We propose a new decomposition of the Gini coefficient inspired by the opportunity egalitarian paradigm. Under the assumption that income is function of circumstances out of individual control, effort and unobservable factors, we identify fair and unfair inequalities as components of the total...

This work presents a new convex risk measure that we call negative quadratic skewness that is an approximation of the negative component of portfolio skewness. This risk measure allows us to increase portfolio skew- ness through the minimization of the negative quadratic skewness. First, we show...

We define a consistent methodology for risk decomposition analysis within a multi-factor risk model framework. We then illustrate an application of this analysis in Risk Attribution Profile (RAP Sheets) reports using the Lehman multi factor credit risk model

In this study, we investigate the relationship between liquidity changes and stock returns in the Japanese stock market. The results confirm that stocks with increased liquidity have higher stock returns than those with decreased liquidity. This phenomenon indicates that the market under-reacts...

I find bitcoin returns react strongly to block duration, i.e. the duration of mining between consecutive blocks. I establish the following new facts: (1) The return differential between long- and short-duration blocks is extremely large (110% p.a.). (2) within long blocks, there are pre-mint...

Recently, papers have started combining the naming of two popular decomposition methods: the Oaxaca-Blinder method and the Kitagawa method, a popular method in demographics and sociology. Although the two approaches have the same objective in terms of decomposing outcome differences in some...