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. 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:

• Nicolás Salamanca & Andries de Grip & Olaf Sleijpen, 2020. "How People React to Pension Risk," Melbourne Institute Working Paper Series wp2020n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• Mohammed Abdellaoui & Enrico Diecidue & Emmanuel Kemel & Ayse Onculer, 2022. "Temporal Risk Resolution: Utility vs. Probability Weighting Approaches," Post-Print hal-03507084, HAL.
• Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022. "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers 202203, University of Pretoria, Department of Economics.
• 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 2022/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2022.
• Ion LAPTEACRU, 2022. "What drives the risk of European banks during crises? New evidence and insights," Bordeaux Economics Working Papers 2022-02, Bordeaux School of Economics (BSE).
• Yuanrong Wang & Tomaso Aste, 2021. "Dynamic Portfolio Optimization with Inverse Covariance Clustering," Papers 2112.15499, arXiv.org, revised Jan 2022.
• Zyed Achour, 2021. "Board Gender Diversity and Firm Risk," Post-Print hal-03471445, HAL.
• Markus K. Brunnermeier & Sebastian A. Merkel & Yuliy Sannikov, 2022. "Debt as Safe Asset," NBER Working Papers 29626, National Bureau of Economic Research, Inc.
• Farshad Noravesh & Kristiaan Kerstens, 2022. "Some connections between higher moments portfolio optimization methods," Papers 2201.00205, arXiv.org.
• Aase, Knut K., 2021. "Optimal Risk Sharing in Society," Discussion Papers 2021/10, Norwegian School of Economics, Department of Business and Management Science.
• Farshad Noravesh, 2022. "Sparse Non-Convex Optimization For Higher Moment Portfolio Management," Papers 2201.01227, arXiv.org, revised Jan 2022.
• Zhiguo He & Jian Li, 2022. "Intermediation via Credit Chains," NBER Working Papers 29632, National Bureau of Economic Research, Inc.
• Javad T. Firouzjaee & Pouriya Khaliliyan, 2022. "The Interpretability of LSTM Models for Predicting Oil Company Stocks: Impact of Correlated Features," Papers 2201.00350, arXiv.org, 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 2021.13, Bank of Israel.
• Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
• Naji Massad & Jørgen Vitting Andersen, 2020. "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print halshs-03483251, HAL.
• 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 1153, DIW Berlin, The German Socio-Economic Panel (SOEP).
• 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 2022/002, International Monetary Fund.
• 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 2022-02, Faculty of Economics and Statistics, Universität Innsbruck.
• Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, 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 2021-033, African Real Estate Society (AfRES).