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Alan Greenspan, the quants and stochastic optimal control
Stein, Jerome L. - 2010
Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...
Persistent link: https://www.econbiz.de/10010300502
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Cash management and payment choices: A simulation model with international comparisons
Arango, Carlos; Bouhdaoui, Yassine; Bounie, David; … - 2013
develops a simulation model to test whether standard implications of the theory on cash management and payment choices can …
Persistent link: https://www.econbiz.de/10010335685
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Improving the efficiency of payments systems using quantum computing
McMahon, Christopher; McGillivray, Donald; Desai, Ajit; … - 2022
High-value payment systems (HVPSs) are typically liquidity-intensive because the payment requests are indivisible and settled on a gross basis. Finding the right order in which payments should be processed to maximize the liquidity efficiency of these systems is an NP-hard combinatorial...
Persistent link: https://www.econbiz.de/10014544525
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Risk in agriculture as impediment to rural lending: the case of North-Western Kazakhstan
Petrick, Martin; Ditges, C. Markus - 2000
On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason …Auf Grundlage der Portfolio selection-Theorie kommt dieser Beitrag zu dem Ergebnis, dass das einzelbetriebliche Risiko … Risikomanagement-Strategien zu illustrieren. Obwohl es bestimmte Politikoptionen zur Verminderung des Risikos in der Landwirtschaft in …
Persistent link: https://www.econbiz.de/10010299418
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10010266065
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Integrated assessment of climate catastrophes with endogenous uncertainty: Does the risk of ice sheet collapse justify precautionary mitigation?
Diaz, Delavane B. - 2015
Greenhouse gas policies confront the trade-off between the costs of reducing emissions and the benefits of avoided climate change. The risk of uncertain and potentially irreversible catastrophes is an important issue related to the latter, and one that has not yet been well incorporated into...
Persistent link: https://www.econbiz.de/10011307301
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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus
Framstad, Nils Chr. - 2013
approach of Khanna and Kulldorff (Finance Stoch. 3 (1999), pp. 167-185) down to multivariate distributions theory, stochastic …
Persistent link: https://www.econbiz.de/10010330268
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Dynamic exepectation theory: Insights for market participants
Herzog, Bodo - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-14
This paper develops a new methodology in order to study the role of dynamic expectations. Neither reference-point theories nor feedback models are sufficient to describe human expectations in a dynamic market environment. We use an interdisciplinary approach and demonstrate that expectations of...
Persistent link: https://www.econbiz.de/10012611121
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Spatially-aggregated temperature derivatives: Agricultural risk management in China
Zong, Lu; Ender, Manuela - In: International Journal of Financial Studies 4 (2016) 3, pp. 1-17
In this paper, a new form of weather derivative contract, namely the climatic zone-based growth degree-day (GDD) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to reduce the model dimension of multi-regional...
Persistent link: https://www.econbiz.de/10011709012
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Market dynamics, dynamic resource management and environmental policy in the context of (strong) sustainability
Klarl, Torben - 2010
In this paper, we investigate the relationship between market dynamics, dynamic resource management and environmental policy. In contrast to static market entry games, this paper draws attention to the effects of market dynamics on resource dynamics et vice versa, because (1) we show that...
Persistent link: https://www.econbiz.de/10010291746