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Microeconomics: Decision-Making under Risk & Uncertainty eJournal

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Viewing: 1 - 50 of 5,843 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
New York University - Stern School of Business
Downloads 12,686
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
Quantigic Solutions LLC
Downloads 10,794
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 - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 10,309
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
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 10,180
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
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 9,760
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
Capco Institute and Aston Business School
Downloads 8,271
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
ARPM - Advanced Risk and Portfolio Management
Downloads 8,141
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
University of Navarra - IESE Business School and affiliation not provided to SSRN
Downloads 7,312
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
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 6,787
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
Goucher College - Department of Business Management
Downloads 6,604
11.

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 Pimco
Downloads 6,065
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
Goucher College - Department of Business Management
Downloads 5,625
13.

Network Structure and Systemic Risk in Banking Systems

Number of pages: 41 Posted: 02 Feb 2011 Last Revised: 25 Apr 2012
Working Paper Series
Imperial College London, Columbia University and Central Bank of Brazil
Downloads 5,031
14.

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 16 Mar 2014
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 5,027
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
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 4,952
16.

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 Goucher College - Department of Business Management
Downloads 4,489
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 4,488
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
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 4,430
19.

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 4,422
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
University of Mannheim, Finance Department, German Graduate School of Management and Law and University of Mannheim - Department of Banking and Finance
Downloads 4,082
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
Harvard Business School, Acadian Asset Management Inc., USA and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 3,756
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
Decision Research and Columbia Business School - Management & Psychology
Downloads 3,520
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
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 3,503
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
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 3,408
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
Quantigic Solutions LLC
Downloads 3,293
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, York University - Schulich School of Business, 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 3,159
27.

Basel III Accord: Where Do We Go From Here?

Number of pages: 12 Posted: 18 Oct 2010
Working Paper Series
CLS Bank International
Downloads 3,129
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 - School of Business Administration, George Washington University - Department of Finance and University of Cambridge

Multiple version iconThere are 2 versions of this paper

Downloads 2,938
29.

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 2,872
30.

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

Multiple version iconThere are 2 versions of this paper

Downloads 2,829
31.

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 2,806
32.

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 Clark University - Graduate School of Management
Downloads 2,688
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
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) and Greenwich University
Downloads 2,542
34.

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 2,496
35.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
ESCP Europe, Lombard Odier & Cie and Unigestion
Downloads 2,469
36.

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 2,429
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
Purdue University - Krannert School of Management, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 2,397
38.

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 2,389
39.

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 2,360
40.

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
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 2,355
41.

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 2,283
42.

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
Goucher College - Department of Business Management
Downloads 2,254
43.

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 2,187
44.

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
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 2,139
45.

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
Cornell University, University of Miami - School of Business Administration and Cornell University
Downloads 2,090
46.

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 2,090
47.

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
Yale University - Law School, George Washington University - Law School, University of Colorado - Department of Psychology, Decision Research and Pennsylvania State University
Downloads 1,999
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
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

Multiple version iconThere are 3 versions of this paper

Downloads 1,991
49.

Risk Analysis of Accounting Information System Infrastructure

Number of pages: 12 Posted: 15 Feb 2011
Working Paper Series
"Alexandru Ioan Cuza" University - Iaşi, România - Faculty of Economics and Business Administration - Doctoral School of Economics
Downloads 1,988
50.

The Cultures of Risk Tolerance

Number of pages: 23 Posted: 24 Jul 2010
Working Paper Series
Santa Clara University - Department of Finance
Downloads 1,978