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Report NEP-RMG-2023-03-06
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:
- Bernardo Freitas Paulo da Costa & Silvana M. Pesenti & Rodrigo S. Targino, 2023, "Risk Budgeting Portfolios from Simulations," Papers, arXiv.org, number 2302.01196, Feb.
- Karl-Friedrich Keunecke & Cay Oertel, 2022, "Volatility modeling of property markets: A note on the distribution of GARCH innovation," ERES, European Real Estate Society (ERES), number 2022_97, Jan.
- Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023, "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers, arXiv.org, number 2302.02769, Feb.
- Rui Ding, 2023, "f-Betas and Portfolio Optimization with f-Divergence induced Risk Measures," Papers, arXiv.org, number 2302.00452, Feb, revised May 2023.
- Vikranth Lokeshwar Dhandapani & Shashi Jain, 2023, "Data-driven Approach for Static Hedging of Exchange Traded Options," Papers, arXiv.org, number 2302.00728, Feb, revised Jan 2024.
- Paul Labonne, 2022, "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2022-23, Oct.
- Al-Jaaf, Aşty, 2022, "Dividend predictability and higher moment risk premia," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 136600, Mar.
- Bikramjit Das & Vicky Fasen-Hartmann, 2023, "Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes," Papers, arXiv.org, number 2301.10423, Jan.
- Hanna Halaburda & David Yermack, 2023, "Bitcoin Mining Meets Wall Street: A Study of Publicly Traded Crypto Mining Companies," NBER Working Papers, National Bureau of Economic Research, Inc, number 30923, Feb.
- Maximilian Konradt, 2023, "Interest Rates and Pension Fund Risk-Taking: New Cross-Country Evidence," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 01-2023, Feb, revised 23 Oct 2025.