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A quantum derivation of a reputational risk premium
Piñeiro Chousa, Juan Ramón; Vizcaíno-González, Marcos - In: International review of financial analysis 47 (2016), pp. 304-309
Persistent link: https://www.econbiz.de/10011624199
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Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
Owadally, Iqbal; Jang, Chul; Clare, Andrew D. - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1132-1146
Persistent link: https://www.econbiz.de/10012622446
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Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
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Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27
The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in several prior studies provides more flexibility...
Persistent link: https://www.econbiz.de/10014391590
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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Information-theoretic approach to quantifying currency risk
Fiedor, Pawel; Holda, Artur - In: Journal of risk finance : the convergence of financial … 17 (2016) 1, pp. 93-109
Persistent link: https://www.econbiz.de/10011537513
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A global economic policy uncertainty index from principal component analysis
Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012819228
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Baryonic Beta Dynamics : An Econophysical Model of Systematic Risk
Chen, James Ming - 2018
the most troubling anomalies and puzzles in finance, including abnormal returns on small-cap and value stocks, the low …
Persistent link: https://www.econbiz.de/10012932305
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Baryonic beta dynamics : an econophysical model of systematic risk
Chen, Jim - In: Estudios de economía aplicada : revista promovida por … 36 (2018) 1, pp. 263-276
Persistent link: https://www.econbiz.de/10011972736
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A probabilistic choice model based on Tsallis’ statistics
Takahashi, Taiki - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 335-338
Decision under risk and uncertainty (probabilistic choice) has been attracting attention in econophysics and … directions in the application of the model to studies in econophysics, neurofinance, neuroeconomics, and social physics are …
Persistent link: https://www.econbiz.de/10010588706