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Microeconomics: Decision-Making under Risk & Uncertainty eJournal

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Viewing: 1 - 50 of 7,202 papers

1.

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
Quantigic Solutions LLC
Downloads 14,919
2.

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
New York University - Stern School of Business
Downloads 12,887
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
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads 11,818
4.

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
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 11,583
5.

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

Temple University Legal Studies Research Paper No. 2011-26
Number of pages: 31 Posted: 24 Jun 2011 Last Revised: 16 Apr 2013
Working Paper Series
Yale University - Law School, Fordham University School 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 11,521
6.

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: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 10,506
7.

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

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Royal Bridge Capital
Downloads 9,088
8.

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
ARPM - Advanced Risk and Portfolio Management
Downloads 8,725
9.

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
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 8,375
10.

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
Capco Institute and Aston Business School
Downloads 8,369
11.

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
IESE Business School and affiliation not provided to SSRN
Downloads 7,710
12.
Downloads 7,160
13.

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
American University - Kogod School of Business and Washington and Lee University
Downloads 6,430
14.

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

Number of pages: 41 Posted: 25 May 2007
Working Paper Series
Washington and Lee University
Downloads 6,069
15.

Network Structure and Systemic Risk in Banking Systems

Number of pages: 41 Posted: 02 Feb 2011 Last Revised: 25 Apr 2012
Working Paper Series
University of Oxford, Columbia University and Central Bank of Brazil
Downloads 5,980
16.

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
University of Duisburg-Essen, Campus Essen, Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 5,400
17.

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

Number of pages: 34 Posted: 20 Sep 2013
Working Paper Series
New York University - Stern School of Business
Downloads 5,356
18.

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper No. 148
Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 23 Dec 2019
Working Paper Series
University of Warwick - Finance Group and University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 5,093
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
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 4,778
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
Cambria Investment Management
Downloads 4,579
21.

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
Decision Research and Princeton University - Department of Psychology
Downloads 4,517
22.

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
Harvard Business School, Acadian Asset Management Inc., USA and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 4,240
23.

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
Technical University of Applied Sciences Wildau and University of Applied Sciences Brandenburg - Institute for Innovation and Internationalization
Downloads 4,219
24.

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
Quantigic Solutions LLC
Downloads 4,168
25.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 3,714
26.

Signaling in Equity Crowdfunding

Number of pages: 49 Posted: 15 Oct 2012 Last Revised: 05 Oct 2014
Working Paper Series
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 3,701
27.

Deriving the Pricing Power of Product Features by Mining Consumer Reviews

Management Science, Forthcoming
Number of pages: 36 Posted: 27 Oct 2007 Last Revised: 06 May 2011
Accepted Paper Series
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 3,609
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
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 3,559
29.

Basel III Accord: Where Do We Go From Here?

Number of pages: 12 Posted: 18 Oct 2010
Working Paper Series
CLS Bank International
Downloads 3,551
30.

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
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 3,492
31.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads 3,397
32.

Shadow Insurance

Econometrica, Vol. 84, No. 3, 2016
Number of pages: 50 Posted: 06 Sep 2013 Last Revised: 19 May 2016
Accepted Paper Series
University of Chicago - Booth School of Business and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,202
33.

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

Number of pages: 26 Posted: 01 Apr 2010 Last Revised: 23 Apr 2010
Working Paper Series
Yale School of Management, Ibbotson Associates and Hong Kong Polytechnic University
Downloads 3,117
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
Washington and Lee University
Downloads 3,076
35.

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
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) and Szabist, Karachi
Downloads 2,966
36.

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
University of Oxford - Said Business School
Downloads 2,931
37.

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
University of Illinois at Chicago and Northwestern University - Kellogg School of Management
Downloads 2,895
38.

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
Texas A&M University and Monash University - Department of Economics
Downloads 2,796
39.

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
Purdue University - Krannert School of Management, University of Manchester - Alliance Manchester Business School and University of Manchester - Manchester Business School
Downloads 2,778
40.

Managing Risk Management

AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 18 Mar 2011 Last Revised: 20 Dec 2013
Working Paper Series
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 2,741
41.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
Glion Institute of Higher Education, Lombard Odier & Cie and Unigestion
Downloads 2,730
42.

Psychology and the Financial Crisis of 2007-2008

Number of pages: 16 Posted: 18 Jan 2011 Last Revised: 03 Sep 2011
Working Paper Series
Yale School of Management
Downloads 2,712
43.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,682
44.

Principal Components as a Measure of Systemic Risk

Number of pages: 30 Posted: 05 Apr 2010
Working Paper Series
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,660
45.

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
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,604
46.

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
Columbia Business School - Department of Economics, Independent and University of Oxford - Said Business School
Downloads 2,603
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
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,445
48.

Playing It Safe? Managerial Preferences, Risk, and Agency Conflicts

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 68 Posted: 14 Jul 2014 Last Revised: 21 Jul 2016
Accepted Paper Series
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads 2,443
49.

Uncertainty about Government Policy and Stock Prices

Chicago Booth Research Paper No. 10-25
Number of pages: 54 Posted: 16 Jun 2010 Last Revised: 06 Sep 2012
Accepted Paper Series
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 2,400
50.

Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

WBS Finance Group Research Paper No. 190
Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 26 Dec 2019
Working Paper Series
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 2,380