Search Results
JEL Code: C61

899,598 Total downloads

Viewing: 51 - 100 of 4,650 papers

51.

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Number of pages: 25 Posted: 02 May 2011 Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads 2,102
52.

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Working Paper Series
University of Zurich, University of Basel and Swiss Finance Institute
Downloads 2,011
53.

Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches

European Journal of Finance, Forthcoming.
Number of pages: 48 Posted: 12 Jun 2012 Last Revised: 06 Dec 2014
Accepted Paper Series
University of Hamburg, Deka Investment GmbH and Deka Investment GmbHDarmstadt University of Technology
Downloads 2,003
54.

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads 1,922
55.

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Working Paper Series
Boston University Questrom School of Business, Université de Montréal and Questrom School of Business, Boston University

Multiple version iconThere are 2 versions of this paper

Downloads 1,902
56.

Measuring Bank Branch Performance Using Data Envelopment Analysis (DEA): The Case of Turkish Bank Branches

African Journal of Business Management, 5(3), 889–901. DOI: 10.5897/AJBM10.584
Number of pages: 13 Posted: 26 Apr 2013
Accepted Paper Series
affiliation not provided to SSRN and K?rklareli University
Downloads 1,874
57.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Working Paper Series
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,869
58.

Dynamic Hedging in Incomplete Markets: A Simple Solution

AFA 2012 Chicago Meetings Paper
Number of pages: 49 Posted: 07 Nov 2008 Last Revised: 12 May 2011
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 1,859
59.

Constrained Optimization Approaches to Estimation of Structural Models

Econometrica Forthcoming
Number of pages: 21 Posted: 13 Feb 2008 Last Revised: 14 Jan 2012
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 1,855
60.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,849
61.

Drawdown Measure in Portfolio Optimization

Number of pages: 41 Posted: 13 May 2004
Working Paper Series
Columbia University - Department of Mathematics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,829
62.

Strategic Asset Allocation in Money Management

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 03 Feb 2009 Last Revised: 31 May 2012
Accepted Paper Series
London Business School and HSE University, International College of Economics and Finance (ICEF)

Multiple version iconThere are 2 versions of this paper

Downloads 1,753
63.

Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis

International Journal of Operations Research, Forthcoming
Number of pages: 36 Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara (UCSB) - Department of Economics and Cranfield University - School of Management
Downloads 1,742
64.

Dynamic Pairs Trading Using the Stochastic Control Approach

Journal of Economic Dynamics and Control, 2013
Number of pages: 20 Posted: 09 Mar 2012 Last Revised: 07 Feb 2014
Accepted Paper Series
NYU Tandon - Department of Finance and Risk Engineering and BlackRock, Inc
Downloads 1,696
65.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 1,681
66.

Airline Revenue Management

Number of pages: 30 Posted: 20 Feb 2003
Working Paper Series
Erasmus Research Institute of Management (ERIM) and University of Amsterdam - Academy for Economic Studies
Downloads 1,653
67.

Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios

Number of pages: 25 Posted: 03 Jan 2005
Working Paper Series
MIT EECS, MIT EECS, MIT EECS, MIT EECS and MIT EECS
Downloads 1,643
68.

Does Technology Cause Unemployment?

Number of pages: 12 Posted: 12 Oct 2009
Working Paper Series
Independent
Downloads 1,631
69.

Optimal Liquidity Trading

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21
Number of pages: 59 Posted: 11 Dec 2000
Working Paper Series
Columbia Business School - Finance and Economics and Yale University - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,627
70.

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 1,625
71.

Global Supply Chain Networks and Risk Management

Number of pages: 41 Posted: 27 Oct 2003
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management, University of Massachusetts at Amherst and SUNY at Oswego - Management and Marketing
Downloads 1,614
72.

lclogit: A Stata Module for Estimating Latent Class Conditional Logit Models via the Expectation-Maximization Algorithm

UNSW Australian School of Business Research Paper No. 2012 ECON 49
Number of pages: 16 Posted: 12 Nov 2012 Last Revised: 06 Oct 2013
Accepted Paper Series
Italian Department of the Treasury and Durham Business School
Downloads 1,614
73.

Optimal Liquidation in Dark Pools

EFA 2009 Bergen Meetings Paper
Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 18 Apr 2014
Working Paper Series
Humboldt University of Berlin and AHL (Man Investments)

Multiple version iconThere are 2 versions of this paper

Downloads 1,603
74.

Feature-Based Dynamic Pricing

Number of pages: 44 Posted: 29 Feb 2016 Last Revised: 10 Mar 2021
Working Paper Series
Desautels Faculty of Management, McGill University, New York University (NYU) and Google Inc.
Downloads 1,582
75.

Introducing CGE Models to the Classroom Using Excel

Number of pages: 39 Posted: 16 Apr 2007
Working Paper Series
Ryerson University, Faculty of Arts - Department of Economics
Downloads 1,542
76.

A Sharper Angle on Optimization

Number of pages: 16 Posted: 07 Oct 2009 Last Revised: 19 Nov 2009
Working Paper Series
4x4invest and affiliation not provided to SSRN
Downloads 1,537
77.

Machine Learning for Continuous-Time Economics

Number of pages: 41 Posted: 04 Aug 2017 Last Revised: 04 May 2018
Working Paper Series
University of Illinois at Urbana-Champaign
Downloads 1,537
78.

Dynamic Stochastic Programming for Asset-Liability Management

Number of pages: 42 Posted: 19 Mar 1998
Working Paper Series
Credito Italiano and University of Cambridge - Centre for Financial Research
Downloads 1,535
79.

A Survey of Stackelberg Differential Game Models in Supply and Marketing Channels

Journal of Systems Science and Systems Engineering, Vol. 16, No. 4, pp. 385-413, December 2007
Number of pages: 29 Posted: 11 Dec 2007 Last Revised: 14 May 2019
Accepted Paper Series
University of North Carolina at Charlotte, University of California, Riverside (UCR), University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Austin - Red McCombs School of Business
Downloads 1,532
80.

Estimating and Testing Dynamic Corporate Finance Models

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 07 Jul 2017
Working Paper Series
Banco de México, Government of the United States of America - Office of Financial Research and University of Michigan, Stephen M. Ross School of Business
Downloads 1,517
81.

Customer Choice Models versus Machine Learning: Finding Optimal Product Displays on Alibaba

Number of pages: 50 Posted: 26 Aug 2018 Last Revised: 02 May 2019
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School, Alibaba Group and Alibaba Group
Downloads 1,514
82.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Accepted Paper Series
University of Geneva - Research Center for Statistics and University of Giessen - Department of Economics
Downloads 1,496
83.

What is Portfolio Diversification?

Number of pages: 9 Posted: 27 Sep 2013 Last Revised: 14 Feb 2014
Working Paper Series
Barings
Downloads 1,486
84.

Optimal Arbitrage Trading

Number of pages: 13 Posted: 13 Jan 2004
Working Paper Series
ABN-Amro Bank - Global Equity Derivatives and University of Amsterdam
Downloads 1,473
85.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
Working Paper Series
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,472
86.

Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach

Number of pages: 10 Posted: 22 Feb 2006
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 1,441
87.

Optimal Initiation of a GLWB in a Variable Annuity: No Arbitrage Approach

Number of pages: 23 Posted: 26 Feb 2013
Working Paper Series
York University - Schulich School of Business, York UniversityYork University - Department of Mathematics and Statistics and York University
Downloads 1,438
88.

Applied Stochastic Control in High Frequency and Algorithmic Trading

Number of pages: 210 Posted: 03 Oct 2014
Working Paper Series
University of Toronto, Department of Statistics
Downloads 1,421
89.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Working Paper Series
Danske Bank - Danske Markets and NatWest Marketsaffiliation not provided to SSRN
Downloads 1,412
90.

Evolutionary Finance

Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60 Posted: 04 Jul 2008 Last Revised: 17 Dec 2008
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,389
91.

A Lattice-Theoretical Optimization Approach to Nash Equilibria in Two-Person Games

Number of pages: 17 Posted: 21 Jun 2015 Last Revised: 26 Jul 2021
Working Paper Series
Osaka University - Graduate School of Economics
Downloads 1,351
92.

Monte Carlo Pricing with Local Volatility Grids

Number of pages: 6 Posted: 18 Apr 2013 Last Revised: 28 Apr 2013
Working Paper Series
Independent, IndependentWells Fargo Bank and Independent
Downloads 1,346
93.

Portfolios from Sorts

Number of pages: 22 Posted: 12 May 2005
Working Paper Series
Hutchin Hill Capital and University of Toronto - Department of Mathematics
Downloads 1,344
94.

From Business Intelligence to Competitive Intelligence: Inferring Competitive Measures Using Augmented Site-Centric Data

Number of pages: 48 Posted: 08 Jan 2009 Last Revised: 04 Apr 2012
Working Paper Series
University of Texas at Dallas, University of Pennsylvania - Marketing Department and University of South Florida - College of Business Administration
Downloads 1,325
95.

Joint Production and Financing Decisions: Modeling and Analysis

Number of pages: 29 Posted: 23 Jan 2005
Working Paper Series
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business
Downloads 1,292
96.

A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Number of pages: 21 Posted: 03 Apr 2010 Last Revised: 02 Jan 2011
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 1,253
97.

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Swiss Finance Institute Research Paper No. 06-2
Number of pages: 22 Posted: 21 Jun 2006
Working Paper Series
University of Geneva - Research Center for Statistics, Mirabaud & Cie and University of Geneva - Department of Econometrics

Multiple version iconThere are 2 versions of this paper

Downloads 1,231
98.

Why Should Managers Like Payback Period?

Number of pages: 14 Posted: 09 Oct 2010
Working Paper Series
Brooklyn College of the City University of New York
Downloads 1,216
99.

Statistical Tests for Return-Based Style Analysis

Number of pages: 32 Posted: 25 Jul 2001
Working Paper Series
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 1,215
100.

An Empirical Model of Advertising Dynamics

Number of pages: 43 Posted: 18 Dec 2003
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 1,212