Ari Levine

AQR Capital Management

Managing Director

Greenwich, CT

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 3,152

SSRN RANKINGS

Top 3,152

in Total Papers Downloads

15,243

SSRN CITATIONS
Rank 30,811

SSRN RANKINGS

Top 30,811

in Total Papers Citations

23

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

Which Trend Is Your Friend?

Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32 Posted: 10 May 2015 Last Revised: 19 Apr 2016
Ari Levine and Lasse Heje Pedersen
AQR Capital Management and AQR Capital Management, LLC
Downloads 6,905 (1,237)
Citation 12

Abstract:

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trend-following investing, momentum, moving average crossover, filtering, managed futures, CTA

2.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 2,953 (5,362)
Citation 4

Abstract:

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portfolio choice, optimization, robustness, Black-Litterman, machine learning

3.

Trends Everywhere

Journal of Investment Management, Forthcoming, NYU Stern School of Business
Number of pages: 26 Posted: 17 May 2019
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,608 (6,530)
Citation 3

Abstract:

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managed futures, time series momentum, trend following, factor momentum, alternative markets, hedge funds, trading strategies, exotic commodities

4.
Downloads 1,955 ( 10,433)
Citation 4

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
AQR Capital Management, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 1,895 (10,765)

Abstract:

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Commodities, Spot Returns, Convenience Yields, Carry, Business Cycle, Inflation, Backwardation, Asset Allocation

Commodities for the Long Run

Number of pages: 40 Posted: 07 Nov 2016 Last Revised: 13 Oct 2021
AQR Capital Management, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 60 (453,899)
Citation 3

Abstract:

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5.

You Can't Always Trend When You Want

Number of pages: 27 Posted: 01 Dec 2019
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, Aarhus University and AQR Capital Management, LLC
Downloads 822 (38,095)
Citation 2

Abstract:

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trend-following investing, momentum, managed futures, CTA