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Microeconomics: Decision-Making under Risk & Uncertainty eJournal

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Viewing: 1 - 50 of 6,319 papers

1.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications - The 2010 Edition

Number of pages: 89 Posted: 21 Feb 2010 Last Revised: 23 Aug 2010
Working Paper Series
Aswath Damodaran
New York University - Stern School of Business
Downloads 12,787
2.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 12,497
3.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Working Paper Series
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 11,098
4.

The Tragedy of the Risk-Perception Commons: Culture Conflict, Rationality Conflict, and Climate Change

Temple University Legal Studies Research Paper No. 2011-26, Cultural Cognition Project Working Paper No. 89, Yale Law & Economics Research Paper No. 435, Yale Law School, Public Law Working Paper No. 230
Number of pages: 31 Posted: 24 Jun 2011 Last Revised: 16 Apr 2013
Working Paper Series
Dan M. Kahan, Maggie Wittlin, Ellen Peters, Paul Slovic, Lisa Larrimore Ouellette, Donald Braman and Gregory N. Mandel
Yale University - Law School, University of Nebraska at Lincoln - College of Law, Ohio State University - Psychology Department, Decision Research, Stanford Law School, George Washington University - Law School and Temple University - James E. Beasley School of Law
Downloads 10,755
5.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
Working Paper Series
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

Multiple version iconThere are 3 versions of this paper

Downloads 10,719
6.

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Risk, Vol. 23, No.7, p. 84-89
Number of pages: 28 Posted: 08 Mar 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
Attilio Meucci
ARPM - Advanced Risk and Portfolio Management
Downloads 8,462
7.

Economists' Hubris - The Case of Risk Management

Journal of Financial Transformation, Vol. 28, pp. 25-35, April 2010
Number of pages: 10 Posted: 16 Feb 2010 Last Revised: 17 Mar 2010
Accepted Paper Series
Shahin Shojai and George Feiger
Capco Institute and Aston Business School
Downloads 8,314
8.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
Accepted Paper Series
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 7,786
9.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Victor Haghani and Richard Dewey
Elm Partners and Pimco
Downloads 7,583
10.

Market Risk Premium Used in 2010 by Analysts and Companies: A Survey with 2,400 Answers

Number of pages: 15 Posted: 19 May 2010 Last Revised: 24 May 2010
Working Paper Series
Pablo Fernandez and Javier del Campo Baonza
University of Navarra - IESE Business School and affiliation not provided to SSRN
Downloads 7,498
11.

A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance

Number of pages: 109 Posted: 20 Jul 2004
Working Paper Series
Victor Ricciardi
Goucher College - Department of Business Management
Downloads 6,854
12.

Statistical Risk Models

The Journal of Investment Strategies 6(2) (2017) 1-40
Number of pages: 44 Posted: 15 Feb 2016 Last Revised: 12 Mar 2017
Accepted Paper Series
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 6,538
13.

A Literature Review of Risk Perception Studies in Behavioral Finance: The Emerging Issues

Number of pages: 41 Posted: 25 May 2007
Working Paper Series
Victor Ricciardi
Goucher College - Department of Business Management
Downloads 5,812
14.

Network Structure and Systemic Risk in Banking Systems

Number of pages: 41 Posted: 02 Feb 2011 Last Revised: 25 Apr 2012
Working Paper Series
Rama Cont, Amal Moussa and Edson Bastos e Santos
University of Oxford, Columbia University and Central Bank of Brazil
Downloads 5,515
15.

How Biases Affect Investor Behaviour

The European Financial Review, February-March 2014, pp. 7-10
Number of pages: 4 Posted: 23 Jun 2014
Accepted Paper Series
H. Kent Baker and Victor Ricciardi
American University - Kogod School of Business and Goucher College - Department of Business Management
Downloads 5,170
16.

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 16 Mar 2014
Working Paper Series
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 5,063
17.

Living with Noise: Investing and Valuation in the Face of Uncertainty

Number of pages: 34 Posted: 20 Sep 2013
Working Paper Series
Aswath Damodaran
New York University - Stern School of Business
Downloads 5,028
18.

How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies

Journal of Financial Markets, 19, 62-85
Number of pages: 47 Posted: 13 Sep 2009 Last Revised: 10 Jul 2014
Accepted Paper Series
Heiko Jacobs, Sebastian Müller and Martin Weber
University of Duisburg-Essen, Campus Essen, German Graduate School of Management and Law and University of Mannheim - Department of Banking and Finance
Downloads 4,682
19.

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Working Paper Series
Andrew W. Lo and Mark T. Mueller
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics

Multiple version iconThere are 2 versions of this paper

Downloads 4,567
20.

What if 8% is Really 0%? Pension Funds Investing with Fingers-Crossed and Eyes Closed

Cambria Quantitative Research Monthly, Issue 2, June 2011
Number of pages: 9 Posted: 13 Jun 2011 Last Revised: 20 Jun 2011
Accepted Paper Series
Meb Faber
Cambria Investment Management
Downloads 4,486
21.

Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly

NYU Working Paper No. 2451/29593
Number of pages: 26 Posted: 06 Apr 2010 Last Revised: 10 Sep 2013
Working Paper Series
Malcolm P. Baker, Brendan Bradley and Jeffrey Wurgler
Harvard Business School, Acadian Asset Management Inc., USA and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 3,956
22.

Perception of Risk Posed by Extreme Events

In: Regulation of Toxic Substances and Hazardous Waste (2nd edition) (Applegate, Gabba, Laitos, and Sachs, Editors), Foundation Press, Forthcoming
Number of pages: 21 Posted: 13 Jul 2013
Accepted Paper Series
Paul Slovic and Elke U. Weber
Decision Research and Columbia Business School - Management & Psychology
Downloads 3,817
23.

Heterotic Risk Models

Wilmott Magazine 2015(80) (2015) 40-55
Number of pages: 41 Posted: 30 Apr 2015 Last Revised: 25 Jan 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 3,718
24.

Deriving the Pricing Power of Product Features by Mining Consumer Reviews

Management Science, Forthcoming, NET Institute Working Paper No. 07-36
Number of pages: 36 Posted: 27 Oct 2007 Last Revised: 06 May 2011
Accepted Paper Series
Nikolay Archak, Anindya Ghose and Panagiotis G. Ipeirotis
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University - Leonard N. Stern School of Business
Downloads 3,551
25.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
Working Paper Series
Chia-Lin Chang, Juan-Angel Jiménez-Martin, Michael McAleer and Teodosio Perez Amaral
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,454
26.

Signaling in Equity Crowdfunding

Number of pages: 49 Posted: 15 Oct 2012 Last Revised: 05 Oct 2014
Working Paper Series
Gerrit Ahlers, Douglas J. Cumming, Christina Guenther and Denis Schweizer
A.T. Kearney GmbH, Florida Atlantic University, Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics and Concordia University

Multiple version iconThere are 3 versions of this paper

Downloads 3,450
27.

Basel III Accord: Where Do We Go From Here?

Number of pages: 12 Posted: 18 Oct 2010
Working Paper Series
Peter Went
CLS Bank International
Downloads 3,323
28.

What Doesn't Kill You Will Only Make You More Risk-Loving: Early-Life Disasters and CEO Behavior

Number of pages: 80 Posted: 11 Apr 2014 Last Revised: 01 Oct 2015
Working Paper Series
Gennaro Bernile, Vineet Bhagwat and P. Raghavendra Rau
University of Miami - Department of Finance, George Washington University - Department of Finance and University of Cambridge

Multiple version iconThere are 2 versions of this paper

Downloads 3,256
29.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Benjamin Bruder and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 3,210
30.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 3,100
31.

Shadow Insurance

Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50 Posted: 06 Sep 2013 Last Revised: 19 May 2016
Accepted Paper Series
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,010
32.

The ABCs of Hedge Funds: Alphas, Betas, & Costs

Number of pages: 26 Posted: 01 Apr 2010 Last Revised: 23 Apr 2010
Working Paper Series
Roger G. Ibbotson, Peng Chen and Kevin X. Zhu
Yale School of Management, Ibbotson Associates and Hong Kong Polytechnic University
Downloads 2,981
33.

Risk Management in Islamic and Conventional Banks: A Differential Analysis

Journal of Independent Studies and Research, Vol. 7, No. 2, pp. 67-70, July 2009
Number of pages: 13 Posted: 03 Jan 2010
Accepted Paper Series
Amanat Ali Jalbani and Salman Ahmed Ahmed Shaikh
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) and Szabist, Karachi
Downloads 2,666
34.

The Psychology of Risk: The Behavioral Finance Perspective

HANDBOOK OF FINANCE: VOLUME 2: INVESTMENT MANAGEMENT AND FINANCIAL MANAGEMENT, Frank J. Fabozzi, ed., John Wiley & Sons, pp. 85-111, 2008
Number of pages: 28 Posted: 07 Jul 2008 Last Revised: 04 Oct 2013
Accepted Paper Series
Victor Ricciardi
Goucher College - Department of Business Management
Downloads 2,634
35.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
Emmanuel Jurczenko, Thierry Michel and Jerome Teiletche
Ecole hoteliere de Lausanne, Lombard Odier & Cie and Unigestion
Downloads 2,611
36.

Advantages and Disadvantages of Scenario Approaches for Strategic Foresight

International Journal Technology Intelligence and Planning, Vol. 1, No. 2, pp. 220-239, 2005
Number of pages: 20 Posted: 08 Jan 2011
Accepted Paper Series
Dana Mietzner and Guido Reger
Technical University of Applied Sciences Wildau and University of Applied Sciences Brandenburg - Institute for Innovation and Internationalization
Downloads 2,598
37.

CEO Gender, Corporate Risk-Taking, and the Efficiency of Capital Allocation

Number of pages: 51 Posted: 14 Mar 2012 Last Revised: 16 Feb 2016
Working Paper Series
Mara Faccio, Maria‐Teresa Marchica and Roberto Mura
Purdue University - Krannert School of Management, University of Manchester - Alliance Manchester Business School and University of Manchester - Manchester Business School
Downloads 2,588
38.

Executive Compensation and Risk Taking

FRB of New York Staff Report No. 456
Number of pages: 44 Posted: 07 Jul 2010 Last Revised: 14 Nov 2011
Working Paper Series
Patrick Bolton, Hamid Mehran and Joel D. Shapiro
Columbia Business School - Department of Economics, Independent and University of Oxford - Said Business School
Downloads 2,565
39.

Managing Risk Management

AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 18 Mar 2011 Last Revised: 20 Dec 2013
Working Paper Series
Gordon M. Bodnar, Erasmo Giambona, John R. Graham, Campbell R. Harvey and Richard C. Marston
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University, Duke University - Fuqua School of Business and University of Pennsylvania - Finance Department
Downloads 2,521
40.

Do Dark Pools Harm Price Discovery?

Forthcoming, Review of Financial Studies
Number of pages: 53 Posted: 16 Dec 2010 Last Revised: 16 Nov 2013
Accepted Paper Series
Haoxiang Zhu
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,509
41.

Psychology and the Financial Crisis of 2007-2008

Number of pages: 16 Posted: 18 Jan 2011 Last Revised: 03 Sep 2011
Working Paper Series
Nicholas Barberis
Yale School of Management
Downloads 2,501
42.

The Loss of Loss Aversion: Will It Loom Larger Than Its Gain?

Journal of Consumer Psychology, Forthcoming
Number of pages: 59 Posted: 09 Oct 2017 Last Revised: 26 Apr 2018
Accepted Paper Series
David Gal and Derek Rucker
University of Illinois at Chicago and Northwestern University - Kellogg School of Management
Downloads 2,479
43.

Principal Components as a Measure of Systemic Risk

Number of pages: 30 Posted: 05 Apr 2010
Working Paper Series
Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,454
44.

Men, Women and Risk Aversion: Experimental Evidence

HANDBOOK OF EXPERIMENTAL ECONOMICS RESULTS, Vol. 1, Ch.113, pp. 1061-1073, C. Plott, V. Smith, eds., New York, Elsevier, 2008
Number of pages: 16 Posted: 12 Jul 2011
Accepted Paper Series
Catherine C. Eckel and Philip J. Grossman
Texas A&M University and Monash University - Department of Economics
Downloads 2,429
45.

Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 16 Mar 2014
Working Paper Series
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 2,367
46.

Uncertainty about Government Policy and Stock Prices

Chicago Booth Research Paper No. 10-25, Fama-Miller Working Paper Series
Number of pages: 54 Posted: 16 Jun 2010 Last Revised: 06 Sep 2012
Accepted Paper Series
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,291
47.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).,
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,265
48.

Behavioral Biases of Mutual Fund Investors

Journal of Financial Economics (JFE), Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 69 Posted: 20 Mar 2008 Last Revised: 19 Jul 2010
Accepted Paper Series
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - School of Business Administration and Cornell University
Downloads 2,199
49.

From Nobel Prize to Project Management: Getting Risks Right

Project Management Journal, vol. 37, no. 3, pp. 5-15
Number of pages: 32 Posted: 23 Mar 2013 Last Revised: 12 Jun 2013
Accepted Paper Series
Bent Flyvbjerg
University of Oxford - Said Business School
Downloads 2,189
50.

Who Fears the HPV Vaccine, Who Doesn't, and Why? An Experimental Study of the Mechanisms of Cultural Cognition

Law and Human Behavior, Vol. 34, pp. 501-16, 2010, Cultural Cognition Project Working Paper No. 38, Harvard Law School Program on Risk Regulation Research Paper No. 08-19, Yale Law School, Public Law Working Paper No. 163
Number of pages: 49 Posted: 17 Jul 2008 Last Revised: 16 Apr 2013
Accepted Paper Series
Dan M. Kahan, Donald Braman, Geoffrey L. Cohen, Paul Slovic and John Gastil
Yale University - Law School, George Washington University - Law School, University of Colorado - Department of Psychology, Decision Research and Pennsylvania State University
Downloads 2,180