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