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Behavioral decision making in normative and descriptive views : a critical review of literature
Chai, Junyi; Weng, Zhiquan; Liu, Wenbin - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-14
Recent studies on decision analytics frequently refer to the topic of behavioral decision making (BDM), which focuses … on behavioral components of decision analytics. This paper provides a critical review of literature for re-examining the … relations between BDM and classical decision theories in both normative and descriptive reviews. We attempt to capture several …
Persistent link: https://www.econbiz.de/10012792414
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A new application for the goal programming : the target decision rule for uncertain problems
Gaspars-Wieloch, Helena - In: Journal of risk and financial management : JRFM 13 (2020) 11/280, pp. 1-14
The goal programming (GP) is a well-known approach applied to multi-criteria decision making (M-DM). It has been used … analogies between M-DM under certainty and scenario-based one-criterion decision making under uncertainty (1-DMU) have not been … hybrids for 1-DMU are formulated. They differ from each other in terms of the type of the decision maker considered (pessimist …
Persistent link: https://www.econbiz.de/10012388744
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The standard model of rational risky decision-making
Falahati, Kazem - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-22
Expected utility theory (EUT) is currently the standard framework which formally defines rational decision-making under …
Persistent link: https://www.econbiz.de/10012520657
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Cryptocurrencies, diversification and the COVID-19 pandemic
Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...
Persistent link: https://www.econbiz.de/10013161685
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Dynamic causality analysis of COVID-19 pandemic risk and oil market changes
So, Mike Ka-pui; Chan, Jacky N. L.; Chu, Amanda M. Y. - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-11
Crude oil draws attention in recent research as its demand may indicate world economic growth trend in the post-COVID-19 era. In this paper, we study the dynamic lead-lag relationship between the COVID-19 pandemic and crude oil future prices. We perform rolling-sample tests to evidence whether...
Persistent link: https://www.econbiz.de/10013273581
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The causal nexus of consumer and business confidence indexes in early pandemic period : evidence from OECD countries
Bielova, Inna; Halík, Jaroslav; Ryabushka, Lyudmila - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14
The COVID-19 pandemic has been shown dire consequences for the global economy, not only in the past and present but also in the future. These consequences are not only humanitarian but also financial and economic. This article raises the question of whether the state of the health system is a...
Persistent link: https://www.econbiz.de/10012622815
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S&P 500 index price spillovers around the COVID-19 market meltdown
Lento, Camillo; Gradojevic, Nikola - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13
This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the S&P 500 index, five other financial markets, and the VIX. Frequency domain causalities are estimated for the January-May 2020 time period on a high-frequency data set at five-minute intervals....
Persistent link: https://www.econbiz.de/10012626222
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337
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Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic
Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...
Persistent link: https://www.econbiz.de/10012795039
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Sustainable versus conventional cryptocurrencies in the face of cryptocurrency uncertainty indices : an analysis across time and scales
UI Haq, Inzamam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16
Are conventional and sustainable cryptocurrencies effective hedging instruments for high cryptocurrency uncertainty? This paper examines co-movements between conventional (Bitcoin, Ethereum, Binance Coin, Tether) and sustainable (Cardano, Powerledger, Stellar, Ripple) cryptocurrencies and two...
Persistent link: https://www.econbiz.de/10013471441