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Levin-Konigsberg, Gabriel; Stein, Hillary; García … - 2023 - This version: July 2023

Even though financial risk management has the ability to generate value, the use of financial derivatives among nonfinancial corporations remains limited. We identify a channel that contributes to this limited use: the decoupling of derivatives losses and operational gains. Specifically, firms...

Persistent link: https://www.econbiz.de/10014414181

Asset integration, risk taking and loss aversion in the laboratory

Morrison, William G.; Oxoby, Robert J. - 2019

We report on a laboratory experiment testing for the presence of loss aversion, as separate from risk aversion …, utilizing an asset integration protocol designed to ensure that a loss of cash provided by the experimenter is viewed as a real … loss by experimental participants. Our experimental design augments the Holt-Laury risk preference elicitation methodology …

Persistent link: https://www.econbiz.de/10011997618

Sparse and stable international portfolio optimization and currency risk management

Burkhardt, Raphael; Ulrych, Urban - 2022 - This Version: January 2022

This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...

Persistent link: https://www.econbiz.de/10012800968

When to walk away and when to risk it all

DeAngelis, Scott; Viscusi, W. Kip - In: Journal of sports economics 21 (2020) 5, pp. 525-547

Persistent link: https://www.econbiz.de/10012216179

Loss Aversion Leads to Fatalistic Management of Interdependent Risk

Eling, Martin; Jung, Kwangmin - 2022

utility loss aversion and interdependent risk, a combination that—to the best of our knowledge—has not been examined in the … insurance markets. This result holds for low and high levels of dependence. The higher the degree of loss aversion, the lower is …

Persistent link: https://www.econbiz.de/10013492276

When Growth Beats Value : Removing Tail Risk From Global Equity Momentum Strategies

Clare, Andrew - 2018

We investigate the relationship between Value, Growth and two forms of Momentum across a wide range of developed and emerging international equity markets using MSCI total return ‘smart beta' indices. As would be anticipated, Value generally beats Growth. A distinction is then made between...

Persistent link: https://www.econbiz.de/10012937972

The Ten Commandments of Risk Leadership : A Behavioral Guide on Strategic Risk Management

Hofmann, Annette - 2022

1. Introduction -- 2. Risk and Risk Perception: Why we are not Rational in the Face of Risk -- 3. Expected Utility, Prospect Theory, and the Allais Paradox: Why Reference Points are Important -- 4. Confirmation Bias and Anchoring Effect: Why the First Piece of Information is Key in Negotiations...