet Ekonomiczny we Wroc?awiu - Faculty of Engineering and Economics
Downloads 4,504
180.

Evaluation of Value-at-Risk Models Using Historical Data

Economic Policy Review, Vol. 2, No. 1, April 1996
Number of pages: 32 Posted: 11 Nov 2007
Working Paper Series
Independent
Downloads 4,465
181.

The Dividend Disconnect

7th Miami Behavioral Finance Conference 2016
Number of pages: 56 Posted: 29 Nov 2016 Last Revised: 30 Aug 2018
Working Paper Series
University of Chicago - Booth School of Business and Boston College - Carroll School of Management
Downloads 4,462
182.

The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods

Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert W., The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods, Quantitative Finance, DOI: org/10.1080/14697688.2016.1164337
Number of pages: 35 Posted: 05 Jun 2015 Last Revised: 19 May 2016
Accepted Paper Series
University of Queensland Business School, University of Queensland and Bond University
Downloads 4,448
183.

Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects

GARP's Risk Professional Magazine, June 2010
Number of pages: 6 Posted: 03 Jun 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,433
184.

A Model of Credit Risk, Optimal Policies, and Asset Prices

Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,428
185.

Robust Bayesian Allocation

Number of pages: 18 Posted: 03 Apr 2005 Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,411
187.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Athens, Department of Business Administration
Downloads 4,387
188.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 4,380
189.

The Global Rise of the Value-Weighted Portfolio

AFA 2007 Chicago Meetings Paper
Number of pages: 35 Posted: 18 Nov 2005
Working Paper Series
HKUST Business School and Monash University - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,366
190.

How Do Cfos Make Capital Budgeting and Capital Structure Decisions?

Number of pages: 36 Posted: 09 Sep 2005
Working Paper Series
Duke University and Duke University - Fuqua School of Business
Downloads 4,361
191.

Deep Reinforcement Learning (DRL) for Portfolio Allocation

ECML PKDD Demo track 2020
Number of pages: 5 Posted: 02 Jul 2021
Working Paper Series
Université Paris Dauphine, A.I. Square Connect, Université Paris Dauphine, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 4,359
192.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis 52 (2017), 2461-2490
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 17 Oct 2018
Accepted Paper Series
The University of Texas at Austin
Downloads 4,350
193.

The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules

Forthcoming in the Journal of Asset Management
Number of pages: 8 Posted: 03 Apr 2013 Last Revised: 04 Sep 2014
Accepted Paper Series
University of Agder - School of Business and Law
Downloads 4,338
194.

Breach of Trust: Valuing Financial Service Firms in the Post-Crisis Era

Number of pages: 34 Posted: 30 Mar 2011
Working Paper Series
New York University - Stern School of Business
Downloads 4,312
195.

Equal or Value Weighting? Implications for Asset-Pricing Tests

Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 29 Jan 2016
Working Paper Series
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 4,280
196.

Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach

Review of Financial Studies (RFS), 25(9): 2841-2875
Number of pages: 47 Posted: 08 Feb 2011 Last Revised: 08 Oct 2013
Working Paper Series
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4,279
197.

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35 Posted: 14 Jun 2006 Last Revised: 20 Oct 2016
Working Paper Series
Independent and Deutsche Bank AG (London)

Multiple version iconThere are 2 versions of this paper

Downloads 4,251
198.

Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds

Financial Analysts Journal, Vol. 75, No. 4 (Fourth Quarter 2019)
Number of pages: 50 Posted: 14 Sep 2018 Last Revised: 30 Oct 2019
Working Paper Series
University of Notre Dame, University of Dayton and University of Arkansas - Department of Finance
Downloads 4,245
199.

Black Swans and Market Timing: How Not to Generate Alpha

Number of pages: 20 Posted: 28 Nov 2007
Working Paper Series
IESE Business School
Downloads 4,228
200.

How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Exposure

Number of pages: 53 Posted: 17 Apr 2015 Last Revised: 02 Oct 2015
Working Paper Series
University of Pennsylvania - The Wharton School, Wharton Research Data Services (WRDS)
Downloads 4,210