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Report NEP-RMG-2017-10-08
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2016, "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk," Papers, arXiv.org, number 1607.00286, Jul, revised Oct 2019.
- Igor Halperin, 2017, "Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions," Papers, arXiv.org, number 1710.01227, Oct.
- J'er^ome Spielmann, 2017, "Classification of the Bounds on the Probability of Ruin for L{\'e}vy Processes with Light-tailed Jumps," Papers, arXiv.org, number 1709.10295, Sep, revised Feb 2018.
- Kamil Kladivko & Mihail Zervos, 2017, "Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging," Papers, arXiv.org, number 1710.00897, Oct.
- Jinglun Yao & Sabine Laurent & Brice B'enaben, 2017, "Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation," Papers, arXiv.org, number 1710.00859, Oct.
- Torchiani, Ingo & Heidorn, Thomas & Schmaltz, Christian, 2017, "An integrated shortfall measure for Basel III," Discussion Papers, Deutsche Bundesbank, number 26/2017.
- Zachariah Peterson, 2017, "Kelly's Criterion in Portfolio Optimization: A Decoupled Problem," Papers, arXiv.org, number 1710.00431, Oct, revised Feb 2018.
- Chung-Han Hsieh & B. Ross Barmish, 2017, "On Drawdown-Modulated Feedback Control in Stock Trading," Papers, arXiv.org, number 1710.01503, Oct.
- Chung-Han Hsieh & B. Ross Barmish, 2017, "On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important," Papers, arXiv.org, number 1710.01501, Oct, revised Aug 2018.
- Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks," Working Papers, University of Pretoria, Department of Economics, number 201767, Sep.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Tetsuya Kaji, 2016, "Extremal Quantile Regression: An Overview," Papers, arXiv.org, number 1612.06850, Dec, revised Feb 2017.
- Chung-Han Hsieh & B. Ross Barmish, 2017, "On Kelly Betting: Some Limitations," Papers, arXiv.org, number 1710.01787, Oct.
- Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz, 2017, "The Chebyshev method for the implied volatility," Papers, arXiv.org, number 1710.01797, Oct.
- Item repec:vuw:vuwecf:6633 is not listed on IDEAS anymore