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The CAPM and the risk appetite index; theoretical differences and empirical similarities
Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2006
measure of risk aversion derived from the CAPM � a model that does not require those restrictive assumptions � we find … approximate the risk aversion parameter of a CAPM. This occurs if the ratio between the variance of the returns on assets and the …This paper analyzes the Risk Appetite Index (RAI), a measure of investors� risk aversion proposed by Kumar and …
Persistent link: https://www.econbiz.de/10005467316
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Style, Fees and Performance of Italian Equity Funds
Cesari, R.; Panetta, F. - Banca d'Italia - 1998
Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...
Persistent link: https://www.econbiz.de/10005486714
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Sensitivity of VAR Measures to Different Risk Models
Drudi, F.; Generale, A.; Majnoni, G. - Banca d'Italia - 1997
The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real … life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting …
Persistent link: https://www.econbiz.de/10005640899
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Identifying and managing risk : J. P. Morgan, Global Markets Corporate Finance Conference, Venice, 28 October 1993
Dini, Lamberto - 1993
Persistent link: https://www.econbiz.de/10000873773
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Money and uncertainty : inflation, interest, indexation ; Banca d'Italia, Roma, 6 novembre 1992
Drèze, Jacques H. - 1993
Persistent link: https://www.econbiz.de/10000877254
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Financial stability report
Banca d'Italia - Roma - 1.2010 - 6.2013; 2014 -
Persistent link: https://www.econbiz.de/10009663370
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Financial stability report
Banca d'Italia - Roma : [Verlag nicht ermittelbar] - 1.2010 - 6.2013; 2014 -
Persistent link: https://www.econbiz.de/10009663371
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Monetary policy and the flow of funds in the euro area
Bonci, Riccardo - Banca d'Italia - 2012
This paper provides new evidence on the transmission of monetary policy in the euro area, assessing the impact of an unexpected increase of the short-term interest rates on the lending and borrowing activity in different economic sectors. We exploit the information content of the flow-of-funds...
Persistent link: https://www.econbiz.de/10011099702
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Forward-looking robust portfolio selection
Cecchetti, Sara; Sigalotti, Laura - Banca d'Italia - 2013
constituents of the Euro Stoxx 50 Index. To obtain the corresponding risk-adjusted densities, we estimate the risk aversion …
Persistent link: https://www.econbiz.de/10011099724