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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …
Persistent link: https://www.econbiz.de/10009752999
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Optimal foreign exchange risk hedging : a mean variance portfolio approach
Kim, Yun-yeong - In: Theoretical economics letters 3 (2013) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10010239072
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Financial assets, expected return and risk, speculation, uncertainty, and exchange rate determination
Kallianiotis, Ioannis N.; Bianchi, Karen; Arize, … - In: European research studies 23 (2020) 3, pp. 3-30
Persistent link: https://www.econbiz.de/10012286910
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Persistent link: https://www.econbiz.de/10011592734
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Optimal foreign exchange risk hedging : closed form solutions maximizing Leontief utility function
Kim, Yun-Yeong - In: Theoretical economics letters 8 (2018) 14, pp. 2893-2913
Persistent link: https://www.econbiz.de/10011952573
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Global and regional risks in currency returns
Rendon, Jairo A. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-25
Persistent link: https://www.econbiz.de/10012183303
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Studer-Suter, Rahel - In: Journal of international money and finance 74 (2017), pp. 187-208
Persistent link: https://www.econbiz.de/10011787938
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Using deep reinforcement learning with hierarchical risk parity for portfolio optimization
Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16
number of discrete actions, representing low-level agents. For the low-level agents, we use a set of Hierarchical Risk Parity … (HRP) and Hierarchical Equal Risk Contribution (HERC) models with different hyperparameters, which all run in parallel, off …, representing low-level agents. For the low-level agents, we use a set of Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk …
Persistent link: https://www.econbiz.de/10013545887
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SinkRank : an algorithm for identifying systemically important banks in payment systems
Soramäki, Kimmo; Cook, Samantha - 2013
The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very valuable for regulators of the financial system. One important part of the financial system is the interbank payment system. This paper develops a robust measure, SinkRank, that...
Persistent link: https://www.econbiz.de/10009759774
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Variations in liquidity provision in real-time payment systems
Denbee, Edward; Garratt, Rod; Zimmerman, Peter - 2014
Persistent link: https://www.econbiz.de/10010497709