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Report NEP-RMG-2022-01-24
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:
- Pengyu Wei & Zuo Quan Xu, 2021, "Dynamic growth-optimum portfolio choice under risk control," Papers, arXiv.org, number 2112.14451, Dec.
- Václav Brož & Evžen Kocenda & Evžen Kočenda, 2021, "Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks," CESifo Working Paper Series, CESifo, number 9463.
- Riccardo Lucchetti & Mihaela Nicolau & Giulio Palomba & Luca Riccetti, 2022, "Reconciling TEV and VaR in Active Portfolio Management: A New Frontier," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 461, Jan.
- Viet Anh Nguyen & Soroosh Shafiee & Damir Filipovi'c & Daniel Kuhn, 2021, "Mean-Covariance Robust Risk Measurement," Papers, arXiv.org, number 2112.09959, Dec, revised Oct 2025.
- Tobias Fissler & Michael Merz & Mario V. Wuthrich, 2021, "Deep Quantile and Deep Composite Model Regression," Papers, arXiv.org, number 2112.03075, Dec.
- Jianming Xia, 2021, "Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures," Papers, arXiv.org, number 2112.02284, Dec.
- Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021, "CBI-time-changed L\'evy processes for multi-currency modeling," Papers, arXiv.org, number 2112.02440, Dec, revised Jul 2022.
- Antoine Jacquier & Aitor Muguruza & Alexandre Pannier, 2021, "Rough multifactor volatility for SPX and VIX options," Papers, arXiv.org, number 2112.14310, Dec, revised Nov 2023.
- Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2021, "Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate," Papers, arXiv.org, number 2112.06602, Dec.
- Karun Adusumilli, 2021, "Risk and optimal policies in bandit experiments," Papers, arXiv.org, number 2112.06363, Dec, revised May 2025.
- Guijin Son & Joocheol Kim, 2021, "Neural Networks for Delta Hedging," Papers, arXiv.org, number 2112.10084, Dec.
- Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee, 2022, "Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form," Working Papers, University of Pretoria, Department of Economics, number 202204, Jan.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022, "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-01, Jan.