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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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Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation
Cappelletti, Giuseppe - Banca d'Italia - 2012
liquid wealth will affect households' risk aversion and risky asset investment. After controlling for the decision to enter …
Persistent link: https://www.econbiz.de/10009645787
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Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management
Scalia, Antonio; Sahel, Benjamin - Banca d'Italia - 2012
-2009, we study this peculiar tournament and show the existence of risk-shifting behaviour by reserve managers related to their … year-to-date ranking: interim losers increase relative risk in the second half of the year, in the same way as mutual fund … by portfolio turnover. Those who ranked low in the previous year tend to reduce risk significantly. Since reserve …
Persistent link: https://www.econbiz.de/10009645793
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Portfolio Selection with Monotone Mean-Variance Preferences
Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - Banca d'Italia - 2008
We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...
Persistent link: https://www.econbiz.de/10005113531