Report NEP-RMG-2004-12-12

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main.
• Item repec:wpa:wuwpfi:0411044 is not listed on IDEAS anymore

• Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, University Library of Munich, Germany.
• Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Nicole Branger & Angelika Esser & Christian Schlag, 2004. "When Are Static Superhedging Strategies Optimal?," Working Paper Series: Finance and Accounting 138, Department of Finance, Goethe University Frankfurt am Main.
• Item repec:wpa:wuwpfi:0411043 is not listed on IDEAS anymore

• Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research and International Relations Area.
• Junko Shimizu & Eiji Ogawa, 2004. "Risk Properties of AMU denominated Asian Bonds," Hi-Stat Discussion Paper Series d04-45, Institute of Economic Research, Hitotsubashi University.
• Davies, G.B. & Satchell, S.E., 2004. "Continuous Cumulative Prospect Theory and Individual Asset Allocation," Cambridge Working Papers in Economics 0467, Faculty of Economics, University of Cambridge.
• Ronald Goettler & Phillip Leslie, 2003. "Cofinancing to Manage Risk in the Motion Picture Industry," GSIA Working Papers 2003-E34, Carnegie Mellon University, Tepper School of Business.
• Jaap Bikker & Paul Metzemakers, 2004. "Is bank capital procyclical? A cross-country analysis," DNB Working Papers 009, Netherlands Central Bank, Research Department.
• Item repec:fmg:fmgdps:dp524 is not listed on IDEAS anymore

• Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
• Marta_Cardin & Paola_Ferretti, 2004. "Some theory of bivariate risk attitude," Game Theory and Information 0411009, University Library of Munich, Germany.
• Guerdjikova, Ani, 2004. "Asset Prices in an Overlapping Generations Model with Case-Based Decision Makers with Short Memory," Sonderforschungsbereich 504 Publications 04-44, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Guerdjikova, Ani, 2004. "Evolution of Wealth and Asset Prices in Markets with Case-Based Investors," Sonderforschungsbereich 504 Publications 04-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Chiona Balfoussia & Michael Wickens & Michael R. Wickens, 2004. "Macroeconomic Sources of Risk in the Term Structure," CESifo Working Paper Series 1329, CESifo.
• Fernando A. Broner & R. Gaston Gelos & Carmen Reinhart, 2004. "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," NBER Working Papers 10941, National Bureau of Economic Research, Inc.
• Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Cahiers de la Maison des Sciences Economiques b04050, Université Panthéon-Sorbonne (Paris 1).
• Michael Gallmeyer & Burton Hollifield & Duane Seppi, "undated". "Liquidity Discovery and Asset Pricing," GSIA Working Papers 2004-10, Carnegie Mellon University, Tepper School of Business.