Literature: authors starting with R

Rabiner (1989) · A tutorial on hidden Markov models and selected applications in speech recognition

Rabiner, L. R.. Proceedings of the IEEE 77 (2), pp. 257–286. doi:10.1109/5.18626

The standard introduction to hidden Markov models, with the three basic problems: the probability of the data, the most likely state sequence and the estimation of the parameters.

Cited in: Regime models: hidden Markov, Markov switching and more · Regime methodology: how the hidden Markov model works · Glossary: Hidden Markov model · Glossary: Baum-Welch algorithm · Glossary: Forward-backward algorithm

Rad et al. (2016) · The profitability of pairs trading strategies: distance, cointegration and copula methods

Rad, Hossein; Low, Rand Kwong Yew; Faff, Robert. Quantitative Finance 16 (10), pp. 1541–1558. doi:10.1080/14697688.2016.1164337

Compares the distance, cointegration and copula methods across the entire US stock market in 1962–2014, with time-varying trading costs.

Cited in: Pairs trading and statistical arbitrage: idea, methods, research

Ramaswamy (2011) · Market structures and systemic risks of exchange-traded funds

Ramaswamy, Srichander. Bank for International Settlements, BIS Working Paper 343, April 2011. Source

Describes the structure and risks of synthetic ETFs with unfunded and funded swaps, collateral baskets and affiliated banks as swap counterparties.

Cited in: Basket swaps, total return swaps or futures: building market exposure efficiently · Index replication: full replication, optimized sampling and swaps · Glossary: Substitute basket · Glossary: Funded and unfunded swap

Rapach et al. (2010) · Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Rapach, David E.; Strauss, Jack K.; Zhou, Guofu. Review of Financial Studies 23 (2), pp. 821–862. doi:10.1093/rfs/hhp063

Combinations of forecasts from many individual models beat the historical mean of the equity premium more consistently than any single model.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning

Rebonato (2010) · Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress

Rebonato, Riccardo. Wiley. doi:10.1002/9781118374719

Builds stress scenarios from Bayesian networks of causes and effects, so that they are internally consistent and can be assigned a probability.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario methodology: how Portfolio Lab runs stress tests

Redington (1952) · Review of the Principles of Life-office Valuations

Redington, F. M.. Journal of the Institute of Actuaries 78 (3), pp. 286–340. doi:10.1017/s0020268100052811

The principle of immunization: hedging assets and liabilities by matching their durations.

Cited in: Duration: how strongly bonds react to interest rates · Asset-liability management: aligning your wealth with future spending · Bond math: calculating price, yield, duration, convexity and spreads · Liability-driven investing and cash flow driven investing: covering liabilities with bonds · ALM methodology: how Portfolio Lab measures assets against liabilities · Glossary: Immunization

Renault (2017) · Market Manipulation and Suspicious Stock Recommendations on Social Media

Renault, Thomas. SSRN Working Paper 3010850. doi:10.2139/ssrn.3010850

Unusually high numbers of Twitter messages about small stocks are associated with sharp price rises followed by reversals; network analysis reveals suspicious groups of users.

Cited in: Pump and dump and penny stocks: how the scam works

Renneboog and Spaenjers (2013) · Buying Beauty: On Prices and Returns in the Art Market

Renneboog, Luc; Spaenjers, Christophe. Management Science 59 (1), pp. 36–53. doi:10.1287/mnsc.1120.1580

Hedonic index from more than one million auctions: art rose by 3.97% a year in real US dollar terms in 1957–2007, similar to corporate bonds but with much higher risk.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return · Glossary: Hedonic price index

Reuters (2024) · Polymarket says mystery Trump bettor is French national

Reuters. Reuters, published on swissinfo.ch, October 24, 2024; accessed October 25, 2026. Source

Four accounts of a French trader with potential payouts of about $46 million on a Trump win; the platform found no evidence of manipulation and gave Trump 62%, while polls showed a neck-and-neck race.

Cited in: Prediction markets as bets on events: what they can and cannot do

Rhode and Strumpf (2004) · Historical Presidential Betting Markets

Rhode, Paul W.; Strumpf, Koleman S.. Journal of Economic Perspectives 18 (2), pp. 127–142. doi:10.1257/0895330041371277

Betting markets on US presidential elections from 1868 to 1940 predicted elections remarkably well before the era of scientific polling and were fairly efficient despite attempts at manipulation.

Cited in: Prediction markets as bets on events: what they can and cannot do

Richard (2010) · Confidence Game: How a Hedge Fund Manager Called Wall Street’s Bluff

Richard, Christine S.. Wiley.

Bill Ackman's years-long bet by Pershing Square against the bond insurer MBIA, up to the financial crisis.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Rockafellar and Uryasev (2000) · Optimization of conditional value-at-risk

Rockafellar, R. Tyrrell; Uryasev, Stanislav. The Journal of Risk 2 (3), pp. 21–41. doi:10.21314/jor.2000.038

Shows that conditional value at risk can be minimized with linear programming, the basis of min-CVaR optimization.

Cited in: Efficient frontier: Markowitz portfolio optimization · Value at risk and conditional VaR: how much you could lose in a bad case · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

Rödel and Rothballer (2012) · Infrastructure as Hedge against Inflation—Fact or Fantasy?

Rödel, Maximilian; Rothballer, Christoph. The Journal of Alternative Investments 15 (1), pp. 110–123. doi:10.3905/jai.2012.15.1.110

Using data on 824 companies from 46 countries over 37 years, listed infrastructure protects no better against inflation than other equities; only companies with strong pricing power do somewhat better.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Liquid real assets: inflation protection with tradable real assets in a portfolio

Roe and Rotaru (2026) · Liability Management's Limited Runway: Corporate Restructuring Today

Roe, Mark J.; Rotaru, Vasile. European Corporate Governance Institute, Law Working Paper 968/2026, August 2026; accessed October 25, 2026. Source

A data set of 89 liability management transactions in 2014–2025: most of the firms restructured in this way later file for bankruptcy after all, 71% after three years.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises · Glossary: Liability management exercise

Roll (1977) · A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

Roll, Richard. Journal of Financial Economics 4 (2), pp. 129–176. doi:10.1016/0304-405x(77)90009-5

A critique of CAPM tests: the true market portfolio is unobservable, so tests only check the efficiency of a proxy index.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line · Glossary: Market portfolio · Glossary: Roll critique

Roll (1984) · A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

Roll, Richard. The Journal of Finance 39 (4), pp. 1127–1139. doi:10.1111/j.1540-6261.1984.tb03897.x

Transaction costs create negative autocorrelation in successive price changes; from this the effective bid-ask spread can be estimated, which is closely related to firm size.

Cited in: Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds

Roll (1992) · A Mean/Variance Analysis of Tracking Error

Roll, Richard. The Journal of Portfolio Management 18 (4), pp. 13–22. doi:10.3905/jpm.1992.701922

Analyses portfolios that minimize tracking error relative to the index and shows that they are not efficient in the Markowitz sense.

Cited in: Tracking error and information ratio: deviation from the index · Index replication: full replication, optimized sampling and swaps

Roncalli (2013) · Introduction to Risk Parity and Budgeting

Roncalli, Thierry. Chapman & Hall/CRC.

Textbook on risk parity and risk budgeting: risk contributions, Euler decomposition, algorithms.

Cited in: Risk contribution: breaking portfolio risk down into its parts · Risk parity: equal risk contributions instead of equal weights · Risk & attribution: methodology of risk decomposition and Brinson attribution · Glossary: Risk budgeting · Glossary: Risk contribution · Glossary: Marginal risk contribution · Glossary: Euler decomposition

Ross (1976) · The arbitrage theory of capital asset pricing

Ross, Stephen A. Journal of Economic Theory 13 (3), pp. 341–360. doi:10.1016/0022-0531(76)90046-6

Arbitrage pricing theory: returns depend on several common factors, not just on the market.

Cited in: CAPM: the capital asset pricing model and the security market line · Factor investing: understanding the Fama-French factors · Glossary: Arbitrage pricing theory

Roth and Sharp (2015) · Performance Attribution of Multi-Asset Class Portfolios using BarraOne

Roth, Nancy; Sharp, Nicholas. MSCI, research paper, June 19, 2015; description accessed October 25, 2026. Source

Describes how standard attribution tools were adapted for multi-asset strategies to show the effect of allocating capital across and within asset classes.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays

Rousseeuw and Croux (1993) · Alternatives to the Median Absolute Deviation

Rousseeuw, Peter J.; Croux, Christophe. Journal of the American Statistical Association 88 (424), pp. 1273–1283. doi:10.1080/01621459.1993.10476408

The usual robust scale estimator is MAD = 1.4826 · median |x_i − median x|: simple, fast and very robust (breakdown point 50%), but designed for symmetric distributions and only 37% efficient under normality; the authors propose more efficient estimators.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Robust z-score

Rozeff and Kinney (1976) · Capital market seasonality: The case of stock returns

Rozeff, Michael S.; Kinney, William R.. Journal of Financial Economics 3 (4), pp. 379–402. doi:10.1016/0304-405X(76)90028-3

Early documentation of seasonality in US stock returns, with conspicuously high returns in January.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: January effect

Rozeff (1994) · Lump-Sum Investing versus Dollar-Averaging

Rozeff, Michael S.. The Journal of Portfolio Management 20 (2), pp. 45–50. doi:10.3905/jpm.1994.409474

Lump-sum investing beats staggered investing in most historical periods.

Cited in: Dollar-cost averaging: what the average-cost effect really delivers · Lump sum or dollar-cost averaging: invest a large amount at once or in installments? · Glossary: Lump-sum investing

Rubinstein and Leland (1981) · Replicating Options with Positions in Stock and Cash

Rubinstein, Mark; Leland, Hayne E.. Financial Analysts Journal 37 (4), pp. 63–72. doi:10.2469/faj.v37.n4.63

Options can be replicated with continuously adjusted positions in stock and cash, which is the basis of synthetic portfolio insurance.

Cited in: CPPI: portfolio insurance with cushion, floor and multiplier · Glossary: Portfolio insurance · Glossary: OBPI

Rubinstein (1994) · Implied Binomial Trees

Rubinstein, Mark. The Journal of Finance 49 (3), pp. 771–818. doi:10.1111/j.1540-6261.1994.tb00079.x

Derives risk-neutral probabilities and a matching binomial tree from the prices of European options.

Cited in: Option pricing: where fair option prices come from

Rydén et al. (1998) · Stylized facts of daily return series and the hidden Markov model

Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan. Journal of Applied Econometrics 13 (3), pp. 217–244. doi:10.1002/(sici)1099-1255(199805/06)13:3<217::aid-jae476>3.0.co;2-v

A hidden Markov model with normal components reproduces most of the stylized facts of daily S&P 500 returns, but the parameters vary considerably between subseries in some cases.

Cited in: Regime methodology: how the hidden Markov model works