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Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the …

Persistent link: https://www.econbiz.de/10010490408

Augmented AI-Knowledge Driven Intelligent Systems for Adversarial-Dynamic Uncertainty and Complexity

Malhotra, Yogesh - 2023

Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...

Persistent link: https://www.econbiz.de/10014256748

Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions

Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks : open access journal 8 (2020) 4/123, pp. 1-21

measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …

Persistent link: https://www.econbiz.de/10012390846

The impact of demographic aging on the investing behavior : the case of Taiwan stock market

Cheng, Ming-Chang; Lee, Chien-Chi - In: Review of Pacific Basin financial markets and policies … 25 (2022) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10014233701

Consumption partial insurance in the presence of tail income risk

Ghosh, Anisha; Theloudis, Alexandros - 2023

Persistent link: https://www.econbiz.de/10014339954

What do data on millions of US workers reveal about life-cycle earnings risk?

Guvenen, Fatih; Karahan, Fatih; Ozkan, Serdar; Song, Jae - 2015

incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis - as high as 30 … compared with 3 for a Gaussian distribution. The high kurtosis implies that, in a given year, most individuals experience very …

Persistent link: https://www.econbiz.de/10010482953