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Università della Svizzera italiana

Vers une analyse financière indépendante?

Degeorge, François

In: Revue d'économie financière, 2005, vol. 79, p. 221-227

Nous analysons les activités des analystes financiers et leur valeur ajoutée, les pressions pesant sur l’indépendance des analystes, et l’accord global de 2002 aux Etats-Unis et son impact sur le développement d’une analyse financière indépendante. Les analystes financiers sont potentiellement confrontés à de nombreuses pressions sur leur indépendance. Ces pressions sont...

Università della Svizzera italiana

Homogeneity hypothesis in the context of asset pricing models : the quadratic market model

Barone-Adesi, Giovanni ; Gagliardini, Patrick ; Urga, Giovanni

This paper proposes a two factor model for asset pricing. We formulate a model of asset returns that in addition to the traditional market return term includes also the square of the market return to account for risk originating from coskewness with the market portofolio. The quadratic term is able to account for heterogeneities across portfolios. We conclude that the extra term is significant...

Università della Svizzera italiana

A note on the three-portfolio matching problem

Trojani, Fabio ; Vanini, Paolo ; Vignola, Luigi

A typical problem arising in the financial planning for private investors consists in the fact that the initial investor’s portfolio, the one determined by the consulting process of the financial institution and the universe of instruments made available to the investor have to be matched/optimized when determining the relevant portfolio choice. We call this problem the three-portfolios...

Università della Svizzera italiana

From context to system and back : how systems emerge from actors cognitive and social interactions : a system dynamics perspective

Colombo, Gianluca ; Mollona, Edoardo

In this paper, the system is viewed as a construction based on the actors’ cognitive and social interactions. The system is the result of multiple – actor sense making (Weick 1995), but at the same time it orients social sense making. In this process each actor’s point of view is a representation of both the system and the context perceived as pertinent by the actor. In other words, the...

Università della Svizzera italiana

Optimal decision-making with time diversification

Vanini, Paolo ; Vignola, Luigi

In: European Finance Review, 2002, vol. 6, p. 1-30

One of the most enduring topics in financial theory is the persistence of investment risk across time. Traditional finance lacks methods for considering and hedging non-diversifiable risks. This paper is based on the general equilibrium model of Allen and Gale (1997). We extend their model in various directions: the intermediary is a firm and not a planner, financial markets are assumed to be...

Università della Svizzera italiana

Volatility estimation with functional gradient descent for very high-dimensional financial time series

Bühlmann, Peter

We propose a functional gradient descent algorithm (FGD) for estimating volatility and conditional covariances (given the past) for very high-dimensional financial time series of asset price returns. FGD is a kind of hybrid of nonparametric statistical function estimation and numerical optimization. Our FGD algorithm is computationally feasible in multivariate problems with dozens up to thousands...

Università della Svizzera italiana

A review of perturbative approaches for robust optimal portfolio problems

Trojani, Fabio ; Vanini, Paolo

In: Computational methods in decision-making, economics and finance, 2002, p. 109

Only a few intertemporal optimal consumption and portfolio problems in partial and general equilibrium can be solved explicitly. It is illustrated in the paper that perturbation theory is a powerful tool for deriving approximate analytical solutions for the desired optimal policies in problems where general state dynamics are admitted and a preference for robustness is present. Starting from the...