SSRN Microeconomics: Decision-Making under Risk & Uncertainty eJournal

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 12,667

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 10,464

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 - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics

Downloads 10,128

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 10,011

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

There are 3 versions of this paper

Downloads 9,591

6.

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 8,254

7.

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 8,074

8.

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 7,278

9.

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 Guggenheim Partners, LLC

Downloads 6,664

10.

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 6,559

11.

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 5,741

12.

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 5,589

13.

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

There are 2 versions of this paper

Downloads 5,008

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

Imperial College London, Columbia University and Central Bank of Brazil

Downloads 4,930

15.

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 4,629

16.

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 4,457

17.

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 4,403

18.

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

There are 2 versions of this paper

Downloads 4,396

19.

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 4,385

20.

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 Mannheim, Finance Department, German Graduate School of Management and Law and University of Mannheim - Department of Banking and Finance

Downloads 3,995

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

There are 3 versions of this paper

Downloads 3,734

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 3,513

23.

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 3,499

24.

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 3,403

25.

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 3,228

26.

Signaling in Equity Crowdfunding

Number of pages: 49 Posted: 15 Oct 2012 Last Revised: 05 Oct 2014

Working Paper Series

Gerrit K.C. Ahlers, Douglas J. Cumming, Christina Guenther and Denis Schweizer

A.T. Kearney GmbH, York University - Schulich School of Business, Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics and Concordia University

There are 3 versions of this paper

Downloads 3,111

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 3,101

28.

The Risk Externalities of Too Big to Fail

Physica A: Statistical Mechanics and its Applications 389 (17), 3503-3507

Number of pages: 8 Posted: 01 Nov 2009 Last Revised: 26 Jun 2017

Accepted Paper Series

Nassim Nicholas Taleb and Charles S. Tapiero

NYU-Tandon School of Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Downloads 3,015

29.

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 - School of Business Administration, George Washington University - Department of Finance and University of Cambridge

There are 2 versions of this paper

Downloads 2,888

30.

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 2,837

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

New York University (NYU) - Department of Finance and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 2,790

32.

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 2,728

33.

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 Clark University - Graduate School of Management

Downloads 2,625

34.

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 Shaikh

Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) and National University of Malaysia, Faculty of Economics and Management, School of Economics

Downloads 2,509

35.

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 2,484

36.

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

ESCP Europe, Lombard Odier & Cie and Unigestion

Downloads 2,435

37.

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 2,383

38.

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 - Manchester Business School and University of Manchester - Manchester Business School

Downloads 2,354

39.

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 2,353

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 2,317

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 2,275

42.

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 2,259

43.

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 2,185

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 2,165

45.

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

There are 4 versions of this paper

Downloads 2,114

46.

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 2,074

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

There are 2 versions of this paper

Downloads 2,059

48.

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76

Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012

Working Paper Series

Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel

Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business

There are 3 versions of this paper

Downloads 1,982

49.

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 1,974

50.

No Good Deals — No Bad Models

FRB of New York Staff Report No. 589, 26th Australasian Finance and Banking Conference 2013

Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014

Working Paper Series

Nina Boyarchenko, Mario Cerrato, John Crosby and Stewart D. Hodges

Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Technology Sydney Business School and University of Warwick - Financial Options Research Centre (FORC)

Downloads 1,955

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