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Report NEP-RMG-2022-02-07
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:
- Nicolás Salamanca & Andries de Grip & Olaf Sleijpen, 2020, "How People React to Pension Risk," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2020n05, Apr.
- Mohammed Abdellaoui & Enrico Diecidue & Emmanuel Kemel & Ayse Onculer, 2022, "Temporal Risk Resolution: Utility vs. Probability Weighting Approaches," Post-Print, HAL, number hal-03507084.
- Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022, "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers, University of Pretoria, Department of Economics, number 202203, Jan.
- Paulo Rotella Junior & Luiz Celio Souza Rocha & Rogerio Santana Peruchi & Giancarlo Aquila & Karel Janda & Edson de Oliveira Pamplona, 2022, "Robust Portfolio Optimization: A Stochastic Evaluation of Worst-Case Scenarios," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/03, Mar, revised Mar 2022.
- Ion LAPTEACRU, 2022, "What drives the risk of European banks during crises? New evidence and insights," Bordeaux Economics Working Papers, Bordeaux School of Economics (BSE), number 2022-02.
- Yuanrong Wang & Tomaso Aste, 2021, "Dynamic Portfolio Optimization with Inverse Covariance Clustering," Papers, arXiv.org, number 2112.15499, Dec, revised Jan 2022.
- Zyed Achour, 2021, "Board Gender Diversity and Firm Risk," Post-Print, HAL, number hal-03471445, Nov, DOI: 10.5772/intechopen.100189.
- Markus K. Brunnermeier & Sebastian A. Merkel & Yuliy Sannikov, 2022, "Debt as Safe Asset," NBER Working Papers, National Bureau of Economic Research, Inc, number 29626, Jan.
- Farshad Noravesh & Kristiaan Kerstens, 2022, "Some connections between higher moments portfolio optimization methods," Papers, arXiv.org, number 2201.00205, Jan.
- Aase, Knut K., 2021, "Optimal Risk Sharing in Society," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2021/10, Dec.
- Farshad Noravesh, 2022, "Sparse Non-Convex Optimization For Higher Moment Portfolio Management," Papers, arXiv.org, number 2201.01227, Jan, revised Jan 2022.
- Zhiguo He & Jian Li, 2022, "Intermediation via Credit Chains," NBER Working Papers, National Bureau of Economic Research, Inc, number 29632, Jan.
- Javad T. Firouzjaee & Pouriya Khaliliyan, 2022, "The Interpretability of LSTM Models for Predicting Oil Company Stocks: Impact of Correlated Features," Papers, arXiv.org, number 2201.00350, Jan, revised Dec 2023.
- Itay Kedmi, 2021, "Does a Change in an Accounting Standard Affect the Risk-Pricing of a Firm?," Bank of Israel Working Papers, Bank of Israel, number 2021.13, Aug.
- Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022, "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers, Toulouse School of Economics (TSE), number 126554, Jan.
- Naji Massad & Jørgen Vitting Andersen, 2020, "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print, HAL, number halshs-03483251, Jun, DOI: 10.1016/j.physa.2020.124464.
- Bernd Fitzenberger & Gary Mena & Jan Nimczik & Uwe Sunde, 2021, "Personality Traits Across the Life Cycle: Disentangling Age, Period, and Cohort Effects," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 1153.
- Mr. Atilla Arda & Mr. Marc C Dobler, 2022, "The Role for Deposit Insurance Funds in Dealing with Failing Banks in the European Union," IMF Working Papers, International Monetary Fund, number 2022/002, Jan.
- Matthias Stefan & Martin Holmén & Felix Holzmeister & Michael Kirchler & Erik Wengström, 2022, "You can’t always get what you want—An experiment on finance professionals' decisions for others," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2022-02, Feb.
- Nick James, 2021, "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers, arXiv.org, number 2112.15321, Dec, revised Mar 2022.
- Daniel Ibrahim Dabara & Job Taiwo Gbadegesin & Abdul-Rasheed Amidu & Tunbosun Biodun Oyedokun & Augustina Chiwuzie, 2021, "Do REITs Hedge against Inflation? Evidence from an African Emerging Market," AfRES, African Real Estate Society (AfRES), number 2021-033, Sep.