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Report NEP-FMK-2023-08-14
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Jaydip Sen & Subhasis Dasgupta, 2023, "Portfolio Optimization: A Comparative Study," Papers, arXiv.org, number 2307.05048, Jul.
- David Xiao, 2023, "Valuation of Equity Linked Securities with Guaranteed Return," Papers, arXiv.org, number 2306.15026, Jun.
- Qi Deng & Zhong-guo Zhou, 2023, "Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity," Papers, arXiv.org, number 2306.15807, Jun, revised Feb 2024.
- Christophe Boucher & Wassim Le Lann & Stéphane Matton & Sessi Tokpavi, 2024, "Are ESG ratings informative to forecast idiosyncratic risk?," Working Papers, HAL, number hal-04140193, Jun.
- Mikhail Chernov & Magnus Dahlquist, 2023, "Currency Risk Premiums: A Multi-horizon Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 31418, Jun.
- Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023, "Testing for Multi-Asset Systemic Tail Risk," Working Papers, Federal Reserve Bank of St. Louis, number 2023-016, Jul, revised 09 Sep 2025, DOI: 10.20955/wp.2023.016.
- David Xiao, 2023, "Generic Forward Curve Dynamics for Commodity Derivatives," Papers, arXiv.org, number 2306.12921, Jun.
- Zhenhan Huang & Fumihide Tanaka, 2023, "A Scalable Reinforcement Learning-based System Using On-Chain Data for Cryptocurrency Portfolio Management," Papers, arXiv.org, number 2307.01599, Jul.