NEP-RMG-2004-03-14

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Report NEP-RMG-2004-03-14

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were anounced in this report:

SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, EconWPA. [Downloadable!]
Robert J. Shiller, 2003. "The Invention of Inflation-Indexed Bonds in Early America," Cowles Foundation Discussion Papers 1442, Cowles Foundation, Yale University. [Downloadable!]
Engström, Stefan, 2004. "Investment Strategies, Fund Performance and Portfolio Characteristics," Working Paper Series in Economics and Finance 554, Stockholm School of Economics. [Downloadable!]
Lence, Sergio H. & Hayes, Dermot J., 2004. "Empirical Minimum Variance Hedge (The)," Staff General Research Papers 11565, Iowa State University, Department of Economics. [Downloadable!]
Item repec:att:belgnw:200442 is not listed on IDEAS anymore
Thilo Pausch & Gerhard Schweimayer, 2004. "Hedging with Credit Derivatives and its Strategic Role in Banking Competition," Discussion Paper Series 260, Universitaet Augsburg, Institute for Economics. [Downloadable!]
Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary, University of London, Department of Economics. [Downloadable!]
Engström, Stefan, 2004. "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," Working Paper Series in Economics and Finance 553, Stockholm School of Economics. [Downloadable!]
Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004. [Downloadable!]
Asgharian, Hossein, 2004. "A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors," Working Papers 2004:10, Lund University, Department of Economics. [Downloadable!]
Oliver Linton & Yoon-Jae Whang, 2004. "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers 1454, Cowles Foundation, Yale University. [Downloadable!]
P.J.G. Vlaar & A.H.J. den Reijer, 2003. "Forecasting inflation: An art as well as a science!," DNB Staff Reports (discontinued) 107, Netherlands Central Bank. [Downloadable!]
Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006. [Downloadable!]
Item repec:wpa:wuwpma:0312012 is not listed on IDEAS anymore
Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]

This page was last updated on 2009-11-15.

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